1 - 10 of 12 articles
Identifying periods of recession and expansion is a challenging topic of ongoing interest with important economic and monetary policy implications. Given the current state of the global economy, significant attention has recently been devoted to identifying and forecasting economic recessions....
In this paper, we study the problem of optimal investment and proportional reinsurance coverage in the presence of inside information. To be more precise, we consider two firms: an insurer and a reinsurer who are both allowed to invest their surplus in a Black–Scholes‐type financial market. The...
This paper discusses a statistical model regarding intermediate price transitions of online auctions. The objective was to characterize the stochastic process by which prices of online auctions evolve and to estimate conditional intermediate price transition probabilities given current price,...
A complex sequence of tests on components and the system is a part of many manufacturing processes. Statistical imperfect test and repair models can be used to derive the properties of such test sequences but require model parameters to be specified. We describe a technique for estimating such...
We use dynamic style analysis to unveil the strategies followed by Brazilian actuarial funds from January 2004 to August 2008 and investigate whether managers’ decisions were compatible with the intention of protecting the investor against the negative effects of inflation. The main goal of this...
Customer satisfaction data collected by a large cellular phone service provider are to be used to evaluate and improve the quality of their service. For this purpose, we propose a Bayesian treatment of a joint‐response chain graph relating partial assessments of specific aspects of quality to an...
In this paper, we consider the jump‐diffusion risk model with proportional reinsurance and stock price process following the constant elasticity of variance model. Compared with the geometric Brownian motion model, the advantage of the constant elasticity of variance model is that the volatility...
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