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The biasness problem of the maximum‐likelihood estimate (MLE) of the common shape parameter of several Weibull populations is examined in detail. A modified MLE (MMLE) approach is proposed. In the case of complete and Type II censored data, the bias of the MLE can be substantial. This is...
Mortality improvements pose a challenge for the planning of public retirement systems as well as for the private life annuities business. For public policy, as well as for the management of financial institutions, it is important to forecast future mortality rates. Standard models for mortality...
We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long‐range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the...
We use a semi‐Markov model to analyse the stochastic dynamics of disease occurrence of dogs insured in Canada from 1990 to 1999, and the probability pattern of death from illness. After statistically justifying the use of a stochastic model, we demonstrate that a stationary first‐order...
In a recent paper, Yoon (Working Paper, Department of Economics and Related Studies, University of York, 2003. Presented at the ESF‐EMM Second Annual Meeting, Rome, Italy, 2003) asserts that the stochastic unit root (STUR) model is closely related to long memory processes, and, in particular,...
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