Results 151 to 160 of about 24,138 (305)
A joint model of cost and churn for the insurance industry
Journal of Risk and Insurance, EarlyView.Abstract In insurance markets, claim costs are highly variable, heavy‐tailed, and difficult to predict. At the same time, policyholder retention and lapse behavior (customer churn) are critical determinants of long‐term profitability and solvency. Most existing models in the literature treat claim costs and lapses as independent, overlooking potential ...
Yumo Dong +4 more
wiley +1 more source
Journal of Sociolinguistics, EarlyView.ABSTRACT Sociolinguistic research has long documented the appropriation of African American Vernacular English (AAVE) across media including film, music and advertising. In this article, we add to this body of work by exploring the digital recontextualisation of a subset of AAVE features as ‘TikTok/internet language’.
Christian Ilbury, Rianna Walcott
wiley +1 more source
On the Distortion of a Copula and its Margins
This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
core
A Conditional Tail Expectation Type Risk Measure for Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur +2 more
wiley +1 more source
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
RELIABILITY ANALYSIS OF FAILURE RELATED MECHANICAL PARTS BASED ON VINE COPULA MODEL
Jixie qiangdu, 2019 Aiming at mechanical parts for multi-failure modes,the advantages of using Copula functions to describe correlations,a reliability modeling method for multi-failure mode related mechanical parts is proposed.
HU QiGuo, ZHOU Song
doaj
Efficient estimation of parameters in marginals in semiparametric multivariate models [PDF]
Recent literature on semiparametric copula models focused on the situation when the marginals are specified nonparametrically and the copula function is given a parametric form.
Artem Prokhorov, Valentyn Panchenko
core
On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
Dynamic stochastic copula models: Estimation, inference and applications
We propose a new dynamic copula model where the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of ...
Hafner, Christian M., Manner, Hans
core
Assessing the Effectiveness of Workers' Selection Exams: The Case of the Bank of Italy
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT High‐stakes exams can be used to rank and select candidates for job openings, and the ability of those selected hinges on the design of the exam. I propose a method to model candidates' performance to assess how effective the exam is at selecting high‐ability candidates.
Santiago Pereda‐Fernández
wiley +1 more source