Found 784 Documents (Results 1–100)
On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach. (English) Zbl 07921712
Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return. (English) Zbl 07887788
A generalization of the increasing generalized failure rate unimodality condition. (English) Zbl 07881791
The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution. (English) Zbl 07878298
On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims. (English) Zbl 1541.62287
Characterizing existence and location of the ML estimate in the Conway-Maxwell-Poisson model. (English) Zbl 07842722
Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true. (English) Zbl 07822312
Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors. (English) Zbl 1534.62258
Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP. (English) Zbl 07865847
MSC:
91-XX
Computing and estimating distortion risk measures: how to handle analytically intractable cases? (English) Zbl 1533.91427
Reviewer: Tak Kuen Siu (Sydney)
Multivariate zero-inflated Bell-Touchard distribution for multivariate counts: an application to COVID-related data. (English) Zbl 07789492
Bivariate log-symmetric models: distributional properties, parameter estimation and an application to public spending data. (English) Zbl 07789484
Contagion source detection in epidemic and infodemic outbreaks: mathematical analysis and network algorithms. (English) Zbl 1532.92111
Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance. (English) Zbl 07767740
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (English) Zbl 07767718
The generalized two-sided beta distribution with applications in project risk analysis. (English) Zbl 1517.62056
Incentives for prosocial behavior under reputation persistence and policy lags. (English) Zbl 1520.91164
Generalizing the inequality process’ gamma model of particle wealth statistics. (English) Zbl 1520.91162
Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks. (English) Zbl 1521.91308
Reviewer: Pavel Stoynov (Sofia)
Multivariate supplier selection for asymmetric specification region: using price and quality. (English) Zbl 1519.90024
A new class of distributions on the whole real line based on the continuous iteration approach. (English) Zbl 07710575
Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks. (English) Zbl 1514.62204
On fitting probability distribution to univariate grouped actuarial data with both group mean and relative frequencies. (English) Zbl 1520.91333
Welfare-improving misreported polls. (English) Zbl 1520.91139
MSC:
91B12
Modified expected shortfall: a coherent risk measure for elliptical family of distributions. (English) Zbl 1519.91291
MSC:
91G70
Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk. (English) Zbl 1519.91262
Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case. (English) Zbl 1500.91140
MSC:
91G20
Liquidation risk for exponential spectrally negative Lévy processes. (Chinese. English summary) Zbl 07801181
Bonferroni and De Vergottini are back: new subgroup decompositions and bipolarization measures. (English) Zbl 1522.91115
Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns. (English) Zbl 1511.91115
Reviewer: Jonas Šiaulys (Vilnius)
Copula-based inference for bivariate survival data with left truncation and dependent censoring. (English) Zbl 1510.91143
Copula representations for the sum of dependent risks: models and comparisons. (English) Zbl 07621883
Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model. (English) Zbl 07621022
Firm-destination heterogeneity and the distribution of export intensity. (English) Zbl 1498.91259
MSC:
91B60
Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model. (English) Zbl 07596347
MSC:
60K05
91B30
Random games under elliptically distributed dependent joint chance constraints. (English) Zbl 1503.91026
Dividends and compound Poisson processes: a new stochastic stock price model. (English) Zbl 1496.91099
A practical, effective calculation of gamma difference distributions with open data science tools. (English) Zbl 07551351
Extreme points of Lorenz and ROC curves with applications to inequality analysis. (English) Zbl 1492.91125
Multivariate distributions with time and cross-dependence: aggregation and capital allocation. (English) Zbl 1492.91297
New bivariate and multivariate log-normal distributions as models for insurance data. (English) Zbl 07534456
A multivariate CVaR risk measure from the perspective of portfolio risk management. (English) Zbl 1490.91248
MSC:
91G70
Multivariate tail covariance risk measure for generalized skew-elliptical distributions. (English) Zbl 1483.62086
On the \(r\mathcal{B}ell\) family of distributions with actuarial applications. (English) Zbl 1484.91373
A simple and efficient numerical method for pricing discretely monitored early-exercise options. (English) Zbl 1510.91187
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims. (English) Zbl 1484.91410
Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion. (English) Zbl 1490.90025
Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals. (English) Zbl 07676040
On the probability of the Ostrogorski paradox. (English) Zbl 1504.91090
Diss, Mostapha (ed.) et al., Evaluating voting systems with probability models. Essays by and in honor of William Gehrlein and Dominique Lepelley. Cham: Springer. Stud. Choice Welf., 119-135 (2021).
Three-point lifetime distribution elicitation for maintenance optimization in a Bayesian context. (English) Zbl 1495.91043
Hanea, Anca M. (ed.) et al., Expert judgement in risk and decision analysis. Cham: Springer. Int. Ser. Oper. Res. Manag. Sci. 293, 147-177 (2021).
New results linking inequality and justice. (English) Zbl 1483.91079
MSC:
91B15
From Cauchy-Schwarz to the House of Representatives: applications of Lagrange’s identity. (English) Zbl 1505.00007
Monotonicity of rank order probabilities in signal detection models of simultaneous detection and identification. (English) Zbl 1479.91290
Critical tests of the two high-threshold model of recognition via analyses of hazard functions. (English) Zbl 1479.91289
MSC:
91E10
Modelling evolution in structured populations involving multiplayer interactions. (English) Zbl 1530.92173
A class of \(N\)-player Colonel Blotto games with multidimensional private information. (English) Zbl 1525.91052
Global ownership patterns. (English) Zbl 1475.91187
MSC:
91B54
Convex bodies generated by sublinear expectations of random vectors. (English) Zbl 1479.52011
Reviewer: Maria A. Hernández Cifre (Murcia)
On the market price of risk. (English) Zbl 1471.91544
Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives. (English) Zbl 1464.91073
MSC:
91G20
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 1460.91213
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