Results 31 to 40 of about 649 (90)
Journal of Inequalities and Applications, 2012 This paper investigates some precise large deviations for the random sums of the differences between two sequences of independent and identically distributed random variables, where the minuend random variables have subexponential tails, and the ...
Yang Yang, Jie Liu, Yuquan Cang
semanticscholar +2 more sources
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
Risk Measures in Solvency Regulation: Reinsurance Layers and Unexpected Loss
, 2014 The total amount of damage to be paid by an insurance company can be represented as the sum of (reinsurance-)layers, some of which may be transferred to a reinsurer on the basis of an excess of loss treaty.
A. Campana, Paola Ferretti
semanticscholar +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
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
ANALYTIC SOLUTION OF A NONLINEAR BLACK-SCHOLES EQUATION WITH PRICE SLIPPAGE
, 2014 We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction cost and a price slippage impact that lead to market illiquidity with feedback effects.
J. E. Esekon
semanticscholar +1 more source
Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1) [PDF]
, 2010 We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients.
B Basrak +6 more
core +1 more source