Frankie Higgs,Mathew D Penrose,Xiaochuan Yang
Frankie Higgs
Let X 1 , X 2 , … and Y 1 , Y 2 , … be i.i.d. random uniform points in a bounded domain A ⊂ R 2 with smooth or polygonal boundary. Given n , m , k ∈ N , define the two-sample k-coverage threshold R n , m , k ...
On Berman Functions [0.03%]
关于Berman函数
Krzysztof Dȩbicki,Enkelejd Hashorva,Zbigniew Michna
Krzysztof Dȩbicki
Let Z(t)=exp2BH(t)-t2H,t∈R with BH(t),t∈R a standard fractional Brownian motion (fBm) with Hurst parameter H∈(0,1] and define for x non-negative the Berman function BZ(x)=EI{ϵ0(RZ)>x}ϵ0(RZ)∈(0,∞),wh...
Effects of Prioritized Input on Human Resource Control in Departmentalized Markov Manpower Framework [0.03%]
优先输入对部门化马尔可夫人力框架中人力资源控制的影响
E O Ossai,M S Madukaife,A U Udom et al.
E O Ossai et al.
In this paper, extended Markov manpower models are formulated by incorporating a new class of members of a departmentalized manpower system in a homogeneous Markov manpower model. The new class, called limbo class, admits members of the sys...
The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions [0.03%]
马尔可夫调制的射击噪音风险模型及Gerber-Shiu函数的数值计算方法
Simon Pojer,Stefan Thonhauser
Simon Pojer
In this paper, we consider discounted penalty functions, also called Gerber-Shiu functions, in a Markovian shot-noise environment. At first, we exploit the underlying structure of piecewise-deterministic Markov processes (PDMPs) to show tha...
Accelerating the Pool-Adjacent-Violators Algorithm for Isotonic Distributional Regression [0.03%]
加速池邻违反者算法以促进同调分布回归
Alexander Henzi,Alexandre Mösching,Lutz Dümbgen
Alexander Henzi
In the context of estimating stochastically ordered distribution functions, the pool-adjacent-violators algorithm (PAVA) can be modified such that the computation times are reduced substantially. This is achieved by studying the dependence ...
Hansjörg Albrecher,José Carlos Araujo-Acuna
Hansjörg Albrecher
We revisit the classical Schmitter problem in ruin theory and consider it for randomly chosen initial surplus level U. We show that the computational simplification that is obtained for exponentially distributed U allows to connect the prob...
Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts [0.03%]
基于事件间隔时间的未决索赔款分析
Daniel J Geiger,Akim Adekpedjou
Daniel J Geiger
We extend a recently proposed stochastic loss reserving model for liabilities from incurred but not reported (IBNR) micro-level claims. We propose viewing the number of claims from an event as a measure of catastrophic severity. This view c...
Editorial for special issue on advances in Actuarial Science and quantitative finance [0.03%]
精算科学与定量金融进展特刊主编评论
Runhuan Feng,José E Figueroa-López,Junyi Guo et al.
Runhuan Feng et al.
This article provides an overview of all papers published on the special issue, Advances in Actuarial Science and Quantitative Finance. The special issue is intended to collect articles that reflect the latest development and emerging topic...
Hawkes Processes Framework With a Gamma Density As Excitation Function: Application to Natural Disasters for Insurance [0.03%]
基于伽马密度激发函数的霍克斯过程框架及其在保险领域中的应用研究
Laurent Lesage,Madalina Deaconu,Antoine Lejay et al.
Laurent Lesage et al.
Hawkes processes are temporal self-exciting point processes. They are well established in earthquake modelling or finance and their application is spreading to diverse areas. Most models from the literature have two major drawbacks regardin...
J Hüsler,M G Temido,A Valente-Freitas
J Hüsler
We study the limiting behaviour of the maximum of a bivariate (finite or infinite) moving average model, based on discrete random variables. We assume that the bivariate distribution of the iid innovations belong to the Anderson's class (An...