This paper focuses on developing and adapting statistical models of counts (non-negative integers) in the context of panel data and using them to analyze the relationship between patents and R&D expenditures. The model used is an application and generalization of the Poisson distribution to...

In this paper, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called (a,b,0) class. Then we show that the derived formulas can...

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...

At the core of securities financing transaction modeling is computing the distribution of the borrower default contingent market losses. Typically, the borrower’s credit spread is modeled after the lognormal model and the asset price dynamics is governed by a correlated jump diffusion model....

This paper introduces a new shifted negative log-normal distribution for the price parameter in Mixed Multinomial logit models. The new distribution, labelled as the u-shifted negative log-normal distribution, has desirable properties for welfare analysis and in particular a point-mass which is...

Attribute less event point datasets (AEPDs) are datasets composed of discrete events or observations defined by their geographical location only and lacking any other additional attributes. Examples of such datasets include spotted criminal events, road accidents and residential locations of...

Some of our judgments are unstable, in the sense that they are an artifact of, or endogenous to, what else we see. This is true of sensory perception: Whether an object counts as blue or purple depends on what other objects surround it. It is also true for ethical judgments: Whether conduct...

In the Health and Retirement Survey respondents were asked about the chances they would live to 75 or to 85, and the chances they would work after age 62 or 65. We analyze the responses to determine if they behave like probabilities, if their averages are close to average probabilities in the...

The objective of this paper is to approximate the probability density functions for Ornstein-Uhlenbeck processes that are driven by Levy processes. This is achieved by considering a truncated set of cumulants relating to the Levy measure and expressing these as moments of Gaussian random...