Results 41 to 50 of about 135 (110)
Sensitivity Analysis of Some Applied Probability Models [PDF]
, 2007 2000 Mathematics Subject Classi cation: Primary 90C31. Secondary 62C12, 62P05, 93C41.The aim of the paper is two-fold, namely, to give a brief survey of sensitivity analysis methods and to use them for investigation of two input-output models arising in ...
V. Bulinskaya, Ekaterina
core
Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]
, 2011 2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
core
Consistent estimation of covariation under nonsynchronicity
Consistency, Discrete-time sampling, High-frequency data, Nonsynchronous trading, Quadratic variation, Realized covariance, Semimartingale, Stopping time, 62M10, 60G44, 62P05,
Shigeo Kusuoka, Takaki Hayashi
core +1 more source
Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm
Efficient Market Hypothesis, Universal prediction, Forex Intra-day trading, Variable Order Markov, G14, C22, C53, C49, C63, 62P05, 91B84, 62M20,
Irad Ben-Gal +3 more
core +1 more source
On risk measures and decisions in insurance and finance
, 2009 In this paper, we argue that a distinction exists between risk measures anddecision principles. Though both are functionals assigning a real number to a randomvariable, we think there is a hierarchy between the two concepts.
Goovaerts, M.J. +2 more
core +3 more sources
Optimal Reinsurance for the Solvency of Automobile Portfolio: Application to Sub-Saharan Africa
InPrimeThis paper examines actuarial strategies to maintain the solvency of automobile insurance portfolios in sub-Saharan Africa, where motor insurance is mandatory and a significant revenue source, representing approximately 60% of total premiums in the CIMA
Crispin Bukanga Maheshe +1 more
doaj +1 more source
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
, 2021 This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i.e. weak FARIMA). We first study the joint distribution of the
Esstafa, Youssef +2 more
core +1 more source
Compound Compound Poisson Risk Model [PDF]
, 2009 2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process.
Minkova, Leda D.
core
The Hachemeister Regression Model [PDF]
In this article we will obtain, just like in the case of classical credibility model, a credibility solution in the form of a linear combination of the individual estimate (based on the data of a particular state) and the collective estimate (based on ...
Carmen Lenuta TRICA
core
Asset liability management for Tanzania: pension funds by stochastic programming [PDF]
, 2019 We present a long-termmodel of asset liability management for Tanzania pension funds. The pension system is pay-as-you-go where contributions are used to pay current benefits. The pension plan is a final salary defined benefit.
John, Andongwisye +3 more
core +1 more source