Frailty models are used in survival analysis to model unobserved heterogeneity. To study such heterogeneity by the inclusion of a random term called the frailty is assumed to multiply hazards of all subjects in the shared frailty. We study compound negative binomial distribution as frailty distribution and two different baseline distributions namely Pareto and linear failure rate distribution i...

the complex system containing n elements, each having three dependent components are described. the reliability and mean residual life of such systems with intact components at time t are investigated using a trivariate binomial model. considering a farlie-gumbel-morgenstern family, some graphical representations are given.

Congestion cost allocation is an important issue in congestion management. This paper presents a genetic algorithm (GA) to determine the optimal generation levels in a deregulated market. The main issue is congestion in lines, which limits transfer capability of a system with available generation capacity. Nodal pricing method is used to determine locational marginal price (LMP) of each generat...

This PhD dissertation mainly focuses on the information processing of financial markets. It consists in five different contributions. The first three of them focus on the econometrics of asset pricing models. (1) First, I propose a new methodology to estimate the subjective distribution implicit in interest rate futures. I show how to use it to investigate the market participants’ perception of...

This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly. Learning causes the discount factor and risk-neutral probability measure to become path-dependent and introduces serial correlation a...

In many real world systems, two types of uncertainties exist: those that evolve in small, continuous increments and those that may create large, discrete changes in the system. The field of engineering real options posits that flexible system designs can improve system performance in the face of such uncertainties. However, up to now, most analyses of engineering real options deal with one type...

A recent series of experiments aimed to determine the amount salt can be reduced in food products without losing too much of their original taste; this is called the benchmark dose. In this study, a logistic model was used, however, it did not to include some features of the experiment and also used the data in an inefficient way. To improve the model, we borrowed the idea of risk assessment fr...

one of known methods for measuring, forecasting and managing risk is value at risk, which recently has been used by financial institutions extensively. value at risk (var) is a method for recognizing and evaluating risk and uses standard statistical techniques that have daily using in other contexts. this research is seeking a career for managing investment risk in stock exchange and selection ...