This paper investigates solution stability of parametric variational inequalities over Euclidean balls in finite dimensional spaces. We provide exact formulas for computing required coderivatives of the normal cone mappings to Euclidean balls via the initial data. On the basis of these formulas,...

We consider in this paper that the reserve of an insurance company follows the classical model, in which the aggregate claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that the management can invest dynamically part of the...

This paper considers computation of mixture weights of the marginal distribution of pooled order statistics that arise from combining and ordering multiple independent Type-II right censored samples. The proposed method is an iterative procedure which is computationally efficient and produces...

This paper presents an extension of the traditional bankruptcy problem. In a resource allocation problem there is a common-pool resource, which needs to be divided among agents. Each agent is characterized by a claim on this pool and an individual linear monetary reward function for assigned...

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal growth of national economies are typical examples. Numerical methods typically approximate the value function and use value function iteration to compute the...

A threshold stochastic volatility (SV) model is used for capturing time-varying volatilities and nonlinearity. Two adaptive Markov chain Monte Carlo (MCMC) methods of model selection are designed for the selection of threshold variables for this family of SV models. The first method is the...

Motivated by too restrictive or even incorrect statements about generalized inverses in the literature, properties about these functions are investigated and proven. Examples and counterexamples show the importance of generalized inverses in mathematical theory and its applications. Copyright...

In multinomial logit models, the identifiability of parameter estimates is typically obtained by side constraints that specify one of the response categories as reference category. When parameters are penalized, shrinkage of estimates should not depend on the reference category. In this paper we...

In this paper we consider semi-Markov reliability models of systems with discrete state space in a setup general enough to cover systems with maintenance and repair. The systems are assumed to consist of several components which can either be up or down in each state. In this framework we...

Latent variable models for ordinal data represent a useful tool in different fields of research in which the constructs of interest are not directly observable so that one or more latent variables are required to reduce the complexity of the data. In these cases problems related to the...