Results 21 to 30 of about 135 (110)
Time series modelling of the Kobe‐Osaka earthquake recordings
International Journal of Mathematics and Mathematical Sciences, Volume 29, Issue 8, Page 467-479, 2002., 2002 A problem of great interest in monitoring a nuclear test ban treaty (NTBT) is related to interpreting properly the differences between a waveform generated by a nuclear explosion and that generated by an earthquake. With a view of comparing these two types of waveforms, Singh (1992) developed a technique for identifying a model in time domain ...
N. Singh +2 more
wiley +1 more source
Multivariate extensions of expectiles risk measures
Dependence Modeling, 2017 This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures.
Maume-Deschamps Véronique +2 more
doaj +1 more source
Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
doaj +1 more source
Another approach to the evaluation of a certain multivariate compound distribution
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2016 In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in the same time an insurance portfolio under some specific assumptions related to the number of ...
Robe-Voinea Elena-Gratiela +1 more
doaj +1 more source
Dependence Modeling, 2013 Nelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula ...
Bernard Carole +3 more
doaj +1 more source
A note on computing bonus-malus insurance premiums using a hierarchical bayesian framework
, 2006 Bonus-malus, premium calculation principle, robustness, 62F15, 62P05,
J. Pérez +5 more
core +1 more source
CMPH: a multivariate phase-type aggregate loss distribution
Dependence Modeling, 2017 We introduce a compound multivariate distribution designed for modeling insurance losses arising from different risk sources in insurance companies.
Ren Jiandong, Zitikis Ricardas
doaj +1 more source
Smooth convergence in the binomial model
, 2010 Binomial model, Black–Scholes model, Option pricing, Smooth convergence, G13, 62P05,
Ken Palmer +2 more
core +1 more source
Detección de transacciones fraudulentas a través de un Modelo Lineal Mixto Generalizado
Ingeniería y Ciencia, 2012 La detección de fraudes ha sido uno de los temas en el que muchas compañías del sector financiero han invertido más tiempo y recursos con el fin de mitigarlo y de esta forma mantenerse a salvo; sin embargo, encontrar patrones dentro de las metodologías ...
Jackelyne Gómez–Restrepo +1 more
doaj +1 more source
Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains
Risks, 2016 We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy’s states follows an F -doubly stochastic Markov chain, we describe different state-dependent types of ...
Francesca Biagini +2 more
doaj +1 more source