All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 10 Next

Displaying 181 – 200 of 402

Showing per page

Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.

Paolo Baldi, Enrico Casadio Tarabusi, Alessandro Figà-Talamanca, Marc Yor (2001)

Revista Matemática Iberoamericana

We study the law of functionals whose prototype is ∫0+∞ eBs(ν) dWs(μ),where B(ν) and W(μ) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of in variant diffusions on the hyperbolic half-plane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic half-plane and Bessel processes).

On a problem by Schweizer and Sklar

Fabrizio Durante (2012)

Kybernetika

We give a representation of the class of all n -dimensional copulas such that, for a fixed m ∈ ℕ , 2 ≤ m < n , all their m -dimensional margins are equal to the independence copula. Such an investigation originated from an open problem posed by Schweizer and Sklar.

On characterizing the Pólya distribution

Héctor M. Ramos, David Almorza, Juan A. García-Ramos (2002)

ESAIM: Probability and Statistics

In this paper two characterizations of the Pólya distribution are obtained when its contagion parameter is negative. One of them is based on mixtures and the other one is obtained by characterizing a subfamily of the discrete Pearson system.

On characterizing the Pólya distribution

Héctor M. Ramos, David Almorza, Juan A. García–Ramos (2010)

ESAIM: Probability and Statistics

In this paper two characterizations of the Pólya distribution are obtained when its contagion parameter is negative. One of them is based on mixtures and the other one is obtained by characterizing a subfamily of the discrete Pearson system.

On Conditional Value at Risk (CoVaR) for tail-dependent copulas

Piotr Jaworski (2017)

Dependence Modeling

The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning event becomes more extreme. The results are illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.

On copulas that generalize semilinear copulas

Juan Fernández Sánchez, Manuel Úbeda-Flores (2012)

Kybernetika

We study a wide class of copulas which generalizes well-known families of copulas, such as the semilinear copulas. We also study corresponding results for the case of quasi-copulas.

On distributions of order statistics for absolutely continuous copulas with applications to reliability

Piotr Jaworski, Tomasz Rychlik (2008)

Kybernetika

Performance of coherent reliability systems is strongly connected with distributions of order statistics of failure times of components. A crucial assumption here is that the distributions of possibly mutually dependent lifetimes of components are exchangeable and jointly absolutely continuous. Assuming absolute continuity of marginals, we focus on properties of respective copulas and characterize the marginal distribution functions of order statistics that may correspond to absolute continuous...

Currently displaying 181 – 200 of 402