Premium evaluation for different loss distributions using utility theory

Harman Preet Singh Kapoor; Kanchan Jain

Displaying similar documents to “Premium evaluation for different loss distributions using utility theory”

Global approximations for the γ-order Lognormal distribution

Thomas L. Toulias (2013)

Discussiones Mathematicae Probability and Statistics

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A generalized form of the usual Lognormal distribution, denoted with $_{γ}$ , is introduced through the γ-order Normal distribution $_{γ}$ , with its p.d.f. defined into (0,+∞). The study of the c.d.f. of $_{γ}$ is focused on a heuristic method that provides global approximations with two anchor points, at zero and at infinity. Also evaluations are provided while certain bounds are obtained.

The right tail exponent of the Tracy–Widom $β$ distribution

Laure Dumaz, Bálint Virág (2013)

Annales de l'I.H.P. Probabilités et statistiques

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The Tracy–Widom $β$ distribution is the large dimensional limit of the top eigenvalue of $β$ random matrix ensembles. We use the stochastic Airy operator representation to show that as $a \to \infty$ the tail of the Tracy–Widom distribution satisfies $P ({𝑇𝑊}_{β} g t; a) = a^{- (3 / 4) β + o (1)} exp (- \frac{2}{3} β a^{3 / 2}) .$

Scale-free percolation

Maria Deijfen, Remco van der Hofstad, Gerard Hooghiemstra (2013)

Annales de l'I.H.P. Probabilités et statistiques

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We formulate and study a model for inhomogeneous long-range percolation on $ℤ^{d}$ . Each vertex $x \in ℤ^{d}$ is assigned a non-negative weight $W_{x}$ , where ${(W_{x})}_{x \in ℤ}^{d}$ are i.i.d. random variables. Conditionally on the weights, and given two parameters $α, λ g t; 0$ , the edges are independent and the probability that there is an edge between $x$ and $y$ is given by $p_{x y} = 1 - exp {- λ W_{x} W_{y} {/ | x - y |}^{α}}$ . The parameter $λ$ is the percolation parameter, while $α$ describes the long-range nature of the model. We focus on the degree distribution in the resulting graph, on whether...

Geometrically strictly semistable laws as the limit laws

Marek T. Malinowski (2007)

Discussiones Mathematicae Probability and Statistics

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A random variable X is geometrically infinitely divisible iff for every p ∈ (0,1) there exists random variable $X_{p}$ such that $X \overset{d}{=} \sum_{k = 1}^{T (p)} X_{p, k}$ , where $X_{p, k}$ ’s are i.i.d. copies of $X_{p}$ , and random variable T(p) independent of $X_{p, 1}, X_{p, 2}, . . .$ has geometric distribution with the parameter p. In the paper we give some new characterization of geometrically infinitely divisible distribution. The main results concern geometrically strictly semistable distributions which form a subset of geometrically infinitely divisible distributions....

On Lagrangian systems with some coordinates as controls

Franco Rampazzo (1988)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti

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Let $\Sigma$ be a constrained mechanical system locally referred to state coordinates $(q^{1},...,q^{N},\gamma^{1},...,\gamma^{M})$ . Let $(\tilde{\gamma}^{1}...\tilde{\gamma}^{M})(\cdot)$ be an assigned trajectory for the coordinates $\gamma^{\alpha}$ and let $u(\cdot)$ be a scalar function of the time, to be thought as a control. In [4] one considers the control system $\Sigma_{\hat{\gamma}}$ , which is parametrized by the coordinates $(q^{1},...,q^{N})$ and is obtained from $\Sigma$ by adding the time-dependent, holonomic constraints $\gamma^{\alpha}=\hat{\gamma}^{\alpha}(t):=\tilde{\gamma}^{\alpha}(u(t))$ . More generally, one can consider a vector-valued control $u(\cdot)=(u^{1},...,u^{M})(\cdot)$ which is directly identified with $\hat{\gamma}(\cdot)=(\hat{\gamma}^{1},...,\hat{\gamma}^{M})(\cdot)$ . If one denotes the momenta...

On control theory and its applications to certain problems for Lagrangian systems. On hyperimpulsive motions for these. II. Some purely mathematical considerations for hyper-impulsive motions. Applications to Lagrangian systems

Aldo Bressan (1988)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti

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See Summary in Note I. First, on the basis of some results in [2] or [5]-such as Lemmas 8.1 and 10.1-the general (mathematical) theorems on controllizability proved in Note I are quickly applied to (mechanic) Lagrangian systems. Second, in case $\Sigma$ , $\chi$ and $M$ satisfy conditions (11.7) when $\mathcal{Q}$ is a polynomial in $\dot{\gamma}$ , conditions (C)-i.e. (11.8) and (11.7) with $\mathcal{Q}\equiv 0$ -are proved to be necessary for treating satisfactorily $\Sigma$ 's hyper-impulsive motions (in which positions can suffer first order discontinuities)....

Some new Formulas involving $Γ_{q}$ Functions

Thomas Ernst (2007)

Rendiconti del Seminario Matematico della Università di Padova

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Perron-Frobenius operators and the Klein-Gordon equation

Francisco Canto-Martín, Håkan Hedenmalm, Alfonso Montes-Rodríguez (2014)

Journal of the European Mathematical Society

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For a smooth curve $Γ$ and a set $Λ$ in the plane $ℝ^{2}$ , let $A C (Γ; Λ)$ be the space of finite Borel measures in the plane supported on $Γ$ , absolutely continuous with respect to the arc length and whose Fourier transform vanishes on $Λ$ . Following [12], we say that $(Γ, Λ)$ is a Heisenberg uniqueness pair if $A C (Γ; Λ) = {0}$ . In the context of a hyperbola $Γ$ , the study of Heisenberg uniqueness pairs is the same as looking for uniqueness sets $Λ$ of a collection of solutions to the Klein-Gordon equation. In this work, we mainly...

Gap universality of generalized Wigner and $β$ -ensembles

László Erdős, Horng-Tzer Yau (2015)

Journal of the European Mathematical Society

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We consider generalized Wigner ensembles and general $β$ -ensembles with analytic potentials for any $β \geq 1$ . The recent universality results in particular assert that the local averages of consecutive eigenvalue gaps in the bulk of the spectrum are universal in the sense that they coincide with those of the corresponding Gaussian $β$ -ensembles. In this article, we show that local averaging is not necessary for this result, i.e. we prove that the single gap distributions in the bulk are universal....

Positivity of integrated random walks

Vladislav Vysotsky (2014)

Annales de l'I.H.P. Probabilités et statistiques

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Take a centered random walk $S_{n}$ and consider the sequence of its partial sums $A_{n} : = \sum_{i = 1}^{n} S_{i}$ . Suppose $S_{1}$ is in the domain of normal attraction of an $α$ -stable law with $1 l t; α \leq 2$ . Assuming that $S_{1}$ is either right-exponential (i.e. $ℙ (S_{1} g t; x | S_{1} g t; 0) = e^{- a x}$ for some $a g t; 0$ and all $x g t; 0$ ) or right-continuous (skip free), we prove that $ℙ {A_{1} g t; 0, \dots, A_{N} g t; 0} \sim C_{α} N^{1 / (2 α) - 1 / 2}$ as $N \to \infty$ , where $C_{α} g t; 0$ depends on the distribution of the walk. We also consider a conditional version of this problem and study positivity of integrated discrete bridges.

On uniqueness of distribution of a random variable whose independent copies span a subspace in $L_{p}$

S. Astashkin, F. Sukochev, D. Zanin (2015)

Studia Mathematica

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Let 1 ≤ p < 2 and let $L_{p} = L_{p} [0, 1]$ be the classical $L_{p}$ -space of all (classes of) p-integrable functions on [0,1]. It is known that a sequence of independent copies of a mean zero random variable $f \in L_{p}$ spans in $L_{p}$ a subspace isomorphic to some Orlicz sequence space $l_{M}$ . We give precise connections between M and f and establish conditions under which the distribution of a random variable $f \in L_{p}$ whose independent copies span $l_{M}$ in $L_{p}$ is essentially unique.

On the computation of moments of the partial non-central $χ$ -square distribution function

Gil, Amparo, Segura, Javier, Temme, Nico C.

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Properties satisfied by the moments of the partial non-central $χ$ -square distribution function, also known as Nuttall Q-functions, and methods for computing these moments are discussed in this paper. The Nuttall Q-function is involved in the study of a variety of problems in different fields, as for example digital communications.

On a fixobject property for $l^{c} β$ -semigroupoids

M. Đurić (1973)

Matematički Vesnik

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Order relations in the set of probability distribution functions and their applications in queueing theory

Tomasz Rolski

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CONTENTSIntroduction......................................................................................................................................... 51. n-Monotonic functions on (— ∞, ∞)........................................................................................... 62. Order relations in the set of probability distribution functions....................................................... 12 2.1. Preliminary concepts...............................................................................................................

On the limit distribution of the well-distribution measure of random binary sequences

Christoph Aistleitner (2013)

Journal de Théorie des Nombres de Bordeaux

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We prove the existence of a limit distribution of the normalized well-distribution measure $W (E_{N}) / \sqrt{N}$ (as $N \to \infty$ ) for random binary sequences $E_{N}$ , by this means solving a problem posed by Alon, Kohayakawa, Mauduit, Moreira and Rödl.

Why Jordan algebras are natural in statistics: quadratic regression implies Wishart distributions

G. Letac, J. Wesołowski (2011)

Bulletin de la Société Mathématique de France

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If the space $𝒬$ of quadratic forms in $ℝ^{n}$ is splitted in a direct sum $𝒬_{1} \oplus ... \oplus 𝒬_{k}$ and if $X$ and $Y$ are independent random variables of $ℝ^{n}$ , assume that there exist a real number $a$ such that $E (X | X + Y) = a (X + Y)$ and real distinct numbers $b_{1}, . . ., b_{k}$ such that $E (q (X) | X + Y) = b_{i} q (X + Y)$ for any $q$ in $𝒬_{i} .$ We prove that this happens only when $k = 2$ , when $ℝ^{n}$ can be structured in a Euclidean Jordan algebra and when $X$ and $Y$ have Wishart distributions corresponding to this structure.

Persistence of iterated partial sums

Amir Dembo, Jian Ding, Fuchang Gao (2013)

Annales de l'I.H.P. Probabilités et statistiques

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Let $S_{n}^{(2)}$ denote the iterated partial sums. That is, $S_{n}^{(2)} = S_{1} + S_{2} + \dots + S_{n}$ , where $S_{i} = X_{1} + X_{2} + \dots + X_{i}$ . Assuming $X_{1}, X_{2}, ..., X_{n}$ are integrable, zero-mean, i.i.d. random variables, we show that the persistence probabilities $p_{n}^{(2)} : = ℙ (max_{1 \leq i \leq n} S_{i}^{(2)} l t; 0) \leq c \sqrt{\frac{𝔼 | S_{n + 1} |}{(n + 1) 𝔼 | X_{1} |}},$ with $c \leq 6 \sqrt{30}$ (and $c = 2$ whenever $X_{1}$ is symmetric). The converse inequality holds whenever the non-zero $min (- X_{1}, 0)$ is bounded or when it has only finite third moment and in addition $X_{1}$ is squared integrable. Furthermore, $p_{n}^{(2)} ≍ n^{- 1 / 4}$ for any non-degenerate squared integrable, i.i.d., zero-mean $X_{i}$ . In contrast, we show that for any $0 l t; γ l t; 1 / 4$ there exist integrable,...