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Modeling insurance claims using Bayesian nonparametric regression. [PDF]

PLoS One
Shams M, Ghosh K.
europepmc   +1 more source

A stochastic daily weather generator for perennial crop simulations in tropical Malaysia. [PDF]

PLoS One
Teh CBS, Cheah SS, Appleton DR.
europepmc   +1 more source

Queueing systems with heavy tails

, 2001
openaire   +1 more source

Extreme Risk and Fat-tails Distribution Model:Empirical Analysis [PDF]

Ibrahim Onour
core  

Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not? [PDF]

Stochastic Models, 2012
We address the important question of the extent to which random variables and vectors with truncated power tails retain the characteristic features of random variables and vectors with power tails. We define two truncation regimes, soft truncation regime and hard truncation regime, and show that, in the soft truncation regime, truncated power tails ...
Arijit Chakrabarty, Gennady Samorodnitsky   +1 more
exaly   +3 more sources

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HARCH Processes are Heavy Tailed

Extremes, 1999
A \(\text{HARCH}(k)\) process \(R_n\) is defined by the recursive relations \[ R_n=\sigma_n\varepsilon_n, \qquad \sigma_n^2=c_0+\sum_{j=1}^kc_j \left( \sum_{i=1}^j R_{n-i} \right)^2 \] where the \(c_j\) are some nonrandom constants, \(\varepsilon_n\) are i.i.d., \(E\varepsilon=0\), \(E\varepsilon^20\) and \(\Pr(\varepsilon^2>c_1^{-1})>0\), then ...
Embrechts, Paul, Grübel, Rudolf
openaire   +2 more sources