Results 221 to 230 of about 134,266 (306)

Dynamic capital allocation in general insurance

open access: yesJournal of Risk and Insurance, EarlyView.
Abstract This paper provides a model for allocating capital to different insurance lines with varying development periods for a value‐maximizing insurance company. In our model, the company makes capitalization and exposure decisions considering its capital level and its relevant loss history.
Qiheng Guo   +2 more
wiley   +1 more source

Analysing reforms of social security disability pension provision in a multistage overlapping generations model

open access: yesJournal of Risk and Insurance, EarlyView.
Abstract This paper introduces a multi‐stage Overlapping Generations (OLG) model of workers and retirees, segmented by disability status and eligibility for Disability Pension (DP) benefits. Extending Gertler (1999) with progressive disability stages of distinct productivity and transition probabilities, and calibrated to US data, the model generates ...
Hangsuck Lee   +3 more
wiley   +1 more source

The Core‐Periphery Model Under Additively Separable Preferences

open access: yesJournal of Regional Science, Volume 65, Issue 2, Page 378-402, March 2025.
ABSTRACT This paper reexamines Krugman's core‐periphery model by substituting his constant elasticity of substitution (CES) utility with a general additively separable utility that comprehensively captures the pro‐competitive effect while preserving the income effect.
Congcong Wang, Dao‐Zhi Zeng, Xiwei Zhu
wiley   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Penalized Convex Estimation in Dynamic Location Models

open access: yesJournal 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

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