Results 21 to 30 of about 30,725 (253)
Statistics of weighted Poisson events and its applications [PDF]
, 2013 The statistics of the sum of random weights where the number of weights is Poisson distributed has important applications in nuclear physics, particle physics and astrophysics.
Bohm, G., Zech, G.
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A Tandem Fluid Network with L\'evy Input in Heavy Traffic [PDF]
, 2015 In this paper we study the stationary workload distribution of a fluid tandem queue in heavy traffic. We consider different types of L\'evy input, covering compound Poisson, $\alpha$-stable L\'evy motion (with ...
Boxma, Onno J. +2 more
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The Stability of the Aggregate Loss Distribution
Risks, 2018 In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands ...
Riccardo Gatto
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Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
Journal of Applied Mathematics, 2003 A considerable number of equivalent formulas defining conditional value-at-risk and expected shortfall are gathered together. Then we present a simple method to bound the conditional value-at-risk of compound Poisson loss distributions under incomplete ...
Werner Hürlimann
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Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Journal of Inequalities and Applications, 2016 In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic ...
Jianhua Cheng, Yanwei Gao, Dehui Wang
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Functional Poisson approximation in Kantorovich-Rubinstein distance with applications to U-statistics and stochastic geometry [PDF]
, 2016 A Poisson or a binomial process on an abstract state space and a symmetric function $f$ acting on $k$-tuples of its points are considered. They induce a point process on the target space of $f$.
Decreusefond, Laurent +2 more
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On Stein's method and perturbations [PDF]
, 2007 Stein’s (1972) method is a very general tool for assessing the quality of approximation of the distribution of a random element by another, often simpler, distribution.
Barbour, A D, Cekanavicius, V, Xia, A
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On compound Poisson approximations
Lietuvos matematikos rinkinys, 1998 There is not abstract.
Kruopis, Julius Jonas +1 more
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Compound Poisson approximations for symmetric vectors
Journal of Multivariate Analysis, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Julius Kruopis, Vydas Cekanavicius
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Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing
Risks, 2017 We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence
Krzysztof Burnecki +1 more
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