相关论文: Bankruptcy probabilities under non-Poisson inspect…

This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an unobserved Markov chain. We develop a quasi-maximum…

We review basic modeling approaches for failure and maintenance data from repairable systems. In particular we consider imperfect repair models, defined in terms of virtual age processes, and the trend-renewal process which extends the…

We propose testing procedures for the hypothesis that a given set of discrete observations may be formulated as a particular time series of counts with a specific conditional law. The new test statistics incorporate the empirical…

This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…

We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend…

In this paper, the authors first provide an overview of two major developments on complex survey data analysis: the empirical likelihood methods and statistical inference with non-probability survey samples, and highlight the important…

The article proposes a method of designing a statistically distinguishable rating scale that is not excessive in relation to the existing observation statistics. This allows for more stable validation with a fixed maximum number of…

We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees…

We propose and analyze a method for computing failure probabilities of systems modeled as numerical deterministic models (e.g., PDEs) with uncertain input data. A failure occurs when a functional of the solution to the model is below (or…

No--arbitrage property provides a simple method for pricing financial derivatives. However, arbitrage opportunities exist among different markets in various fields, even for a very short time. By knowing that an arbitrage property exists,…

We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…

Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…

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 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…

Improving Importance Sampling estimators for rare event probabilities requires sharp approx- imations of the optimal density leading to a nearly zero-variance estimator. This paper presents a new way to handle the estimation of the…

The aim of this paper is to introduce a new Monte Carlo method based on importance sampling techniques for the simulation of stochastic differential equations. The main idea is to combine random walk on squares or rectangles methods with…

This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…

This paper focuses on modelling surrender time for policyholders in the context of life insurance. In this setup, a large lapse rate at the first months of a contract is often observed, with a decrease in this rate after some months. The…

A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…

Recurrent event data are common in clinical studies when participants are followed longitudinally, and are often subject to a terminal event. With the increasing popularity of large pragmatic trials with a heterogeneous source population,…