Multivariate conditional aging intensity functions and load-sharing models

the application of multivariate probit models for conditional claim-types (the case study of iranian car insurance industry)

هدف اصلی نرخ گذاری بیمه ای تعیین نرخ عادلانه و منطقی از دیدگاه بیمه گر و بیمه گذار است. تعین نرخ یکی از مهم ترین مسایلی است که شرکتهای بیمه با آن روبرو هستند، زیرا تعیین نرخ اصلی ترین عامل در رقابت بین شرکتها است. برای تعیین حق بیمه ابتدا می باید مقدار مورد انتظار ادعای خسارت برای هر قرارداد بیمه را برآورد کرد. روش عمومی مدل سازی خسارتهای عملیاتی در نظر گرفتن تواتر و شدت خسارتها می باشد. اگر شر...

Multivariate Spatial Covariance Models: A Conditional Approach

Aging Functions and Multivariate Notions of Nbu and Ifr

For d ≥ 2, let X = (X1, . . . , Xd)be a vector of exchangeable continuous lifetimes with joint survival function F. For such models, we study some properties of multivariate aging of F that are described by means of the multivariate aging function BF , which is a useful tool for describing the level curves of F. Specifically, the attention is devoted to notions that generalize the univariate co...

Joint estimation of sparse multivariate regression and conditional graphical models

Multivariate regression model is a natural generalization of the classical univariate regression model for fitting multiple responses. In this paper, we propose a highdimensional multivariate conditional regression model for constructing sparse estimates of the multivariate regression coefficient matrix that accounts for the dependency structure among the multiple responses. The proposed method...

Average Conditional Correlation and Tree Structures for Multivariate GARCH Models

We propose a simple class of multivariate GARCH models, allowing for time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations. Our model is very parsimonious. Estimation is computationally feasible in very large dimensions...