相关论文: On systems of quotas based on bankruptcy with a pr…

We consider a version of D. Price's model for the growth of a bibliographic network, where in each iteration a constant number of citations is randomly allocated according to a weighted combination of accidental (uniformly distributed) and…

Stochastic unit commitment models typically handle uncertainties in forecast demand by considering a finite number of realizations from a stochastic process model for loads. Accurate evaluations of expectations or higher moments for the…

Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…

In this paper, we generalise the results presented in the literature for the ruin probability for the insurer--reinsurer model under a pro-rata reinsurance contract. We consider claim amounts that are described by a phase-type distribution…

This paper provides evidence that stock returns, after truncation, might be modeled by a special type of continuous mixtures or normals, so-called $q$-Gaussians. Negative binomial distributions might model the counts for extreme returns. A…

We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an…

Apportionment assigns indivisible items among groups. By the Balinski-Young theorem, no method can satisfy both house monotonicity and the quota rule. This paper investigates quota violations caused by nonzero allocation constraints, and…

We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…

We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the…

In many randomized trials, outcomes such as essays or open-ended responses must be manually scored as a preliminary step to impact analysis, a process that is costly and limiting. Model-assisted estimation offers a way to combine surrogate…

This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by…

Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general…

Bankruptcy is a legal procedure that claims a person or organization as a debtor. It is essential to ascertain the risk of bankruptcy at initial stages to prevent financial losses. In this perspective, different soft computing techniques…

The present manuscript is concerned with component-wise estimation of the positive power of ordered restricted standard deviation of two normal populations with certain restrictions on the means. We propose several improved estimators under…

We examine two aspects of the mathematical basis for two-tier voting systems, such as that of the Council of the European Union. These aspects concern the use of square-root weights and the choice of quota. Square-root weights originate in…

In this note we consider spectral cut-off estimators to solve a statistical linear inverse problem under arbitrary white noise. The truncation level is determined with a recently introduced adaptive method based on the classical discrepancy…

We introduce a binary regression accounting-based model for bankruptcy prediction of small and medium enterprises (SMEs). The main advantage of the model lies in its predictive performance in identifying defaulted SMEs. Another advantage,…

We develop a new sampling method to estimate eigenvector centrality on incomplete networks. Our goal is to estimate this global centrality measure having at disposal a limited amount of data. This is the case in many real-world scenarios…

Recently several authors have proposed stochastic evolutionary models for the growth of complex networks that give rise to power-law distributions. These models are based on the notion of preferential attachment leading to the ``rich get…