相关论文: Macro vs. Micro Methods in Non-Life Claims Reservi…

A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of…

Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…

An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…

We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically…

Aggregate shocks affect most households' and firms' decisions. Using three stylized models we show that inference based on cross-sectional data alone generally fails to correctly account for decision making of rational agents facing…

This article describes posterior maximization for topic models, identifying computational and conceptual gains from inference under a non-standard parametrization. We then show that fitted parameters can be used as the basis for a novel…

Life assurance companies typically possess a wealth of data covering multiple systems and databases. These data are often used for analyzing the past and for describing the present. Taking account of the past, the future is mostly…

Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…

Beta-binomial/Poisson models have been used by many authors to model multivariate count data. Lora and Singer (Statistics in Medicine, 2008) extended such models to accommodate repeated multivariate count data with overdipersion in the…

Capture-recapture studies are widely used to obtain information about abundance (population size or density) of animal populations. A common design is that in which multiple distinct populations are sampled, and the research objective is…

This paper proposes two mixed models to study a consumer's optimal saving in the presence of two types of risk.

We study conditional risk minimization (CRM), i.e. the problem of learning a hypothesis of minimal risk for prediction at the next step of sequentially arriving dependent data. Despite it being a fundamental problem, successful learning in…

Compartmental epidemic models have been widely used for predicting the course of epidemics, from estimating the basic reproduction number to guiding intervention policies. Studies commonly acknowledge these models' assumptions but less…

We consider the problem of choosing between parametric models for a discrete observable, taking a Bayesian approach in which the within-model prior distributions are allowed to be improper. In order to avoid the ambiguity in the marginal…

As a specific proportional hazard rates model, sequential order statistics can be used to describe the lifetimes of load-sharing systems. Inference for these systems needs to account for small sample sizes, which are prevalent in…

Multitype branching processes with immigration in one type are used to model the dynamics of stage-structured plant populations. Parametric inference is first carried out when count data of all types are observed. Statistical…

Many statistical models have high accuracy on test benchmarks, but are not explainable, struggle in low-resource scenarios, cannot be reused for multiple tasks, and cannot easily integrate domain expertise. These factors limit their use,…

Many widely used models amount to an elaborate means of making up numbers--but once a number has been produced, it tends to be taken seriously and its source (the model) is rarely examined carefully. Many widely used models have little…

We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…

Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…