On the structure of the stochastic process of mortgages in Spain
نویسنده
چکیده
The number of mortgages in Spain is a counting process that can be modelled as a doubly stochastic Poisson process (DSPP). A modelling method for the intensity of a DSPP is proposed. A first step consists on estimating discrete sample paths of it from observed ones of the DSPP, then a continuous modelling is derived by means of Functional Principal Component Analysis. The method is validated by a simulation. Finally, it is applied to the real process of the mortgages in Spain discussing the interpretation of the principal components and factors.
منابع مشابه
Effect of calcination process on the gas phase photodegradation by CuO-Cu2O/TiO2 nanocomposite photocatalyst
A series of CuO-Cu2O/TiO2 nanocomposite samples were prepared by the sol-gel method. Before applying the sol-gel method, the Cu(OH)2 nanostructure on Cu powders were formed by in-situ solution treatment. The samples were characterized through some techniques and the photocatalytic performance of CuO-Cu2O/TiO2 nanocomposites for gas-phase 2-propanol photo-oxidation under UV and sunlight type ill...
متن کاملSOME COMPUTATIONAL RESULTS FOR THE FUZZY RANDOM VALUE OF LIFE ACTUARIAL LIABILITIES
The concept of fuzzy random variable has been applied in several papers to model the present value of life insurance liabilities. It allows the fuzzy uncertainty of the interest rate and the probabilistic behaviour of mortality to be used throughout the valuation process without any loss of information. Using this framework, and considering a triangular interest rate, this paper develops closed...
متن کاملDynamic characterization and predictability analysis of wind speed and wind power time series in Spain wind farm
The renewable energy resources such as wind power have recently attracted more researchers’ attention. It is mainly due to the aggressive energy consumption, high pollution and cost of fossil fuels. In this era, the future fluctuations of these time series should be predicted to increase the reliability of the power network. In this paper, the dynamic characteristics and short-term predictabili...
متن کاملEnergy Scheduling in Power Market under Stochastic Dependence Structure
Since the emergence of power market, the target of power generating utilities has mainly switched from cost minimization to revenue maximization. They dispatch their power energy generation units in the uncertain environment of power market. As a result, multi-stage stochastic programming has been applied widely by many power generating agents as a suitable tool for dealing with self-scheduling...
متن کاملModelling and Decision-making on Deteriorating Production Systems using Stochastic Dynamic Programming Approach
This study aimed at presenting a method for formulating optimal production, repair and replacement policies. The system was based on the production rate of defective parts and machine repairs and then was set up to optimize maintenance activities and related costs. The machine is either repaired or replaced. The machine is changed completely in the replacement process, but the productio...
متن کامل