Displaying similar documents to “A review of discrete-time risk models.”

Shock models with NBUFR and NBAFR survivals.

A. M. Abouammoh, M. I. Hindi, A. N. Ahmed (1988)

Trabajos de Estadística

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The life distribution H(t) of a device subject to shocks governed by a Poisson process and pure birth process is considered as a function of probabilities P of not surviving the first k shocks. It is shown that some properties of a discrete distribution {P'} are reflected on properties of the continuous life distribution H(t). In particular, if P has the discrete NBUFR properties, then H(t) has the continuous NBUFR and NBAFR properties. The NBUFR and NBAFR life distributions are obtained...

Security price modelling by a binomial tree

Remigijus Leipus, Alfredas Račkauskas (1999)

Applicationes Mathematicae

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We consider multidimensional tree-based models of arbitrage-free and path-independent security markets. We assume that no riskless investment exists. Contingent claims pricing and hedging problems in such a market are studied.

Characterizacion of the bivariate discrete distributions defined by a partial difference equations system.

Ramón Gutiérrez Jáimez, Miguel Angel Fajardo Caldera (1988)

Trabajos de Estadística

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Conditions under which the solutions of a partial difference equations system can be probability functions are examined. When the coefficients of the system are polynomials then the partial difference equations system satisfied by generating functions associated to these distributions are easily obtained; they give useful recurrence relations for the moments. Three examples are given as well.

A nonlocal coagulation-fragmentation model

Mirosław Lachowicz, Dariusz Wrzosek (2000)

Applicationes Mathematicae

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A new nonlocal discrete model of cluster coagulation and fragmentation is proposed. In the model the spatial structure of the processes is taken into account: the clusters may coalesce at a distance between their centers and may diffuse in the physical space Ω. The model is expressed in terms of an infinite system of integro-differential bilinear equations. We prove that some results known in the spatially homogeneous case can be extended to the nonlocal model. In contrast to the corresponding...

A Bayesian approach to cluster analysis.

José M. Bernardo, F.Javier Girón (1988)

Qüestiió

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A general probabilistic model for describing the structure of statistical problems known under the generic name of cluster analysis, based on finite mixtures of distributions, is proposed. We analyse the theoretical and practical implications of this approach, and point out some open question on both the theoretical problem of determining the reference prior for models based on mixtures, and the practical problem of approximation that mixtures typically entail. Finally, models based...