Optimal filtering for bilinear system states and its application to terpolymerization process identification.
Optimal reinsurance.
Optimal streams of premiums in multiperiod credibility models
Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period credibility...
Optimal trend estimation in geometric asset price models
In the general geometric asset price model, the asset price P(t) at time t satisfies the relation , t ∈ [0,T], where f is a deterministic trend function, the stochastic process F describes the random fluctuations of the market, α is the trend coefficient, and σ denotes the volatility. The paper examines the problem of optimal trend estimation by utilizing the concept of kernel reproducing Hilbert spaces. It characterizes the class of trend functions with the property that the trend coefficient...
Optimality results for dividend problems in insurance.
Optimization in HIV screening problems.
Optimization of parameters in the Menzerath–Altmann law
Four formulas of the Menzerath–Altmann law are tested from the point of view of their applicability and suitability. The accuracy of related approximations of measured data is examined by the least square method at first. Then the accuracy of calculated parameters in the formulas under consideration is compared statistically. The influence of neglecting parameter is investigated as well. Finally, the obtained results are discussed by means of an illustrative example from quantitative linguistics....
Optimum claims truncation of an insurance firm with a compound Poisson claim process : a diffusion approximation