相关论文: Orthogonal polynomial expansions to evaluate stop-…
Recently, a growing amount interest is quite evident in modelling dependent competing risks in life time prognosis problem. In this work, we propose to model the dependent competing risks by Marshal-Olkin bivariate exponential distribution.…
Termination is one of the basic liveness properties, and we study the termination problem for probabilistic programs with real-valued variables. Previous works focused on the qualitative problem that asks whether an input program terminates…
Survival outcomes are common in comparative effectiveness studies and require unique handling because they are usually incompletely observed due to right-censoring. A ``once for all'' approach for causal inference with survival outcomes…
To extract the approximate solutions in the case of nonlinear fractional order differential equations with the homogeneous and nonhomogeneous boundary conditions, the weighted residual method is embedded here. We exploit three methods such…
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We…
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that,…
In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging…
A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for the states of an insured person. Between and at transitions,…
We wish to estimate conditional density using Gaussian Mixture Regression model with logistic weights and means depending on the covariate. We aim at selecting the number of components of this model as well as the other parameters by a…
This paper introduces constrained mixtures for continuous distributions, characterized by a mixture of distributions where each distribution has a shape similar to the base distribution and disjoint domains. This new concept is used to…
The conditional mean risk-sharing (CMRS) rule is an important tool for distributing aggregate losses across individual risks, but its implementation in continuous multivariate models typically requires complicated multidimensional…
Extended geometric distribution is defined and its mixture is characterized by the property of having completely monotone probability sequence. Also, convolution equations and probability generating functions are used to characterize…
We explore the estimation of generalized additive models using basis expansion in conjunction with Bayesian model selection. Although Bayesian model selection is useful for regression splines, it has traditionally been applied mainly to…
We study, in this paper, a one parameter deformation of the $q-$Laguerre weight function. An investigation is made on the polynomials orthogonal with respect to such a weight. With the aid of the two compatibility conditions previously…
In this paper, we describe a method for estimating the joint probability density from data samples by assuming that the underlying distribution can be decomposed as a mixture of product densities with few mixture components. Prior works…
The tridiagonal representation approach is an algebraic method for solving second order differential wave equations. Using this approach in the solution of quantum mechanical problems, we encounter two new classes of orthogonal polynomials…
Orthogonal polynomials and expansions are studied for the weight function $h_\kappa^2(x) \|x\|^{2\nu} (1-\|x\|^2)^{\mu-1/2}$ on the unit ball of $\mathbb{R}^d$, where $h_\kappa$ is a reflection invariant function, and for related weight…
We propose an unconstrained stochastic approximation method of finding the optimal measure change (in an a priori parametric family) for Monte Carlo simulations. We consider different parametric families based on the Girsanov theorem and…
This paper introduces a versatile approach for computing the risk of collision specifically tailored for scenarios featuring low relative encounter velocities, but with potential applicability across a wide range of situations. The…
We consider polynomials orthogonal on $[0,\infty)$ with respect to Laguerre-type weights $w(x)=x^\alpha e^{-Q(x)}$, where $\alpha>-1$ and where $Q$ denotes a polynomial with positive leading coefficient. The main purpose of this paper is to…