New Frontiers in Applied Probability
نویسندگان
چکیده
We consider an insurance model, where the underlying point process is a Cox process. Using amartingale approach applied to diffusion processes, finite-timeLundberg inequalities are obtained. By change-of-measure techniques, Cramér–Lundberg approximations are derived.
منابع مشابه
A new approach based on data envelopment analysis with double frontiers for ranking the discovered rules from data mining
Data envelopment analysis (DEA) is a relatively new data oriented approach to evaluate performance of a set of peer entities called decision-making units (DMUs) that convert multiple inputs into multiple outputs. Within a relative limited period, DEA has been converted into a strong quantitative and analytical tool to measure and evaluate performance. In an article written by Toloo et al. (2009...
متن کاملFuzzy Efficiency Measures in DEA: A New Approach based on Fuzzy DEA Approach with Double Frontiers
Data envelopment analysis (DEA) is a method to measure relative efficiency of a set of decision-making units (DMUs) which uses multiple inputs and produces multiple outputs. In the conventional DEA, crisp inputs and outputs are fundamentally necessary. But the observed values of inputs and outputs in real-world problems are sometimes imprecise. Thus, performance measurement often needs to be do...
متن کاملI-39: Exploring New Frontiers in Human Y Chromosome Proteome Project
The major goal of the Chromosome-Centric Human Proteome Project (C-HPP) is to systematically map the entire human proteome with the intent to enhance our understanding of human biology at the cellular level. However, this goal may be hindered by the lack of quality observations of given proteins due to absence of expression in a given tissue, very low abundance, and expression only in rare samp...
متن کاملNew Frontiers in Applied Probability
We consider a stochastic differential equation (SDE) with piecewise linear drift driven by a spectrally one-sided Lévy process. We show that this SDE has some connections with queueing and storage models, and we use this observation to obtain the invariant distribution.
متن کاملEstimation of portfolio efficient frontier by different measures of risk via DEA
In this paper, linear Data Envelopment Analysis models are used to estimate Markowitz efficient frontier. Conventional DEA models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. Therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...
متن کامل