The constrained estimation in Cox’s model for the right-censored survival data is studied and the asymptotic properties of the constrained estimators are derived by using the Lagrangian method based on Karush–Kuhn–Tucker conditions. A novel minorization–maximization (MM) algorithm is...

In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting...

Recently, Ng et al. (2009) studied a new family of distributions, namely the nested Dirichlet distributions. This family includes the traditional Dirichlet distribution as a special member and can be adopted to analyze incomplete categorical data. However, other important aspects of the...

Recently, there has been a lot of interest in modelling real data with a heavy-tailed distribution. A popular candidate is the so-called generalized autoregressive conditional heteroscedastic (GARCH) model. Unfortunately, the tails of GARCH models are not thick enough in some applications. In...

In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends are paid to the shareholders according to an admissible strategy with dividend rate bounded by a constant. Our objective is to find a dividend policy so as to maximize the...

In this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein-Uhlenbeck process. Using...

As an important extension of the regular kappa statistic, the weighted kappa statistic has been widely used to assess the agreement between two procedures for independent matched-pair ordinal data. For clustered matched-pair ordinal data, based on the delta method and sampling techniques, a...

Based on the cost efficiency of individual banks, this paper constructs an indicator to clarify Chinese regional banking system’s credit allocation efficiency in accordance with the panel data of the provinces and central-government-administered cities of China. When applying this...

Motivated by the recent advances in the kappa statistic for the clustered physician–patients dichotomous data, we extend the development for the polytomous data. For the clustered physician–patients polytomous data, based on its special correlation and covariance structure, we propose a...