Results 111 to 120 of about 112,001 (232)

A joint model of cost and churn for the insurance industry

Journal of Risk and Insurance, EarlyView.
Abstract In insurance markets, claim costs are highly variable, heavy‐tailed, and difficult to predict. At the same time, policyholder retention and lapse behavior (customer churn) are critical determinants of long‐term profitability and solvency. Most existing models in the literature treat claim costs and lapses as independent, overlooking potential ...
Yumo Dong, Edward W. (Jed) Frees, Fei Huang, Francis K. C. Hui, Harald J. van Heerde   +4 more
wiley   +1 more source

Second order structures for sprays and connections on Fréchet manifolds [PDF]

, 2008
Ambrose, Palais and Singer introduced the concept of second order structures on finite dimensional manifolds. Kumar and Viswanath extended these results to the category of Banach manifolds.
Galanis, GN, Dodson, CTJ, Suri, A, Aghasi, M, Bahari, AR   +4 more
core   +1 more source

A Born structure on the tangent bundle of a Hessian manifold

Information Geometry
Abstract The Hessian structure is a geometric structure consisting of a pair  $$(\nabla ,g)$$ ( ∇ ,
openaire   +2 more sources

Selfsimilar Hessian and conformally Kähler manifolds

, 2020
Let $(M,\nabla,g)$ be a Hessian manifold. Then the total space of the tangent bundle $TM$ can be endowed with a Kähler structure $\left(I,{\cal g}\right)$. We say that a homogeneous Hessian manifold is a Hessian manifold $(M,\nabla,g)$ endowed with a transitive action of a group $G$ preserving $\nabla$ and $g$.
openaire   +2 more sources

Testing Distributional Granger Causality With Entropic Optimal Transport

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley   +1 more source

Higher order Hessian structures on manifolds

Proceedings Mathematical Sciences, 2005
18 pages, no figures, no ...
openaire   +2 more sources

Multiple Chains Markov Switching Vector Autoregression

Journal of Time Series Analysis, EarlyView.
ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley   +1 more source

Mixed Hessian inequalities and uniqueness in the class $\mathcal{E}(X, \omega, m)$

, 2014
We prove a general inequality for mixed Hessian measures by global arguments. Our method also yields a simplification for the case of complex Monge–Ampère equation.
Chinh H. Lu, Slawomir Dinew, Dinew, Sławomir, Lu, Hoang Chinh, Lu, Hoang Chinh,, Dinew, S., Lu, Chinh Hoang   +6 more
core   +1 more source

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)

Journal of Time Series Analysis, EarlyView.
ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley   +1 more source