Related papers: On the Compound Beta-Binomial Risk Model with Dela…
The paper considers multivariate discrete random sums with equal number of summands. Such distributions describe the total claim amount received by a company in a fixed time point. In Queuing theory they characterize cumulative waiting…
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…
In this paper we develop a bivariate discrete generalized exponential distribution, whose marginals are discrete generalized exponential distribution as proposed by Nekoukhou, Alamatsaz and Bidram ("Discrete generalized exponential…
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…
Nested error regression models are useful tools for analysis of grouped data, especially in the case of small area estimation. This paper suggests a nested error regression model using uncertain random effects in which the random effect in…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…
We introduce a multivariate hidden Markov model to jointly cluster time-series observations with different support, i.e. circular and linear. Relying on the general projected normal distribution, our approach allows for bimodal and/or…
Adachi and Ryu introduced a category Prob of probability spaces whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutely continuous requirement in [Adachi and Ryu, 2019]. In this…
In this paper we consider stochastic multiarmed bandit problems. Recently a policy, DMED, is proposed and proved to achieve the asymptotic bound for the model that each reward distribution is supported in a known bounded interval, e.g.…
We propose a Bayesian nonparametric approach to the problem of jointly modeling multiple related time series. Our approach is based on the discovery of a set of latent, shared dynamical behaviors. Using a beta process prior, the size of the…
In a smooth semiparametric model, the marginal posterior distribution of the finite dimensional parameter of interest is expected to be asymptotically equivalent to the sampling distribution of frequentist's efficient estimators. This is…
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…
We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for changes over time in the estimated cost of already reported claims…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…
This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
We view sequential design as a model selection problem to determine which new observation is expected to be the most informative, given the existing set of observations. For estimating a probability distribution on a bounded interval, we…
We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…
There are some real life issues that are exists in nature which has early failure. This type of problems can be modelled either by a complex distribution having more than one parameter or by finite mixture of some distribution. In this…