Conjugate processes: Theory and application to risk forecasting
نویسندگان
چکیده
منابع مشابه
On suprema of Lévy processes and application in risk theory
Let X̂ = C − Y where Y is a general one-dimensional Lévy process and C an independent subordinator. Consider the times when a new supremum of X̂ is reached by a jump of the subordinator C. We give a necessary and sufficient condition in order for such times to be discrete. When this is the case and X̂ drifts to −∞, we decompose the absolute supremum of X̂ at these times, and derive a Pollaczek-Hinc...
متن کاملconstruction and validation of translation metacognitive strategy questionnaire and its application to translation quality
like any other learning activity, translation is a problem solving activity which involves executing parallel cognitive processes. the ability to think about these higher processes, plan, organize, monitor and evaluate the most influential executive cognitive processes is what flavell (1975) called “metacognition” which encompasses raising awareness of mental processes as well as using effectiv...
Application of Grey Theory to the Field of Economic Forecasting
Grey theory was proposed by Prof. Deng [1] for more than 30 years. It has been successfully applied in many academic fields, such as electrical engineering, education, mechanical engineering, agriculture, high-tech sectors and so on [2-8]. Grey theory is famous for easy calculation and satisfactory result. Comparing to other methods, grey theory need only as few as four data could be modeled to...
متن کاملPoisson-Lindley INAR(1) Processes: Some Estimation and Forecasting Methods
This paper focuses on different methods of estimation and forecasting in first-order integer-valued autoregressive processes with Poisson-Lindley (PLINAR(1)) marginal distribution. For this purpose, the parameters of the model are estimated using Whittle, maximum empirical likelihood and sieve bootstrap methods. Moreover, Bayesian and sieve bootstrap forecasting methods are proposed and predict...
متن کاملCopula theory: an application to risk modeling
This paper compiles the research and experiments I carried out during my research project, as part of my penultimate year of engineering studies at Grenoble INP Ensimag. In this paper, we will present elements of the copula theory, including dependence coefficients in order to study copula properties on several examples. Then we will focus on risk management applications of copulas and particul...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2018
ISSN: 0304-4149
DOI: 10.1016/j.spa.2017.06.002