Displaying similar documents to “Applications of fluid flow matrix analytic methods in ruin theory -a review.”

Calculating the variance in Markov-processes with random reward.

Francisco Benito (1982)

Trabajos de Estadística e Investigación Operativa

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In this article we present a generalization of Markov Decision Processes with discreet time where the immediate rewards in every period are not deterministic but random, with the two first moments of the distribution given. Formulas are developed to calculate the expected value and the variance of the reward of the process, formulas which generalize and partially correct other results. We make some observations about the distribution of rewards for processes with limited...

Relative Measurement and Its Generalization in Decision Making. Why Pairwise Comparisons are Central in Mathematics for the Measurement of Intangible Factors. The Analytic Hierarchy/Network Process.

Thomas L. Saaty (2008)

RACSAM

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According to the great mathematician Henri Lebesgue, making direct comparisons of objects with regard to a property is a fundamental mathematical process for deriving measurements. Measuring objects by using a known scale first then comparing the measurements works well for properties for which scales of measurement exist. The theme of this paper is that direct comparisons are necessary to establish measurements for intangible properties that have no scales of measurement. In that case...

Modelling stock returns with AR-GARCH processes.

Elzbieta Ferenstein, Miroslaw Gasowski (2004)

SORT

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Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studied in financial and econometric literature as risk models of many financial time series. Analyzing two data sets of stock prices we try to fit AR(1) processes with GARCH or EGARCH errors to the log returns. Moreover, hyperbolic or generalized error distributions occur to...

Automatic risk control based on FSA methodology adaptation for safety assessment in intelligent buildings

Jerzy Mikulik, Mirosław Zajdel (2009)

International Journal of Applied Mathematics and Computer Science

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The main area which Formal Safety Assessment (FSA) methodology was created for is maritime safety. Its model presents quantitative risk estimation and takes detailed information about accident characteristics into account. Nowadays, it is broadly used in shipping navigation around the world. It has already been shown that FSA can be widely used for the assessment of pilotage safety. On the basis of analysis and conclusion on the FSA approach, this paper attempts to show that the adaptation...

On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.

Catherine Donati-Martin, Raouf Ghomrasni, Marc Yor (2001)

Revista Matemática Iberoamericana

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We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.

A Prototype of an Extension to the UDDI Registry Allowing Pubilcation and Search Based on Subjective Evaluations

Mintchev, Alexander (2007)

Serdica Journal of Computing

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The paper has been presented at the International Conference Pioneers of Bulgarian Mathematics, Dedicated to Nikola Obreshko and Lubomir Tschakalo , So a, July, 2006. The current paper introduces the usage of subjective evaluations by others as a tool that can support consumers' decisions. It summarizes the features of the main UDDI registry providers and presents an extension to any UDDI registry allowing users of the registry to publish subjective evaluations for any artifact...

The Value of Knowing that You Do Not Know

Greenstein, Gil, Ahituv, Niv (2009)

Serdica Journal of Computing

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The value of knowing about data availability and system accessibility is analyzed through theoretical models of Information Economics. When a user places an inquiry for information, it is important for the user to learn whether the system is not accessible or the data is not available, rather than not have any response. In reality, various outcomes can be provided by the system: nothing will be displayed to the user (e.g., a traffic light that does not operate, a browser that keeps browsing,...