相关论文: Orthogonal polynomial expansions to evaluate stop-…

Skew orthogonal polynomials arise in the calculation of the $n$-point distribution function for the eigenvalues of ensembles of random matrices with orthogonal or symplectic symmetry. In particular, the distribution functions are completely…

In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…

This paper proposes a novel numerical method for computing the density of the limit random variable associated with a supercritical Galton-Watson process. This random variable captures the effect of early demographic fluctuations and…

We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions of which only moments are known. The sample PLR converges to the unknown population PLR under mild conditions. The methodology allows for…

We consider the problem of finding a function defined on $(0,\infty)$ from a countable set of values of its Laplace transform. The problem is severely ill-posed. We shall use the expansion of the function in a series of Laguerre polynomials…

The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including…

We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style…

In this contribution, we discuss the construction of Polynomial Chaos surrogates for Monte Carlo radiation transport applications via non-intrusive spectral projection. This contribution focuses on improvements with respect to the approach…

Polynomials are common algebraic structures, which are often used to approximate functions including probability distributions. This paper proposes to directly define polynomial distributions in order to describe stochastic properties of…

In this article, we propose a new three parameter distribution by compounding negative binomial with reciprocal inverse Gaussian model called negative binomial-reciprocal inverse Gaussian distribution. This model is tractable with some…

This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method relies on a Laguerre-Gamma polynomial approximation and…

The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…

We develop likelihood-based bias reduction for nonlinear panel models with additive individual and time effects. In two-way panels, integrated-likelihood corrections are attractive but challenging because the required integration is high…

This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…

Probabilistic survival analysis models seek to estimate the distribution of the future occurrence (time) of an event given a set of covariates. In recent years, these models have preferred nonparametric specifications that avoid directly…

This article presents and reviews several basic properties of the Cumulative Ord family of distributions; this family contains all the commonly used discrete distributions. A complete classification of the Ord family of probability mass…

We give an effective method to compute the entropy for polynomials orthogonal on a segment of the real axis that uses as input data only the coefficients of the recurrence relation satisfied by these polynomials. This algorithm is based on…

In this paper, we consider catastrophe stop-loss reinsurance valuation for a reinsurance company with dynamic contagion claims. To deal with conventional and emerging catastrophic events, we propose the use of a compound dynamic contagion…

The family of log-concave density functions contains various kinds of common probability distributions. Due to the shape restriction, it is possible to find the nonparametric estimate of the density, for example, the nonparametric maximum…

We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…