Results 21 to 30 of about 573 (73)
Tail Behaviour of Weighted Sums of Order Statistics of Dependent Risks [PDF]
, 2014 Let $X_{1},\ldots ,X_{n}$ be $n$ real-valued dependent random variables. With motivation from Mitra and Resnick (2009), we derive the tail asymptotic expansion for the weighted sum of order statistics $X_{1:n}\leq \cdots \leq X_{n:n}$ of $X_{1},\ldots ...
Hashorva, Enkelejd, Li, Jinzhi
core +3 more sources
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
Statistical estimate of the proportional hazard premium of loss under random censoring [PDF]
, 2016 Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored.
Meraghni, Djamel +2 more
core +3 more sources
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
The impact of systemic risk on the diversification benefits of a risk portfolio [PDF]
, 2013 Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time.
Busse, Marc +2 more
core +5 more sources
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
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aXBRL: Search of fraudulent XBRL instance documents with an Android app
SoftwareX, 2019 To apply the fuzzy support vector machines algorithm to the audit of XBRL (eXtensible Business Reporting Language) documents, sufficient data is unavailable. Thus, the objective of this study is coding a smartphone app named by aXBRL to provide such data.
G.Y. Sheu
doaj +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
Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing [PDF]
, 2005 We study the approximation of $\mathbb{E}f(X_T)$ by a Monte Carlo algorithm, where $X$ is the solution of a stochastic differential equation and $f$ is a given function.
Ahmed Kebaier +1 more
core +5 more sources