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  • Search: subject_exact:"Poisson process"
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Year of publication
Subjects
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Poisson process 122 Poisson Process 27 Levy process 22 Levy-Prozess 22 Bayesian Learning 21 Strategic Experimentation 21 Markov Perfect Equilibrium 20 Bayesian learning 18 Theorie 17 Two-Armed Bandit 17 poisson process 17 Markov perfect equilibrium 13 Stochastischer Prozess 12 Theory 11 hurdle model 11 two-armed bandit 11 Bellman equation 10 Differential-Difference Equation 10 Exponential Distribution 10 Piecewise Deterministic Process 10 Strategic experimentation 10 differential-difference equation 8 equation 8 piecewise deterministic process 8 probability 8 Spieltheorie 7 equations 7 probability distribution 7 stochastic differential equation 7 Economic models 6 Markov chain 6 Stochastic differential equation 6 correlation 6 exposure 6 probabilities 6 random variable 6 statistics 6 Markov-Kette 5 Stochastic process 5 co-payment 5
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Online availability
All
Free 98 Undetermined 53
Type of publication
All
Article 96 Book / Working Paper 88 Other 3
Type of publication (narrower categories)
All
Working Paper 37 Article in journal 31 Aufsatz in Zeitschriften 31 Graue Literatur 22 Non-commercial literature 22 Arbeitspapier 18 Dissertation 5 Hochschulschrift 5 Thesis 5 Article 4 Collection of articles written by one author 2 Sammlung 2
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Language
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English 106 Undetermined 79 German 1 French 1
Persons
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Rady, Sven 27 Keller, Godfrey 19 Winkelmann, Rainer 11 Klein, Nicolas 9 Sennewald, Ken 9 Wälde, Klaus 7 Baetschmann, Gregori 6 Klein, Nicolas Alexandre 6 Burnecki, Krzysztof 5 Caliendo, Marco 4 Janczura, Joanna 4 Beran, Jan 3 Cripps, Martin W. 3 Helmers, Roelof 3 Krichene, Noureddine 3 Ocker, Dirk 3 Weron, Rafal 3 Assareh, Hassan 2 Batabyal, Amitrajeet A 2 Beladi, Hamid 2 Boucher, Jean-Philippe 2 Chen, Huifen 2 Chen, Zhiping 2 Couture-Piché, Guillaume 2 Cripps, Martin 2 Duan, Qihong 2 Elliott, Robert J. 2 Insley, Margaret 2 Jeanblanc, Monique 2 Mengersen, Kerrie L. 2 Noorossana, Rassoul 2 Ohnishi, Takaaki 2 Perron, Pierre 2 Privault, Nicolas 2 Qu, Zhongjun 2 Radic, Dubravko 2 Radić, Dubravko 2 Schmeiser, Bruce 2 Sornette, Didier 2 Soyer, R. 2
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Institutions
All
International Monetary Fund (IMF) 8 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 C.E.P.R. Discussion Papers 3 CESifo 2 Department of Economics, Boston University 2 Fakultät Wirtschaftswissenschaften, Technische Universität Dresden 2 Forschungsbasierte Infrastruktureinrichtung "Sozio-oekonomisches Panel (SOEP)", DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Department of Economics, Adam Smith Business School 1 Department of Economics, University of Munich 1 Department of Economics, University of Oxford 1 Department of Economics, University of Texas-Austin 1 Department of Economics, University of Waterloo 1 Econometric Society 1 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1 Institute for the Study of Labor (IZA) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Suomen Pankki 1 Turun Kauppakorkeakoulu, Turun Yliopisto 1 Verlag Dr. Kovač 1 Volkswirtschaftslehre-Lehrstühle, Gutenberg School of Management and Economics 1 Wirtschaftswissenschaftliche Fakultät, Bayerische Julius-Maximilians-Universität Würzburg 1 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 1
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Published in...
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Annals of the Institute of Statistical Mathematics 12 IMF Working Papers 8 Theoretical Economics 5 Computational Statistics & Data Analysis 4 Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 4 Discussion papers / Governance and the Efficiency of Economic Systems 4 SFB/TR 15 Discussion Paper 4 CEPR Discussion Papers 3 Physica A: Statistical Mechanics and its Applications 3 Quality & Quantity: International Journal of Methodology 3 SOEPpapers on Multidisciplinary Panel Data Research 3 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 3 Theoretical economics : TE : an open access journal in economic theory 3 Boston University - Department of Economics - Working Papers Series 2 CESifo Working Paper 2 CESifo Working Paper Series 2 CoFE Discussion Paper 2 Computational Statistics 2 Discussion Papers in Economics 2 Dresden Discussion Paper Series in Economics 2 Dresden discussion paper in economics 2 Economics Bulletin 2 HSC Research Reports 2 INFORMS journal on computing : JOC 2 IZA Discussion Papers 2 International journal of production economics 2 International journal of production research 2 MPRA Paper 2 Mathematical Methods of Operations Research 2 Munich Discussion Paper 2 Münchener Wirtschaftswissenschaftliche Beiträge : VWL : discussion papers 2 Natural Hazards 2 PhD thesis / Department of Economics and Business, Aarhus University 2 Research paper series 2 SOEP papers on multidisciplinary panel data research 2 Statistical Inference for Stochastic Processes 2 Statistics & Probability Letters 2 Theoretical economics : TE : journal of the Econometric Society : open access to research in economic theory 2 Working Paper Series, University of Zurich, Department of Economics 2 Working paper series 2
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Sources
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RePEc 102 ECONIS (ZBW) 58 EconStor 23 BASE 4
Showing 1 - 50 of 187
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The importance of being honest
Klein, Nicolas - In: Theoretical Economics 11 (2016) 3, pp. 773-811
This paper analyzes the case of a principal who wants to provide an agent with proper incentives to explore a hypothesis that can be either true or false. The agent can shirk, thus never proving the hypothesis, or he can avail himself of a known technology to produce fake successes. This latter...
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41 counterexamples to property (B) of the discrete time bomber problem
Kamihigashi, Takashi - 2016
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Do rare events explain CDX tranche spreads?
Seo, Sang Byung; Wachter, Jessica - 2016
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The importance of being honest
Klein, Nicolas Alexandre - In: Theoretical economics : TE : an open access journal in … 11 (2016) 3, pp. 773-811
This paper analyzes the case of a principal who wants to provide an agent with proper incentives to explore a hypothesis that can be either true or false. The agent can shirk, thus never proving the hypothesis, or he can avail himself of a known technology to produce fake successes. This latter...
Saved in:
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An econometric model of health care demand with non-linear pricing
Kunz, Johannes S.; Winkelmann, Rainer - 2015
From 2004 to 2012, the German social health insurance levied a co-payment for the first doctor visit in a calendar quarter. We develop a new model for estimating the effect of such a co-payment on the individual number of visits per quarter. The model allows for a one time increase in the...
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Breakdowns
Keller, Godfrey; Rady, Sven - In: Theoretical Economics 10 (2015) 1, pp. 175-202
We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...
Saved in:
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Breakdowns
Keller, Godfrey; Rady, Sven - In: Theoretical Economics 10 (2015) 1
We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...
Saved in:
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Lévy semistationary models with applications in energy markets
Sauri, Orimar - 2015
Preview
Preview
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Markov perfect equilibria in stochastic revision games
Lovo, Stefano M.; Tomala, Tristan - 2015
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An econometric model of health care demand with non-linear pricing
Kunz, Johannes; Winkelmann, Rainer - 2015
From 2004 to 2012, the German social health insurance levied a co-payment for the first doctor visit in a calendar quarter. We develop a new model for estimating the effect of such a co-payment on the individual number of visits per quarter. The model allows for a one time increase in the...
Saved in:
Cover Image
Breakdowns
Keller, Godfrey; Rady, Sven - In: Theoretical economics : TE : an open access journal in … 10 (2015) 1, pp. 175-202
We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...
Saved in:
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Positive expected feedback trading gain for all essentially linearly representable prices
Baumann, Michael Heinrich; Grüne, Lars - 2015
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Pricing and hedging variable annuities in a Lévy market : a risk management perspective
Kélani, Abdou; Quittard-Pinon, François - In: The journal of risk and insurance : the journal of the … 84 (2017) 1, pp. 209-238
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Jumps and uncertainties in financial markets : applications of Lévy processes and implied volatilities
Stadler, Johannes - 2017
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Queueing network model for obstetric patient flow in a hospital
Takagi, Hideaki; Kanai, Yuta; Misue, Kazuo - In: Health care management science 20 (2017) 3, pp. 433-451
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Aggregate implications of lumpy investment under heterogeneity and uncertainty : a model of collective behavior
Arata, Yoshiyuki; Kimura, Yosuke; Murakami, Hiroki - In: Evolutionary and institutional economics review 14 (2017) 2, pp. 311-333
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Revenue-based lending for SMEs
Mazengera, Hassan - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-20
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Pricing derivatives under Lévy models : modern finite-difference and pseudo-differential operators approach
Itkin, Andrey - 2017
Basics of a finite difference method -- Modern finite difference approach -- An M-matrix theory and FD -- Brief Introduction to Lévy processes -- Pseudoparabolic and fractional equations of option pricing -- Pseudoparabolic equations for various Lévy models -- High-order splitting methods for...
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Preview
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Time-varying conditional discrete jumps in emerging African equity markets
Kuttu, Saint - In: Global finance journal 32 (2017), pp. 35-54
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A dynamic hurdle model for zero-inflated count data: With an application to health care utilization
Baetschmann, Gregori; Winkelmann, Rainer - 2014
A Dynamic Hurdle Model for Zero-Inflated Count Data: With an Application to Health Care UtilizationExcess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process...
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An empirical model of health care demand under non-linear pricing
Winkelmann, Rainer - 2014
In 2004, the German Social Health Insurance introduced a co-payment for the first doctor visit in a calendar quarter. I combine a structural model of health care demand and a difference-in-differences strategy to estimate the effect of that reform on the number of visits. In the model, the...
Saved in:
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A dynamic hurdle model for zero-inflated count data: With an application to health care utilization
Baetschmann, Gregori; Winkelmann, Rainer - 2014
Excess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process has two rates, a lower rate until the first event, and a higher one thereafter. We derive the...
Saved in:
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A Dynamic Hurdle Model for Zero-Inflated Count Data: With an Application to Health Care Utilization
Baetschmann, Gregori; Winkelmann, Rainer - Forschungsbasierte Infrastruktureinrichtung … - 2014
A Dynamic Hurdle Model for Zero-Inflated Count Data: With an Application to Health Care UtilizationExcess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process...
Saved in:
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A dynamic hurdle model for zero-inflated count data: with an application to health care utilization
Winkelmann, Rainer; Baetschmann, Gregori - Institut für Volkswirtschaftslehre, … - 2014
Excess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process has two rates, a lower rate until the first event, and a higher one thereafter. We derive the...
Saved in:
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An Empirical Model of Health Care Demand under Non-linear Pricing
Winkelmann, Rainer - Forschungsbasierte Infrastruktureinrichtung … - 2014
In 2004, the German Social Health Insurance introduced a co-payment for the first doctor visit in a calendar quarter. I combine a structural model of health care demand and a difference-in-differences strategy to estimate the effect of that reform on the number of visits. In the model, the...
Saved in:
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Forecasting future oil production in Norway and the UK : a general improved methodology
Fiévet, Lucas (contributor); Forrò, Zalàn (contributor);  … - 2014
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An empirical model of health care demand under non-linear pricing
Winkelmann, Rainer - 2014
In 2004, the German Social Health Insurance introduced a co-payment for the first doctor visit in a calendar quarter. I combine a structural model of health care demand and a difference-in-differences strategy to estimate the effect of that reform on the number of visits. In the model, the...
Saved in:
Cover Image
A dynamic hurdle model for zero-inflated count data : with an application to health care utilization
Baetschmann, Gregori; Winkelmann, Rainer - 2014
Excess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process has two rates, a lower rate until the first event, and a higher one thereafter. We derive the...
Saved in:
Cover Image
A dynamic hurdle model for zero-inflated count data : with an application to health care utilization
Baetschmann, Gregori; Winkelmann, Rainer - 2014
A Dynamic Hurdle Model for Zero-Inflated Count Data: With an Application to Health Care UtilizationExcess zeros are encountered in many empirical count data applications. We provide a new explanation of extra zeros, related to the underlying stochastic process that generates events. The process...
Saved in:
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Estimation of continuous time models driven by Lévy Processes
Floor Brix, Anne - 2014
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Preview
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Risk measures and portfolio optimization
Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 113-129
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
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Modeling the number of insured households in an insurance portfolio using queuing theory
Boucher, Jean-Philippe; Couture-Piché, Guillaume - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 401-430
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The costs of implementing a unilateral one-sided exchange rate target zone
Hertrich, Markus - In: Review of economics : = Jahrbuch für … 67 (2016) 1, pp. 91-120
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The importance of being honest
Klein, Nicolas Alexandre - In: Theoretical economics : TE : journal of the Econometric … 11 (2016) 3, pp. 773-811
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An autoregressive approach to modeling commodity prices as a quasi-fractional Brownian motion
Turvey, Calum Greig; Wongsasutthikul, Paitoon - In: Agricultural finance review 76 (2016) 1, pp. 54-75
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Bayesian change point estimation in Poisson-based control charts
Assareh, Hassan; Noorossana, Rassoul; Mengersen, Kerrie L. - In: Journal of Industrial Engineering International 9 (2013), pp. 1-13
Precise identification of the time when a process has changed enables process engineers to search for a potential special cause more effectively. In this paper, we develop change point estimation methods for a Poisson process in a Bayesian framework. We apply Bayesian hierarchical models to...
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Bayesian change point estimation in Poisson-based control charts
Assareh, Hassan; Noorossana, Rassoul; Mengersen, Kerrie L. - In: Journal of industrial engineering international 9 (2013), pp. 1-13
Precise identification of the time when a process has changed enables process engineers to search for a potential special cause more effectively. In this paper, we develop change point estimation methods for a Poisson process in a Bayesian framework. We apply Bayesian hierarchical models to...
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Comparison and anti-concentration bounds for maxima of Gaussian random vectors
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2013
Slepian and Sudakov-Fernique type inequalities, which com- pare expectations of maxima of Gaussian random vectors under certain restrictions on the covariance matrices, play an important role in probability theory, especially in empirical process and extreme value theories. Here we give explicit...
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Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data
Filimonov, Vladimir; Sornette, Didier - 2013
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Breakdowns
Keller, Godfrey; Rady, Sven - 2012
We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...
Saved in:
Cover Image
Breakdowns
Keller, Godfrey; Rady, Sven - Volkswirtschaftliche Fakultät, … - 2012
We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...
Saved in:
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From Stress to Costress; Stress Testing Interconnected Banking Systems
Maino, Rodolfo; Tintchev, Kalin - International Monetary Fund (IMF) - 2012
This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is...
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CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm
Bławat, Bogusław - Volkswirtschaftliche Fakultät, … - 2012
In the presented paper, the author tried to introduce a new initiative in risk assessment of companies' financial difficulties, which arise in the RMI CRI in Singapore under the guidance of prof. Jin-Chuan Duan. This initiative and proposed based on Poisson process theoretical model is available...
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Breakdowns
Keller, Godfrey; Rady, Sven - 2012 - This version: December 18, 2012
We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...
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Nonparametric estimation of the jump component in financial time series
Yener, Serkan - 2012
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A dynamic default dependence model
Cecchetti, Sara; Nappo, Giovanna - 2012
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Modeling the number of insureds' cars using queuing theory
Boucher, Jean-Philippe; Couture-Piché, Guillaume - In: Insurance 64 (2015), pp. 67-76
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Time varying costs of capital and the expected present value of future cash flows
Davidson, Ian; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 21 (2015) 1/3, pp. 129-146
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Real options valuation : the importance of stochastic process choice in commodity price modelling
Schöne, Max - 2015 - Aufl. 2015
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Breakdowns
Keller, Godfrey; Rady, Sven - In: Theoretical economics : TE : journal of the Econometric … 10 (2015) 1, pp. 175-202
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