相关论文: On Representing the Mean Residual Life in Terms of…

The lifetime of a system of connected units under some natural assumptions can be represented as a random variable Y defined as a weighted lattice polynomial of random lifetimes of its components. As such, the concept of a random variable Y…

We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…

We consider dynamic versions of the mutual information of lifetime distributions, with focus on past lifetimes, residual lifetimes and mixed lifetimes evaluated at different instants. This allows to study multicomponent systems, by…

The reversed aging intensity function is defined as the ratio of the instantaneous reversed hazard rate to the baseline value of the reversed hazard rate. It analyzes the aging property quantitatively, the higher the reversed aging…

The survival probability measures the probability that a system taken out of equilibrium has not yet moved out from its initial state. Inspired by the generalized entropies used to analyze nonergodic states, we introduce a generalized…

Missing data is pervasive in econometric applications, and rarely is it plausible that the data are missing (completely) at random. This paper proposes a methodology for studying the robustness of results drawn from incomplete datasets.…

Complex biological processes are usually experimented along time among a collection of individuals. Longitudinal data are then available and the statistical challenge is to better understand the underlying biological mechanisms. The…

Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained…

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…

Repeated measures of biomarkers have the potential of explaining hazards of survival outcomes. In practice, these measurements are intermittently measured and are known to be subject to substantial measurement error. Joint modelling of…

Here we introduce the idea of using rational expectations, a core concept in economics and finance, as a tool to predict the optimal failure time for a wide class of weighted k-out-of-n reliability systems. We illustrate the concept by…

Survival analysis aims at modeling the relationship between covariates and event occurrence with some untracked (censored) samples. In implementation, existing methods model the survival distribution with strong assumptions or in a discrete…

Assessing fit in common factor models solely through the lens of mean and covariance structures, as is commonly done with conventional goodness-of-fit (GOF) assessments, may overlook critical aspects of misfit, potentially leading to…

We study the multi-species replicator model with linear fitness and random fitness matrices of various classes. By means of numerical resolution of the replicator equations, we determine the survival probability of a species in terms of its…

In this paper, we propose a flexible cure rate model with frailty term in latent risk, which is obtained by incorporating a frailty term in risk function of latent competing causes. The number of competing causes of the event of interest…

We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…

Survival extropy, which quantifies the uncertainty associated with the remaining lifetime distribution, provides an information-theoretic perspective on survival behavior. We consider a divergence measure based on survival extropy and…

Assuming an exponential power distribution is one way to deal with outliers in regression and clustering, which can increase the robustness of the analysis. Gaussian distribution is a special case of an exponential distribution. And an…

Conformal predictive systems are sets of predictive distributions with theoretical out-of-sample calibration guarantees. The calibration guarantees are typically that the set of predictions contains a forecast distribution whose prediction…

While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…