相关论文: Multivariate Subexponential Distributions and Thei…
The literature has covered the features and uses of the traditional univariate and bivariate logistic distributions in great detail. It is reasonable to wonder, though, if logistic marginals and conditionals could exhibit a similar…
Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent.…
We propose a criterion of equidistribution by the differentiability of certain arithmetic invariants. Combined with the slope method and the asymptotic measures, this criterion gives a new "conceptual" proof to equidistribution results…
In this paper we estimate the mean-variance portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is distribution-free and is optimal in the sense…
In this paper, we introduce a new bivariate distribution we called it bivariate expo- nentiated modified Weibull extension distribution (BEMWE). The model introduced here is of Marshall-Olkin type. The marginals of the new bivariate…
We study the asymptotic behavior of ruin probabilities, as the initial reserve goes to infinity, for a reserve process model where claims arrive according to a renewal process, while between the claim times the process has the dynamics of…
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…
In this article, we introduce the notion of free subexponentiality, which extends the notion of subexponentiality in the classical probability setup to the noncommutative probability spaces under freeness. We show that distributions with…
This paper investigates an insurance model with a finite number of major clients and a large number of small clients, where the dynamics of the latter group are modeled by a spectrally positive L\'evy process. We begin by analyzing this…
Given a probability distribution $\mu$ a set $\Lambda (\mu)$ of positive real numbers is introduced, so that $\Lambda (\mu)$ measures the "divisibility" of $\mu$. The basic properties of $\Lambda (\mu)$ are described and examples of…
Current pooling rules for multiply imputed data assume infinite populations. In some situations this assumption is not feasible as every unit in the population has been observed, potentially leading to over-covered population estimates. We…
This work sheds some light on the relationship between a distribution's standard deviation and its range, a topic that has been discussed extensively in the literature. While many previous studies have proposed inequalities or relationships…
Asymptotics deviation probabilities of the sum S n = X 1 + $\times$ $\times$ $\times$ + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not…
We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints and propose a class of risk measures derived from the…
The objective of this work is to quantify the uncertainty in probability of failure estimates resulting from incomplete knowledge of the probability distributions for the input random variables. We propose a framework that couples the…
We consider three new classes of exponential dispersion models of discrete probability distributions which are defined by specifying their variance functions in their mean value parameterization. In a previous paper (Bar-Lev and Ridder,…
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…
We give a new combinatorial interpretation of the stationary distribution of the (partially) asymmetric exclusion process on a finite number of sites in terms of decorated alternative trees and colored permutations. The corresponding…
Although the specification of bivariate probability models using a collection of assumed conditional distributions is not a novel concept, it has received considerable attention in the last decade. In this study, a bivariate…
Property elicitation studies which attributes of a probability distribution can be determined by minimizing a risk. We investigate a generalization of property elicitation to imprecise probabilities (IP). This investigation is motivated by…