We examine the reference-dependent risk preferences of Kőszegi and Rabin (2007), focusing on their choice-acclimating personal equilibria. Although their model has only a trivial intersection (expected utility) with other reference-dependent models, it has very strong connections with models that rely on different psychological intuitions. We prove that the intersection of rank-dependent utilit...

Since Merton (1969), the description of a contingent claim as a Brownian motion is commonly accepted. Thus an option price, a future price, a share price, a bond price, interest rates etc., can be modelled with a Brownian motion. In summary, any financial series which present value depends on only a few previous values, may be modelled with a continuous–time diffusion–type process. The general ...

Ageing and dependence are two important characteristics in reliability and survival analysis, and they affect significantly the decision people make with regard to maintenance, repair/replacement, price setting, warranties, medical studies, and other areas. There are many papers published at different technical levels. This book aims at providing a state-of-the-art review of the subject so the ...

In [6], we develop statistical model of speech recognition where emphasis is placed on the perceptually-relevant and information-rich portion of the speech signal. In that model, speech is viewed as a sequence of elementary decisions or Auditory Events (avents) that are made in response to loci of signi cant spectral change. These decision points are interleaved with periods during which insu c...

The identification of the second-order dependence structure streamflow has been one oldest challenges in hydrological sciences, dating back to pioneering work H.E Hurst on Nile River. Since then, several large-scale studies have investigated temporal spanning from hourly climatic scale, covering multiple orders magni-tude. In this study, we expanded range almost eight magnitude by analysing sma...

this study took an epidemiological approach toward the problem of drug addiction in tehran. the subjects were 300 addicts chosen on the basis of stratified random selection out of the population of 3627 prisoners who were all proven addicts and sentenced to imprisonment by the court in the year 1370. a descriptive survey showed that drug addiction generally, and heroin addiction specifically, i...

In the linear regression models with AR (1) error structure when collinearity exists, stochastic linear restrictions or modifications of biased estimators (including Liu estimators) can be used to reduce the estimated variance of the regression coefficients estimates. In this paper, the combination of the biased Liu estimator and stochastic linear restrictions estimator is considered to overcom...

Motivated by the wide applications of distortion function and copulas in insurance and finance, this paper generalizes the notion of deterministic distortion function to a stochastic distortion function, i.e., a random process, and employs the defined stochastic distortion function to construct a so-called stochastic distorted copula. One method for constructing stochastic distortions is provid...