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Joint asymptotic distributions of smallest and largest insurance claims

Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...

Persistent link: https://www.econbiz.de/10010400269

Predicting future purchases with the Poisson log-normal model

Trinh, Giang; Rungie, Cam; Wright, Malcolm; Driesener, Carl - In: Marketing letters : a journal of research in marketing 25 (2014) 2, pp. 219-234

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Bayesian estimation of non-Gaussian stochastic volatility models

Elabed, Asma Graja; Masmoudi, Afif - In: Journal of mathematical finance 4 (2014) 2, pp. 95-103

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Univariate and multivariate process yield indices based on location-scale family of distributions

Dharmasena, L. S.; Zeephongsekul, Panlop - In: International journal of production research 52 (2014) 11, pp. 3348-3365

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Using copulas to model time dependence in stochastic frontier models

Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Econometric reviews 33 (2014) 5/6, pp. 497-522

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Measure, probability, and mathematical finance : a problem oriented approach

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Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape

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Persistent link: https://www.econbiz.de/10010366171

Mixed copula model with stochastic correlation for CDO pricing

Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174

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Stochastic frontier models with threshold efficiency

Lee, Sungwon; Lee, Young Hoon - In: Journal of productivity analysis 42 (2014) 1, pp. 45-54

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Generalized dynamic panel data models with random effects for cross-section and time

Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140

Persistent link: https://www.econbiz.de/10010433402