Stochastic Comparisons for Multivariate Shock Models
نویسندگان
چکیده
منابع مشابه
Stochastic comparisons of multivariate mixture models
In this paper we consider sufficient conditions in order to stochastically compare random vectors of multivariate mixture models. In particular we consider stochastic and convex orders, the likelihood ratio order, and the hazard rate and mean residual life dynamic orders. Applications to proportional hazard models and mixture models in risk theory are also given. AMS Subject Classification: 60E...
متن کاملMultivariate Input Models for Stochastic Simulation
Techniques are presented for modeling and randomly sampling many of the multivariate probabilistic input processes that drive discrete-event simulation experiments. Emphasis is given to bivariate and trivariate extensions of the univariate beta, Johnson, and Bézier distribution families because of the flexibility of these families to model a wide range of shapes for the marginal distributions w...
متن کاملthe 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...
15 صفحه اولMultivariate stochastic volatility using state space models
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation structure between the observation and state innovation vectors and we extend the convolution between the Wishart and the multivariate singular beta distribut...
متن کاملBlock Structure Multivariate Stochastic Volatility Models
Most multivariate variance models suffer from a common problem, the " curse of dimensionality ". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for interpretability and efficiency faced by...
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: Journal of Multivariate Analysis
سال: 1999
ISSN: 0047-259X
DOI: 10.1006/jmva.1999.1833