Results 11 to 20 of about 193,790 (269)
A Rank-dependent Scheduling Model [PDF]
Journal of Transport Economics and Policy, 2010 This paper proposes an analytical framework for the scheduling decisions of road travellers that takes into account probability weighting using rank-dependent utility theory. The fundamental difference with the standard scheduling model based on expected utility is that the probabilities of arrivals are treated in a non-linear way. This paper shows how
Paul R. Koster, Erik T. Verhoef
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Testing for explosive bubbles: a review
Dependence Modeling, 2023 This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered.
Skrobotov Anton
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Baire category results for quasi–copulas
Dependence Modeling, 2016 The aim of this manuscript is to determine the relative size of several functions (copulas, quasi– copulas) that are commonly used in stochastic modeling.
Durante Fabrizio +2 more
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Joint lifetime modeling with matrix distributions
Dependence Modeling, 2023 Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation in terms of aging toward its inevitable absorption.
Albrecher Hansjörg +2 more
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Dependence Modeling, 2016 Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large ...
Gan Guojun, Valdez Emiliano A.
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Stochastic comparisons and bounds for conditional distributions by using copula properties
Dependence Modeling, 2018 We prove that different conditional distributions can be represented as distorted distributions. These representations are used to obtain stochastic comparisons and bounds for them based on properties of the underlying copula.
Navarro Jorge, Sordo Miguel A.
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New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dependence Modeling, 2017 We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature.
Pfeifer Dietmar +2 more
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Modelling dependencies of IT Infrastructure elements
2008 3rd IEEE/IFIP International Workshop on Business-driven IT Management, 2008 The management of IT-infrastructures has gained increased relevance to business as business processes and thus the business profit rely on IT services, which in turn depend on the underlying infrastructure. Even one single distributed IT service already depends on the correct interaction of many distributed IT resources within the IT infrastructure ...
Scheibenberger, Klaus, Pansa, Ingo
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Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
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The strong Fatou property of risk measures
Dependence Modeling, 2018 In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property,whichwas introduced in [19], seems to be most suitable to ensure nice dual representations of risk measures.
Chen Shengzhong +2 more
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