In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim...

This paper demonstrates that popular linear fixed-effects panel-data estimators are biased andinconsistent when applied in a discrete-time hazard setting - that is, one in which the outcomevariable is a binary dummy indicating an absorbing state, even if the data-generating process isfully...

The clustering of their letter shapes is performed based on the pairwise distances between their topological signatures.The article presents a new probability distribution, created by compounding the Poisson distribution with the weighted exponential distribution. Important mathematical and...

The COVID-19 crisis has revealed the economic vulnerability of various countries and, thus, has instigated the systematic exploration and forecasting of sovereign default risks. Multivariate statistical and stochastic process-based sovereign default risk forecasting has a 50-year developmental...

In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from...

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...

Common sense is a dynamic concept and it is natural that our (statistical) common sense lags behind the development of statistical science. What is not so easy to understand is why common sense lags behind as much as it does. We conduct a survey among Japanese students and try to understand why...