Search Results - subject:"Poisson Process"

Indirect assessment of the bivariate survival function

Ebrahimi, Nader - In: Annals of the Institute of Statistical Mathematics 56 (2004) 3, pp. 435-448

Persistent link: https://www.econbiz.de/10005395606

First Passage Time of Filtered Poisson Process with Exponential Shape Function

Novikov, Alexander; Melchers, R. E.; Shinjikashvili, E.; … - Finance Discipline Group, Business School - 2003

Poisson Process generated by pulses with uniform or exponential distributions. Also, the martingale technique is applied for …

Persistent link: https://www.econbiz.de/10005102343

ARIMA models for bank failures: Prediction and comparison

Cui, Fangjin - 2011

The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the...

Persistent link: https://www.econbiz.de/10009458751

Pricing catastrophe swaps: A contingent claims approach

Braun, Alexander - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 520-536

counterparty default risk. Catastrophe occurrence is modeled as a doubly stochastic Poisson process (Cox process) with mean …

Persistent link: https://www.econbiz.de/10010576743

Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation

Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; … - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 565-579

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilized to undertake capital estimation. It has however become well accepted to utilize a Loss Distributional Approach (LDA) paradigm to model...

Persistent link: https://www.econbiz.de/10011046657

On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios

Dachian, Sergueï; Negri, Ilia - In: Statistical Inference for Stochastic Processes 14 (2011) 3, pp. 255-271

Persistent link: https://www.econbiz.de/10009325266

Counting your customers from an “always a share” perspective

Ma, Shaohui; Büschken, Joachim - In: Marketing Letters 22 (2011) 3, pp. 243-257

Persistent link: https://www.econbiz.de/10009327543

Objective Bayesian reference analysis for the Poisson process model in presence of recurrent events data

Bernardo, José; Tomazella, Vera - In: TEST: An Official Journal of the Spanish Society of … 20 (2011) 1, pp. 204-221

Persistent link: https://www.econbiz.de/10009400182

OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS

GASSIAT, PAUL; PHAM, HUYÊN; SÎRBU, MIHAI - In: International Journal of Theoretical and Applied … 14 (2011) 01, pp. 17-40

Poisson process. By using a direct dynamic programming approach, we first derive and solve the fixed point dynamic programming …

Persistent link: https://www.econbiz.de/10008862296

A robust asymptotically optimal sequential estimation procedure for the Poisson process

Hwang, Leng-Cheng - In: Metrika 74 (2011) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10009149622