Results 141 to 150 of about 34,266 (260)

Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

, 2022
Xinru Ji, Bingjie Wang, Jigao Yan, Dongya Cheng   +3 more
openalex   +2 more sources

A new heteroskedasticity‐robust test for explosive bubbles

Journal of Time Series Analysis, EarlyView.
We propose a new class of modified regression‐based tests for detecting asset price bubbles designed to be robust to the presence of general forms of both conditional and unconditional heteroskedasticity in the price series. This modification, based on the approach developed in Beare (2018) in the context of conventional unit root testing, is achieved ...
David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, Yang Zu   +3 more
wiley   +1 more source

Распараллеливание методов оценки риска банкротства страховой компании

, 2010
Изучается проблема вычисления вероятности разорения страховой компании на конечном интервале времени. С одной стороны, эта вероятность может быть оценена методом статистических испытаний (МСИ).
Норкин, Б.В.
core  

Quantum computational advantage via high-dimensional Gaussian boson sampling. [PDF]

Sci Adv, 2022
Deshpande A, Mehta A, Vincent T, Quesada N, Hinsche M, Ioannou M, Madsen L, Lavoie J, Qi H, Eisert J, Hangleiter D, Fefferman B, Dhand I.   +12 more
europepmc   +1 more source

Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

, 2012
Yang Yang, Kaiyong Wang, Jie Liu
openalex   +1 more source

On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting

Journal of Time Series Analysis, EarlyView.
ABSTRACT The prediction of extreme events in time series is a fundamental problem arising in many financial, scientific, engineering, and other applications. We begin by establishing a general Neyman–Pearson‐type characterization of optimal extreme event predictors in terms of density ratios.
Victor Verma, Stilian Stoev, Yang Chen
wiley   +1 more source

Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models [PDF]

, 2005
David A. Stanford, Florin Avram, Andrei L. Badescu, Lothar Breuer, Ana da Silva Soares, Guy Latouche   +5 more
openalex   +2 more sources

Stochasticity and Drug Effects in Dynamical Model for Cancer Stem Cells. [PDF]

Cancers (Basel), 2023
Mori L, Ben Amar M.
europepmc   +1 more source

Systemic Robustness: A Mean‐Field Particle System Approach

Mathematical Finance, EarlyView.
ABSTRACT This paper is concerned with the problem of capital provision in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a financial network. Motivated by Tang and Tsai, we focus on the number or proportion of surviving entities that never default to ...
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang, Yuming Paul Zhang   +3 more
wiley   +1 more source

Generative adversarial network based on domain adaptation for crack segmentation in shadow environments

Computer-Aided Civil and Infrastructure Engineering, EarlyView.
Abstract Precision segmentation of cracks is important in industrial non‐destructive testing, but the presence of shadows in the actual environment can interfere with the segmentation results of cracks. To solve this problem, this study proposes a two‐stage domain adaptation framework called GAN‐DANet for crack segmentation in shadowed environments. In
Yingchao Zhang, Cheng Liu
wiley   +1 more source