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A class of CTRWs: Compound fractional Poisson processes
The compound Poisson process Markovian and L\'evy semi-Markov extension
2011/3/31
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson ...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Segmentation algorithm for non-stationary compound Poisson processes
Segmentation algorithm non-stationary compound Poisson processes
2010/10/18
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of th...
Computing Tails of Compound Distributions Using Direct Numerical Integration
characteristic function compound distribution truncation error
2010/10/29
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing
high quantiles and conditional Value at Risk (CVaR) of compound distributions using
characteristic funct...
Model uncertainty in claims reserving within Tweedie's compound Poisson models
Claims reserving model uncertainty Tweedie’s compound Poisson model Bayesian analysis model selection model averaging Markov chain Monte Carlo
2010/10/29
In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the m...