Results 71 to 80 of about 925 (187)
On a Perturbed Risk Model with Time‐Dependent Claim Sizes
Journal of Mathematics, Volume 2024, Issue 1, 2024.We consider a risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the inter‐claim times. We study the Gerber–Shiu functions when ruin is due to a claim or the jump‐diffusion process. Integro‐differential equations and Laplace transforms satisfied by the Gerber–Shiu functions are obtained.
Longfei Wei +4 more
wiley +1 more source
A new test procedure of independence in copula models via chi-square-divergence
, 2011 We introduce a new test procedure of independence in the framework of parametric copulas with unknown marginals. The method is based essentially on the dual representation of $\chi^2$-divergence on signed finite measures. The asymptotic properties of the
Amor Keziou +8 more
core +1 more source
AxiomsThe classical exponential model, despite its flexibility, fails to describe data with non-constant failure or between-event dependency. To overcome this limitation, two new bivariate lifetime distributions are introduced in this paper.
Hanan Haj Ahmad, Dina A. Ramadan
doaj +1 more source
Bayesian inference for bivariate ranks
, 2018 A recommender system based on ranks is proposed, where an expert's ranking of a set of objects and a user's ranking of a subset of those objects are combined to make a prediction of the user's ranking of all objects.
Guillotte, Simon +2 more
core
Stochastic Frontier Models With Correlated Error Components [PDF]
In the productivity modelling literature, the disturbances U (representing technical inefficiency) and V (representing noise) of the composite error W=V-U of the stochastic frontier model are assumed to be independent random variables.
Murray D Smith
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A Copula-Based Joint Model of Commute Mode Choice and Number of Non-Work Stops during the Commute [PDF]
, 2011 At the time of publication A. Portoghese, E. Spissu, and I. Meloni were at University of Cagliari, and C.R. Bhat and N. Eluru were at the University of Texas at Austin.In this paper, in the spirit of a tour-based frame of analysis, we examine the commute
Portoghese, Alessandro +4 more
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TVaR-based capital allocation with copulas [PDF]
Because of regulation projects from control organizations such as the European solvency II reform and recent economic events, insurance companies need to consolidate their capital reserve with coherent amounts allocated to the whole company and to each ...
Etienne Marceau +2 more
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Alexandria Engineering JournalIn this paper, we analyze the performance of physical layer security (PLS) in Weibull fading wiretap channels (WTC), leveraging realistic channel propagation models in which the channel coefficients of the main (transmitter-to-legitimate receiver) and ...
Ali Mohammad Khodadoust +2 more
doaj +1 more source
Bivariate normal-geometric distribution with FGM copula: Properties and parameter estimation
International Journal of Chemistry, Mathematics and PhysicsIt is of practical importance to construct new effective statistical model for discrete and continuous data arising in the real world. The bivariate distribution with FGM copula whose two marginal distributions are normal and geometric, respectively, is proposed.
Sung-Hyon Ri, Hyon-A Kim, Kwang-Hyok Kim
openaire +1 more source
Multivariate dependence modeling using copulas [PDF]
There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring ...
Maddalena Manzi, Marta Cardin
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