Found 620 Documents (Results 1–100)
A stochastic model for neural progenitor dynamics in the mouse cerebral cortex. (English) Zbl 07875662
Compound Poisson-Lindley process with sarmanov dependence structure and its application for premium-based spectral risk forecasting. (English) Zbl 07834035
MSC:
91B05
On the least squares estimation of multiple-threshold-variable autoregressive models. (English) Zbl 1531.62210
MSC:
62P20
Stationary jump and diffusion processes for planar directions obtained by wrapping. (English) Zbl 1537.60106
Statistical inference for mixed jump processes by Markov switching model with application to identify seismicity levels. (English) Zbl 07832484
MSC:
82-XX
Coupled stochastic systems of Skorokhod type: well-posedness of a mathematical model and its applications. (English) Zbl 1533.60100
A probabilistic scheme for semilinear nonlocal diffusion equations with volume constraints. (English) Zbl 07770183
The two-barrier escape problem for compound renewal processes with two-sided jumps. (English) Zbl 1515.60280
Applications of the classical compound Poisson model with claim sizes following a compound distribution. (English) Zbl 1518.91220
A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process. (English) Zbl 1509.60158
Stochastic applications of Caputo-type convolution operators with nonsingular kernels. (English) Zbl 1528.47003
Strongly mixing smooth planar vector field without asymptotic directions. (English) Zbl 1514.37063
Reviewer: Ivan Podvigin (Novosibirsk)
The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model. (Chinese. English summary) Zbl 07801237
Multivariate claim processes with rough intensities: properties and estimation. (English) Zbl 1507.91181
A compound Poisson EOQ model for perishable items with intermittent high and low demand periods. (English) Zbl 1501.90001
MSC:
90B05
Compound Poisson frailty model with a gamma process prior for the baseline hazard: accounting for a cured fraction. (English) Zbl 07611107
MSC:
62-XX
A hybrid manufacturing system with demand for intermediate goods and controllable make-to-stock production rate. (English) Zbl 1524.90134
Dividends and compound Poisson processes: a new stochastic stock price model. (English) Zbl 1496.91099
Statistical arbitrage in jump-diffusion models with compound Poisson processes. (English) Zbl 1494.91166
Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment. (English) Zbl 07533659
Background driving distribution functions and series representations for log-gamma self-decomposable random variables. (English) Zbl 1492.60042
Theory Probab. Appl. 67, No. 1, 105-117 (2022) and Teor. Veroyatn. Primen. 67, No. 1, 134-149 (2022).
Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. (English) Zbl 1499.90094
Threshold regression with a threshold boundary. (English) Zbl 07925255
MSC:
62P20
Monitoring time and magnitude based on the renewal reward process with a random failure threshold. (English) Zbl 1521.62237
MSC:
62-XX
A periodic review decision model for an inventory system with two demand types. (English) Zbl 1486.90006
MSC:
90B05
Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events. (English) Zbl 1477.60066
Hawkes processes in insurance: risk model, application to empirical data and optimal investment. (English) Zbl 1475.91317
Limit behavior of a compound Poisson process with switching between multiple values. (English. Russian original) Zbl 1478.60146
J. Math. Sci., New York 258, No. 6, 764-776 (2021); translation from Zap. Nauchn. Semin. POMI 486, 44-62 (2019).
Reviewer: Edward Omey (Brussel)
A simple proof of the Lévy-Khintchine formula for subordinators. (English) Zbl 1482.60063
MSC:
60G51
A characterization of martingale-equivalent mixed compound Poisson processes. (English) Zbl 1476.91036
On the first passage time density for a class of compound Poisson process. (Chinese. English summary) Zbl 1488.60131
Rare event process and entry times distribution for arbitrary null sets on compact manifolds. (English. French summary) Zbl 1477.37009
A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme. (English) Zbl 1468.49027
Compound Poisson approximation for regularly varying fields with application to sequence alignment. (English) Zbl 1480.60136
The Laplace transform of ruin time with investment and barrier dividend. (Chinese. English summary) Zbl 1474.91034
A catastrophe shock model and the bond pricing. (Chinese. English summary) Zbl 1474.91165
Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process. (English) Zbl 1511.91036
A surplus process involving a compound Poisson counting process and applications. (English) Zbl 1511.91039
On three-graded manpower model with non-homogeneous Poisson recruitment in first and second grades. (English) Zbl 1479.90129
MSC:
90B70
Nonequilibrium relaxation and pattern formation. (English) Zbl 1479.82050
Reviewer: Bassano Vacchini (Milano)
Green measures for Markov processes. (English) Zbl 1474.60133
Reviewer: Anatoly N. Kochubei (Kyïv)
Optimal defined contribution pension management with salary and risky assets following jump diffusion processes. (English) Zbl 1466.91275
Reviewer: Emilia Di Lorenzo (Napoli)
Net premium reserve in life insurance under Vasicek model with jumps. (Chinese. English summary) Zbl 1474.91169
Limit behavior of a compound Poisson process with switching and dominated summands. (English. Russian original) Zbl 1460.60018
J. Math. Sci., New York 251, No. 1, 27-37 (2020); translation from Zap. Nauchn. Semin. POMI 474, 46-62 (2018).
Limit behavior of a compound Poisson process with switching. (English. Russian original) Zbl 1459.60076
J. Math. Sci., New York 244, No. 5, 733-742 (2020); translation from Zap. Nauchn. Semin. POMI 466, 54-66 (2017).
Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery. (English) Zbl 1452.62155
Reviewer: Doina Carp (Bucureşti)
On series expansions for scale functions and other ruin-related quantities. (English) Zbl 1447.91142
Extended large deviation principle for trajectories of processes with independent and stationary increments on the half-line. (English. Russian original) Zbl 1447.60056
Probl. Inf. Transm. 56, No. 1, 56-72 (2020); translation from Probl. Peredachi Inf. 56, No. 1, 63-79 (2020).
MSC:
60F10
Moments of discounted aggregate claims with dependence based on Spearman copula. (English) Zbl 1437.91400
A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles. (English) Zbl 1435.60039
Multiscale stochastic optimization: modeling aspects and scenario generation. (English) Zbl 1432.90094
Quasi-likelihood estimation of structure-changed threshold double autoregressive models. (English) Zbl 1437.62331
Exact asymptotics for the distribution of the time of attaining the maximum for a trajectory of a compound Poisson process with linear drift. (Russian) Zbl 1492.60092
Compound Dirichlet processes. (English) Zbl 1436.60034
Antoniano-Villalobos, Isadora (ed.) et al., Selected contributions on statistics and data science in Latin America. 33rd “Foro nacional de estadística” (FNE) and 13th “Congreso Latinoamericano de Sociedades de Estadística” (CLATSE), Guadalajara, Mexico, October 1–5, 2018. Cham: Springer. Springer Proc. Math. Stat. 301, 43-58 (2019).
Empirical likelihood ratio for two-sample compound Poisson process problems. (English) Zbl 07193881
MSC:
62-XX
Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (English) Zbl 1432.91125
On jump-diffusive driving noise sources. Some explicit results and applications. (English) Zbl 1439.60078
Optimal cash management problem for compound Poisson processes with two-sided jumps. (English) Zbl 1429.49040
MSC:
49N25
Statistical inference for structurally changed threshold autoregressive models. (English) Zbl 1441.62233
Reviewer: Claudia Simionescu-Badea (Wien)
Valuation of contingent convertible catastrophe bonds – the case for equity conversion. (English) Zbl 1425.91215
MSC:
91B30
91G20
Poisson approximation. (English) Zbl 1422.60028
Large deviations for weighted means of random vectors defined in terms of suitable Lévy processes. (English) Zbl 1458.60037
Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations. (English) Zbl 1426.62244
Generalized threshold latent variable model. (English) Zbl 1427.62100
Reviewer: Alessandro Selvitella (Fort Wayne)
Negative binomial autoregressive process with stochastic intensity. (English) Zbl 1425.62125
Reviewer: Claudia Simionescu-Badea (Wien)
Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles. (English) Zbl 1418.62373
Large deviations for processes on half-line: random walk and compound Poisson. (English) Zbl 1420.60039
Ergodic control of a class of jump diffusions with finite Lévy measures and rough kernels. (English) Zbl 1415.93288
Personal non-life insurance decisions and the welfare loss from flat deductibles. (English) Zbl 1419.91384
MSC:
91B30
91B16
Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift. (English) Zbl 1403.60038
Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes. (English) Zbl 1498.60139
Filter Results by …
Document Type
- Journal Articles (582)
- Collection Articles (22)
- Books (16)
all
top 5
Author
- Perry, David (12)
- Zacks, Shelemyahu (12)
- Gusak, Dmytro V. (11)
- Stadje, Wolfgang (10)
- Liang, Zhibin (9)
- Guo, Junyi (7)
- Mangku, I. Wayan (7)
- Teugels, Jozef L. (7)
- Willmot, Gordon E. (7)
- Azcue, Pablo (6)
- Dshalalow, Jewgeni H. (6)
- Lee, Eui Yong (6)
- Muler, Nora E. (6)
- Yuen, Kam Chuen (6)
- Delbaen, Freddy (5)
- Haezendonck, Jean (5)
- Korolyuk, Volodymyr Semenovych (5)
- Lefèvre, Claude (5)
- Ling, Shiqing (5)
- Asmussen, Søren (4)
- Bai, Lihua (4)
- Beekman, John A. (4)
- Cheng, Conghua (4)
- Duval, Céline (4)
- Kasparavičiūtė, Aurelija (4)
- Macci, Claudio (4)
- Madan, Kailash C. (4)
- Minkova, Leda D. (4)
- Mogul’skii, Anatolii Alfredovich (4)
- Picard, Philippe (4)
- Tapiero, Charles S. (4)
- Wu, Rong (4)
- Xia, Aihua (4)
- Zuckerman, Dror (4)
- Barbour, Andrew David (3)
- Berman, Simeon M. (3)
- Bondarev, Borys Volodymyrovych (3)
- Borodin, Andreĭ Nikolaevich (3)
- Borovkov, Aleksandr Alekseevich (3)
- Bouzas, Paula R. (3)
- Cai, Jun (3)
- Cha, Ji Hwan (3)
- Ebrahimi, Nader (3)
- Embrechts, Paul (3)
- Erhardsson, Torkel (3)
- Gerber, Hans U. (3)
- Gugushvili, Shota (3)
- Hu, Xiang (3)
- Hu, Yijun (3)
- Korolev, Viktor Yur’evich (3)
- Li, Dong (3)
- Li, Shuanming (3)
- Limnios, Nikolaos (3)
- Lin, X. Sheldon (3)
- Lysak, Nataliya P. (3)
- Macheras, Nikolaos Demetrios (3)
- Ming, Ruixing (3)
- Novak, Serguei Yu. (3)
- Ruhiyat (3)
- Shurko, G. K. (3)
- Shurko, I. L. (3)
- Sumarno, Hadi (3)
- van der Meulen, Frank Henri (3)
- Yin, Chuancun (3)
- Yu, Ping (3)
- Zhang, Chunsheng (3)
- Zhang, Lianzeng (3)
- Zhang, Xin (3)
- Aalen, Odd Olai (2)
- Abu-Dayyeh, Walid A. (2)
- Adke, S. R. (2)
- Albrecher, Hansjörg (2)
- Alghamdi, Abdullah (2)
- Anisimov, Vladimir Vladislavovič (2)
- Avanzi, Benjamin (2)
- Bayraktar, Erhan (2)
- Beghin, Luisa (2)
- Behme, Anita Diana (2)
- Bellanger, Lise (2)
- Böker, Fred (2)
- Boogaert, P. (2)
- Bose, Arup (2)
- Boxma, Onno Johan (2)
- Brockwell, Peter John (2)
- Bshouty, Daoud H. (2)
- Chen, Jinyuan (2)
- Chi, Yichun (2)
- Coen, Arrigo (2)
- Comte, Fabienne (2)
- da Silva, José Luís (2)
- De Kok, Antonius Gerlacus (2)
- Deltuvienė, Dovilė (2)
- Di Crescenzo, Antonio (2)
- Dickson, David C. M. (2)
- Dufresne, François (2)
- Economou, Antonis (2)
- Frostig, Esther (2)
- Fuelling, Clinton P. (2)
- Gao, Qibing (2)
- Gatto, Riccardo (2)
- and 715 more Authors
all
top 5
Serial
- Insur. Math. Econ. (48)
- J. Appl. Probab. (25)
- Stochastic Processes Appl. (25)
- Stat. Probab. Lett. (24)
- Methodol. Comput. Appl. Probab. (16)
- Scand. Actuarial J. (15)
- Commun. Stat., Theory Methods (13)
- Adv. Appl. Probab. (11)
- Scand. Actuar. J. (9)
- Stoch. Models (8)
- Stochastic Anal. Appl. (7)
- Far East J. Math. Sci. (FJMS) (7)
- Prykl. Stat., Aktuarna Finans. Mat. (7)
- Mod. Stoch., Theory Appl. (7)
- J. Stat. Plann. Inference (5)
- Chin. J. Appl. Probab. Stat. (5)
- Ann. Oper. Res. (5)
- Theory Probab. Math. Stat. (5)
- Bernoulli (5)
- Electron. J. Stat. (5)
- Scand. J. Stat. (4)
- Ann. Stat. (4)
- Appl. Math. Comput. (4)
- J. Econom. (4)
- Manage. Sci. (4)
- Oper. Res. Lett. (4)
- Commun. Stat., Stochastic Models (4)
- J. Theor. Probab. (4)
- Ann. Appl. Probab. (4)
- Eur. J. Oper. Res. (4)
- J. Math. Sci., New York (4)
- Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka (4)
- Appl. Stoch. Models Bus. Ind. (4)
- Theory Stoch. Process. (4)
- ASTIN Bull. (4)
- Theory Probab. Appl. (3)
- Ann. Inst. Stat. Math. (3)
- Ann. Probab. (3)
- Math. Oper. Res. (3)
- Sankhyā, Ser. A (3)
- SIAM J. Control Optim. (3)
- Acta Math. Appl. Sin. (3)
- Stat. Decis. (3)
- Electron. J. Probab. (3)
- J. Appl. Stat. (3)
- Stat. Inference Stoch. Process. (3)
- J. Shandong Univ., Nat. Sci. (3)
- Chin. J. Eng. Math. (3)
- J. Bus. Econ. Stat. (3)
- Comput. Math. Appl. (2)
- Math. Biosci. (2)
- Metrika (2)
- Zastosow. Mat. (2)
- Appl. Math. Optim. (2)
- J. Comput. Appl. Math. (2)
- Mitt., Ver. Schweiz. Versicherungsmath. (2)
- Oper. Res. (2)
- Tokyo J. Math. (2)
- J. Math., Wuhan Univ. (2)
- J. Time Ser. Anal. (2)
- Acta Math. Appl. Sin., Engl. Ser. (2)
- Sequential Anal. (2)
- J. Jiangxi Norm. Univ., Nat. Sci. Ed. (2)
- Math. Comput. Modelling (2)
- Math. Appl. (2)
- Queueing Syst. (2)
- Econ. Lett. (2)
- Appl. Math. Modelling (2)
- Serdica (2)
- SIAM J. Appl. Math. (2)
- Appl. Math. (2)
- Math. Methods Stat. (2)
- Stat. Sin. (2)
- Electron. Commun. Probab. (2)
- Nonlinear Stud. (2)
- Methods Funct. Anal. Topol. (2)
- ESAIM, Probab. Stat. (2)
- Math. Methods Oper. Res. (2)
- Fract. Calc. Appl. Anal. (2)
- Mat. Tr. (2)
- Int. J. Theor. Appl. Finance (2)
- Probab. Eng. Inf. Sci. (2)
- ANZIAM J. (2)
- J. Shenzhen Univ., Sci. Eng. (2)
- Acta Math. Sci., Ser. B, Engl. Ed. (2)
- J. Univ. Sci. Technol. China (2)
- Asia-Pac. Financ. Mark. (2)
- Stochastics (2)
- J. Korean Stat. Soc. (2)
- Adv. Ser. Stat. Sci. Appl. Probab. (2)
- ALEA, Lat. Am. J. Probab. Math. Stat. (2)
- Acta Math. Sin., Chin. Ser. (2)
- Appl. Anal. (1)
- Can. J. Stat. (1)
- Indian J. Pure Appl. Math. (1)
- J. Math. Anal. Appl. (1)
- J. Math. Biol. (1)
- J. Stat. Phys. (1)
- Lith. Math. J. (1)
- Math. Methods Appl. Sci. (1)
- and 139 more Serials
all
top 5
Year of Publication
- 2024 (6)
- 2023 (15)
- 2022 (14)
- 2021 (17)
- 2020 (22)
- 2019 (21)
- 2018 (18)
- 2017 (21)
- 2016 (19)
- 2015 (17)
- 2014 (11)
- 2013 (20)
- 2012 (23)
- 2011 (32)
- 2010 (25)
- 2009 (25)
- 2008 (14)
- 2007 (25)
- 2006 (14)
- 2005 (10)
- 2004 (22)
- 2003 (14)
- 2002 (13)
- 2001 (7)
- 2000 (12)
- 1999 (6)
- 1998 (10)
- 1997 (6)
- 1996 (11)
- 1995 (7)
- 1994 (5)
- 1993 (16)
- 1992 (7)
- 1991 (8)
- 1990 (11)
- 1989 (9)
- 1988 (5)
- 1987 (8)
- 1986 (10)
- 1985 (12)
- 1984 (11)
- 1983 (12)
- 1982 (6)
- 1981 (7)
- 1980 (5)
- 1979 (5)
- 1978 (2)
- 1977 (4)
all
top 3
Main Field
- 60-XX (415)
- 62-XX (229)
- 91-XX (188)
- 90-XX (68)
- 93-XX (28)
- 65-XX (25)
- 92-XX (14)
- 49-XX (10)
- 34-XX (6)
- 35-XX (6)
- 47-XX (6)
- 26-XX (5)
- 33-XX (5)
- 45-XX (5)
- 46-XX (5)
- 68-XX (4)
- 37-XX (3)
- 44-XX (3)
- 82-XX (3)
- 05-XX (2)
- 11-XX (2)
- 81-XX (2)
- 01-XX (1)
- 12-XX (1)
- 28-XX (1)
- 30-XX (1)
- 39-XX (1)
- 41-XX (1)
- 86-XX (1)
- 94-XX (1)
- 97-XX (1)
all
top 3
Software
- MCQueue (3)
- R (3)
- GAMLSS (2)
- QRM (2)
- BGPhazard (1)
- BartPy (1)
- BayesTree (1)
- BayesX (1)
- CAViaR (1)
- CODA (1)
- COGARCH.rm (1)
- CRAN (1)
- ChromoScan (1)
- CircStats (1)
- CreditRisk+ (1)
- DLMF (1)
- Excel (1)
- Fahrmeir (1)
- MACSYMA (1)
- Mathematica (1)
- Rugarch (1)
- STABLE (1)
- StochPy (1)
- Turbo Pascal (1)
- WinBUGS (1)
- YUIMA (1)
- circular (1)
- fExoticOptions (1)
- fda (R) (1)
- longmemo (1)
- mlrnd (1)
- spBayes (1)
- timeSeries (1)
- tseries (1)
