scholarly journals ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS

2014 ◽  
Vol 45 (1) ◽  
pp. 175-205 ◽  
Author(s):  
Enkelejd Hashorva ◽  
Gildas Ratovomirija
Keyword(s):  
North American ◽  
Stochastic Models ◽  
Capital Allocation ◽  
Economic Capital ◽  
Individual Risk ◽  
Dependence Structure ◽  
Simulation Studies ◽  
Numerical Examples ◽  
Dependence Measures ◽  
Analytical Expressions

AbstractIn this paper we consider an extension to the aggregation of the FGM mixed Erlang risks, proposed by Cossette et al. (2013 Insurance: Mathematics and Economics, 52, 560–572), in which we introduce the Sarmanov distribution to model the dependence structure. For our framework, we demonstrate that the aggregated risk belongs to the class of Erlang mixtures. Following results from S. C. K. Lee and X. S. Lin (2010 North American Actuarial Journal, 14(1) 107–130), G. E. Willmot and X. S. Lin (2011 Applied Stochastic Models in Business and Industry, 27(1) 8–22), analytical expressions of the contribution of each individual risk to the economic capital for the entire portfolio are derived under both the TVaR and the covariance capital allocation principle. By analysing the commonly used dependence measures, we also show that the dependence structure is wide and flexible. Numerical examples and simulation studies illustrate the tractability of our approach.

Comparing stochastic systems using regenerative simulation with common random numbers

1979 ◽  
Vol 11 (04) ◽  
pp. 804-819 ◽  
Author(s):  
Philip Heidelberger ◽  
Donald L. Iglehart
Keyword(s):  
Stochastic Models ◽  
Stochastic System ◽  
Variance Reduction ◽  
Stochastic Systems ◽  
Sufficient Conditions ◽  
Random Numbers ◽  
Numerical Examples ◽  
Common Random Numbers ◽  
Regenerative Simulation ◽  
Alternative Designs

Suppose two alternative designs for a stochastic system are to be compared. These two systems can be simulated independently or dependently. This paper presents a method for comparing two regenerative stochastic processes in a dependent fashion using common random numbers. A set of sufficient conditions is given that guarantees that the dependent simulations will produce a variance reduction over independent simulations. Numerical examples for a variety of simple stochastic models are included which illustrate the variance reduction achieved.

scholarly journals Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 55
Author(s):  
Prince Osei Mensah ◽  
Anokye M. Adam
Keyword(s):  
Exchange Rates ◽  
Foreign Currency ◽  
Tail Dependence ◽  
Time Range ◽  
Dependence Structure ◽  
Joint Movement ◽  
Positive Dependence ◽  
Study Results ◽  
Foreign Currencies ◽  
Dependence Measures

This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between the time range of 24 February 2009 and 19 December 2019. We use different sets of both static (time-invariant) and time-varying copulas with different levels of dependence and tail dependence measures, and the study results reveal positive dependence between all exchange rates pairs, though the dependencies for EUR-USD and GBP-USD pairs are not as strong as the EUR-GBP pair. The findings also reveal symmetric tail dependence, and dependence evolves over time. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency pairs. The afore-mentioned findings, therefore, offer forex market players the opportunity to relax in hoarding a particular foreign currency in anticipation of domestic currency depreciation.

scholarly journals Heterogeneous individual risk modelling of recurrent events

Biometrika ◽  
2020 ◽  
Author(s):  
Huijuan Ma ◽  
Limin Peng ◽  
Chiung-Yu Huang ◽  
Haoda Fu
Keyword(s):  
Recurrent Events ◽  
Asymptotic Properties ◽  
Dynamic Modelling ◽  
Individual Risk ◽  
Simulation Studies ◽  
Finite Sample ◽  
Risk Modelling ◽  
Modelling Framework ◽  
Proposed Model

Summary Progression of chronic disease is often manifested by repeated occurrences of disease-related events over time. Delineating the heterogeneity in the risk of such recurrent events can provide valuable scientific insight for guiding customized disease management. We propose a new sensible measure of individual risk of recurrent events and present a dynamic modelling framework thereof, which accounts for both observed covariates and unobservable frailty. The proposed modelling requires no distributional specification of the unobservable frailty, while permitting exploration of the dynamic effects of the observed covariates. We develop estimation and inference procedures for the proposed model through a novel adaptation of the principle of conditional score. The asymptotic properties of the proposed estimator, including the uniform consistency and weak convergence, are established. Extensive simulation studies demonstrate satisfactory finite-sample performance of the proposed method. We illustrate the practical utility of the new method via an application to a diabetes clinical trial that explores the risk patterns of hypoglycemia in type 2 diabetes patients.

scholarly journals Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-15
Author(s):  
Nachatchapong Kaewsompong ◽  
Paravee Maneejuk ◽  
Woraphon Yamaka
Keyword(s):  
Bayesian Estimation ◽  
Bayesian Method ◽  
Real Data ◽  
Copula Function ◽  
Dependence Structure ◽  
Simulation Studies ◽  
Multivariate Normal ◽  
Empirical Comparison ◽  
Proposed Model ◽  
Conventional Models

We propose a high-dimensional copula to model the dependence structure of the seemingly unrelated quantile regression. As the conventional model faces with the strong assumption of the multivariate normal distribution and the linear dependence structure, thus, we apply the multivariate exchangeable copula function to relax this assumption. As there are many parameters to be estimated, we consider the Bayesian Markov chain Monte Carlo approach to estimate the parameter interests in the model. Four simulation studies are conducted to assess the performance of our proposed model and Bayesian estimation. Satisfactory results from simulation studies are obtained suggesting the good performance and reliability of the Bayesian method used in our proposed model. The real data analysis is also provided, and the empirical comparison indicates our proposed model outperforms the conventional models in all considered quantile levels.

scholarly journals Some Results on Measures of Interaction between Paired Risks

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 88 ◽  
Author(s):  
Rui Fang ◽  
Xiaohu Li
Keyword(s):  
Monte Carlo Simulation ◽  
Risk Management ◽  
Monte Carlo ◽  
Risk Measures ◽  
Dependence Structure ◽  
Marginal Distributions ◽  
Numerical Examples ◽  
Risk Contribution ◽  
Actuarial Risk

Co-risk measures and risk contribution measures have been introduced to evaluate the degree of interaction between paired risks in actuarial risk management. This paper attempts to study the ordering behavior of measures on interaction between paired risks. For various co-risk measures and risk contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings.

Incompletely Specified Displacements: Geometry and Spatial Linkage Synthesis

1973 ◽  
Vol 95 (2) ◽  
pp. 603-611 ◽  
Author(s):  
Lung-Wen Tsai ◽  
Bernard Roth
Keyword(s):  
Rigid Body ◽  
Screw Axis ◽  
Numerical Examples ◽  
Spatial Linkages ◽  
Free Parameters ◽  
Analytical Expressions ◽  
Linkage Synthesis

The screw axis geometry associated with displacements of points and lines is studied. Analytical expressions are developed for rigid body screw displacements which have one or more free parameters. It is shown how to apply these results to the synthesis of spatial linkages. The theory is illustrated by numerical examples in which Cylindric-Cylindric cranks are designed to guide two points in a rigid body through five and then nine specified positions.

scholarly journals Medindo a Influência do Mercado dos EUA sobre as Interdependências Observadas na América Latina

2005 ◽  
Vol 3 (1) ◽  
pp. 123
Author(s):  
Alba Regina Moretti ◽  
Beatriz Vaz de Melo Mendes
Keyword(s):  
Latin American ◽  
North American ◽  
Polynomial Regression ◽  
Value Theory ◽  
Extreme Value ◽  
Parametric Models ◽  
Dependence Structure ◽  
Practical Applications ◽  
The North ◽  
North American Market

The modeling of the extremal dependence structure can be made through parametric models classified in two families: Logistic and Mixed, which contain the symmetric and asymmetric models. The bivariate models are very useful in practical applications on the extreme value theory, in particular in a financial area. Considering the strong influence of the North American market on other financial markets, we investigate how does the dependence structure among the Latin American markets change after filtering the influence of the North American market. To remove that influence, we carry on a polynomial regression with GARCH (1,1) errors, and fit the bivariate extreme value models to the pairs of monthly maxima and minima of the standardized regression residuals.

Passive Control Analysis and Design of Twin-Tower Structure with Chassis

2020 ◽  
Vol 20 (06) ◽  
pp. 2040010
Author(s):  
Qiaoyun Wu ◽  
Hai Feng ◽  
Shiye Xiao ◽  
Hongping Zhu ◽  
Xixuan Bai
Keyword(s):  
Minimum Energy ◽  
Degree Of Freedom ◽  
Vibration Energy ◽  
Control Analysis ◽  
Numerical Examples ◽  
Analysis And Design ◽  
Mdof Systems ◽  
Tower Structure ◽  
Passive Dampers ◽  
Analytical Expressions

In this paper, a symmetrical twin-tower structure with chassis connected with passive dampers is coupled as 2-DOF (degree of freedom) model. Using the stationary white noise as seismic excitation, the frequency–response function and the vibration energy expression of the symmetrical twin-tower structure are established based on the simplified 2-DOF model. Furthermore, based on the principle of minimum energy, the analytical expressions of the optimization parameters of two kinds of passive dampers are deduced, and the effectiveness of the dampers with optimized coefficients on structural control is verified by numerical examples of 2-DOF and MDOF (multi-degree-of-freedom) systems, respectively. Finally, the control effects of the two kinds of dampers under different control strategies on the responses of displacement of the top, base shear, structural vibration energy, and maximum inter-story drift of the symmetrical twin-tower structure are discussed through three-dimensional finite element numerical examples. It is verified that the analytical expressions of optimum parameters of the two kinds of dampers proposed based on the 2-DOF model are also beneficial to reduce the responses of the MDOF systems and actual engineering.

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