Results 121 to 130 of about 195,496 (282)

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

On Implicit Atangana–Baleanu–Caputo Fractional Integro-Differential Equations with Delay and Impulses

Journal of Mathematics
In this paper, we study the existence and uniqueness of solutions for impulsive Atangana-Baleanu-Caputo ABC fractional integro-differential equations with boundary conditions.
Panjaiyan Karthikeyann, Sadhasivam Poornima, Kulandhaivel Karthikeyan, Chanon Promsakon, Thanin Sitthiwirattham   +4 more
doaj   +1 more source

T‐calibration in semi‐parametric models

Canadian Journal of Statistics, EarlyView.
Abstract This article relates the calibration of models to the consistent loss functions for the target functional of the model. Correctly specified models are calibrated. Conversely, we demonstrate that if there is a parameter value that is optimal under all consistent loss functions, then a model is calibrated.
Anja Mühlemann, Johanna Ziegel
wiley   +1 more source

Three-point integral boundary-value problems for piecewise fractional impulsive differential equations with p-Laplacian operator

Electronic Journal of Differential Equations
We study the existence and uniqueness of solutions for three-point integral boundary-value problems of piecewise fractional impulsive differential equations with $p$-Laplacian operator and delay.
Xiao Chen, Wenxue Zhou
doaj  

Asymptotic independence in more than two dimensions and its implications on risk management

Canadian Journal of Statistics, EarlyView.
Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley   +1 more source

Existence of solutions to fractional order ordinary and delay differential equations and applications

Electronic Journal of Differential Equations, 2011
In this article, we discuss the existence and uniqueness of solution to fractional order ordinary and delay differential equations. We apply our results on the single species model of Lotka Volterra type.
Syed Abbas
doaj  

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

A Markov approach to credit rating migration conditional on economic states

Canadian Journal of Statistics, EarlyView.
Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley   +1 more source

Existence and uniqueness theorems for Riemann problems [PDF]

Transactions of the American Mathematical Society, 1975
openaire   +1 more source

Bayesian clustering of multivariate extremes

Canadian Journal of Statistics, EarlyView.
Abstract The asymptotic dependence structure between multivariate extreme values is fully characterized by their projections on the unit simplex. Under mild conditions, the only constraint on the resulting distributions is that their marginal means must be equal, which results in a nonparametric model that can be difficult to use in applications ...
Sonia Alouini, Anthony C. Davison
wiley   +1 more source