Asymptotic Expansions for Infinite Weighted Convolutions of Heavy Tail Distributions and Applications PDF Download
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Author: Philippe Barbe
Publisher:
ISBN: 9781470405281
Category : MATHEMATICS
Languages : en
Pages : 133
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Book Description
"Volume 197, number 922 (Fourth of five numbers)."
Author: Philippe Barbe
Publisher:
ISBN: 9781470405281
Category : MATHEMATICS
Languages : en
Pages : 133
Get Book
Book Description
"Volume 197, number 922 (Fourth of five numbers)."
Author: Ph Barbe
Publisher: American Mathematical Soc.
ISBN: 0821842595
Category : Mathematics
Languages : en
Pages : 117
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Book Description
The authors establish some asymptotic expansions for infinite weighted convolution of distributions having regularly varying tails. Applications to linear time series models, tail index estimation, compound sums, queueing theory, branching processes, infinitely divisible distributions and implicit transient renewal equations are given.A noteworthy feature of the approach taken in this paper is that through the introduction of objects, which the authors call the Laplace characters, a link is established between tail area expansions and algebra. By virtue of this representation approach, a unified method to establish expansions across a variety of problems is presented and, moreover, the method can be easily programmed so that a computer algebra package makes implementation of the method not only feasible but simple.
Author: Gareth W. Peters
Publisher: John Wiley & Sons
ISBN: 1118909542
Category : Mathematics
Languages : en
Pages : 1235
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Book Description
ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.
Author:
Publisher:
ISBN: 9814466921
Category :
Languages : en
Pages :
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Book Description
Author: David D. Hanagal
Publisher: Springer Nature
ISBN: 9811679320
Category : Mathematics
Languages : en
Pages : 318
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Book Description
This book collects select contributions presented at the International Conference on Importance of Statistics in Global Emerging (ISGES 2020) held at the Department of Mathematics and Statistics, University of Pune, Maharashtra, India, from 2–4 January 2020. It discusses recent developments in several areas of statistics with applications of a wide range of key topics, including small area estimation techniques, Bayesian models for small areas, ranked set sampling, fuzzy supply chain, probabilistic supply chain models, dynamic Gaussian process models, grey relational analysis and multi-item inventory models, and more. The possible use of other models, including generalized Lindley shared frailty models, Benktander Gibrat risk model, decision-consistent randomization method for SMART designs and different reliability models are also discussed. This book includes detailed worked examples and case studies that illustrate the applications of recently developed statistical methods, making it a valuable resource for applied statisticians, students, research project leaders and practitioners from various marginal disciplines and interdisciplinary research.
Author: Pierre Magal
Publisher: American Mathematical Soc.
ISBN: 0821846531
Category : Bifurcation theory
Languages : en
Pages : 84
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Book Description
Several types of differential equations, such as delay differential equations, age-structure models in population dynamics, evolution equations with boundary conditions, can be written as semilinear Cauchy problems with an operator which is not densely defined in its domain. The goal of this paper is to develop a center manifold theory for semilinear Cauchy problems with non-dense domain. Using Liapunov-Perron method and following the techniques of Vanderbauwhede et al. in treating infinite dimensional systems, the authors study the existence and smoothness of center manifolds for semilinear Cauchy problems with non-dense domain. As an application, they use the center manifold theorem to establish a Hopf bifurcation theorem for age structured models.
Author: Andr Martinez
Publisher: American Mathematical Soc.
ISBN: 082184296X
Category : Mathematics
Languages : en
Pages : 96
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Book Description
The authors construct an abstract pseudodifferential calculus with operator-valued symbol, suitable for the treatment of Coulomb-type interactions, and they apply it to the study of the quantum evolution of molecules in the Born-Oppenheimer approximation, in the case of the electronic Hamiltonian admitting a local gap in its spectrum. In particular, they show that the molecular evolution can be reduced to the one of a system of smooth semiclassical operators, the symbol of which can be computed explicitely. In addition, they study the propagation of certain wave packets up to long time values of Ehrenfest order.
Author: Josef Dick
Publisher: Springer Science & Business Media
ISBN: 3642410952
Category : Mathematics
Languages : en
Pages : 686
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Book Description
This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.
Author: Georgia Benkart
Publisher: American Mathematical Soc.
ISBN: 0821842269
Category : Mathematics
Languages : en
Pages : 145
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Book Description
The ``Recognition Theorem'' for graded Lie algebras is an essential ingredient in the classification of finite-dimensional simple Lie algebras over an algebraically closed field of characteristic $p>3$. The main goal of this monograph is to present the first complete proof of this fundamental result.
Author: Roelof W. Bruggeman
Publisher: American Mathematical Soc.
ISBN: 0821842021
Category : Mathematics
Languages : en
Pages : 81
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Book Description
The authors prove a general form of the sum formula $\mathrm{SL}_2$ over a totally real number field. This formula relates sums of Kloosterman sums to products of Fourier coefficients of automorphic representations. The authors give two versions: the spectral sum formula (in short: sum formula) and the Kloosterman sum formula. They have the independent test function in the spectral term, in the sum of Kloosterman sums, respectively.
