Results 111 to 120 of about 332,668 (285)

An observation‐driven state‐space model for claims size modelling

Canadian Journal of Statistics, EarlyView.
Abstract State‐space models are popular in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state‐space models are of the Kalman‐filter type. These are called parameter‐driven because the observations do not impact the state‐space dynamics.
Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich   +2 more
wiley   +1 more source

Asymptotic behavior of a system of linear fractional difference equations

Journal of Inequalities and Applications, 2005
We investigate the global asymptotic behavior of solutions of the system of difference equations , , , where the parameters , , , and are positive numbers and the initial conditions and are arbitrary nonnegative numbers.
Nurkanović M, Kulenović MRS
doaj  

An Asymptotic Formula in Best Approximation

Journal of Approximation Theory, 1995
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

On subset least squares estimation and prediction in vector autoregressive models with exogenous variables

Canadian Journal of Statistics, EarlyView.
Abstract We establish the consistency and the asymptotic distribution of the least squares estimators of the coefficients of a subset vector autoregressive process with exogenous variables (VARX). Using a martingale central limit theorem, we derive the asymptotic normal distribution of the estimators. Diagnostic checking is discussed using kernel‐based
Pierre Duchesne, Thanh‐Liem Huynh, Mylène Oscar   +2 more
wiley   +1 more source

Some Asymptotic Formulae for Gaussian Distributions

Journal of Multivariate Analysis, 1996
Asymptotic expansions (in powers of \(r^{-1}\) and \(\tau\)) for the expectation \[ Ef(r\varphi[\xi;r^{-1},\tau],\tau)g(\xi;r^{-1},\tau) \] are derived. Here \(\xi\) is a centered Gaussian vector with values in a separable real Hilbert space \(X\), functions \(g\) and \(\varphi:X\times [0,1]^2\to\mathbb{R}^d\), \(d\geq1\), are smooth in all of their ...
openaire   +2 more sources

Optimal dividends for a NatCat insurer in the presence of a climate tipping point

Canadian Journal of Statistics, EarlyView.
Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher, Pablo Azcue, Nora Muler   +2 more
wiley   +1 more source

Asymptotic properties of cross‐classified sampling designs

Canadian Journal of Statistics, EarlyView.
Abstract We investigate the family of cross‐classified sampling designs across an arbitrary number of dimensions. We introduce a variance decomposition that enables the derivation of general asymptotic properties for these designs and the development of straightforward and asymptotically unbiased variance estimators.
Jean Rubin, Guillaume Chauvet
wiley   +1 more source

On the Large-x Asymptotic of the Classical Solutions to the Non-Linear Benjamin Equation in Fractional Sobolev Spaces

Fractal and Fractional
In this work, we study the large-x asymptotic of classical solutions to the non-linear Benjamin equation modeling propagation of small amplitude internal waves in a two fluid system.
Nabendra Parumasur, Olabisi Aluko
doaj   +1 more source

Playing with fire? A mean‐field game analysis of fire sales and systemic risk under regulatory capital constraints

Canadian Journal of Statistics, EarlyView.
Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley   +1 more source

Precise asymptotic behavior of solutions to damped simple pendulum equations

Electronic Journal of Differential Equations, 2009
We consider the simple pendulum equation $$displaylines{ -u''(t) + epsilon f(u'(t)) = lambdasin u(t), quad t in I:=(-1, 1),cr u(t) > 0, quad t in I, quad u(pm 1) = 0, }$$ where $0 < epsilon le 1$, $lambda > 0$, and the friction term is either $f(
Tetsutaro Shibata
doaj