相关论文: Orthogonal polynomial expansions to evaluate stop-…
In this article we describe a method for carrying out Bayesian estimation for the double Pareto lognormal (dPlN) distribution which has been proposed as a model for heavy-tailed phenomena. We apply our approach to estimate the…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
Orthogonal polynomials appear naturally in the study of compositions of M\"obius transformations. In this paper, we consider several classes of orthogonal polynomials associated to non-autonomous perturbations of a parabolic M\"obius map.…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
This work deals with the estimation of parameters of Mittag-Leffler (ML($\alpha, \sigma$)) distribution. We estimate the parameters of ML($\alpha, \sigma$) using empirical Laplace transform method. The simulation study indicates that the…
We consider the problem of estimating the mixing density $f$ from $n$ i.i.d. observations distributed according to a mixture density with unknown mixing distribution. In contrast with finite mixtures models, here the distribution of the…
We propose to use L\'evy {\alpha}-stable distributions for constructing priors for Bayesian inverse problems. The construction is based on Markov fields with stable-distributed increments. Special cases include the Cauchy and Gaussian…
Reciprocal space methods for solving Poisson's equation for finite charge distributions are investigated. Improvements to previous proposals are presented, and their performance is compared in the context of a real-space density functional…
We address composite optimization problems, which consist in minimizing the sum of a smooth and a merely lower semicontinuous function, without any convexity assumptions. Numerical solutions of these problems can be obtained by proximal…
This article describes a multivariate polynomial regression method where the uncertainty of the input parameters are approximated with Gaussian distributions, derived from the central limit theorem for large weighted sums, directly from the…
Generalizing earlier work of Delbaen and Haezendonck for given compound renewal process $S$ under a probability measure $P$ we characterize all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent…
Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…
Uniform asymptotic expansions involving exponential and Airy functions are obtained for Laguerre polynomials $L_{n}^{(\alpha)}(x)$, as well as complementary confluent hypergeometric functions. The expansions are valid for $n$ large and…
We propose a numerical method for compensating dispersion effects in optical coherence tomography that does not require a priori knowledge of dispersive properties of the sample. The method is based on the generalized autoconvolution…
The limitations resulting from the dichtomisation of continuous outcomes have been extensively described. But the need to present results based on binary outcomes in particular in health science remains. Alternatives based on the…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
It is shown that the density of the ratio of two random variables with the same variance and joint Gaussian density satisfies a non stationary diffusion equation. Implications of this result for kernel density estimation of the condensed…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a…
In testing the independence of two Gaussian populations, one computes the distribution of the sample canonical correlation coefficients, given that the actual correlation is zero. The "Laplace transform" of this distribution is not only an…