Purpose – Longevity risk, that is, the uncertainty of the demographic survival rate, is an important risk for insurance companies and pension funds, which have large, and long‐term, exposures to survivorship. The purpose of this paper is to propose a new model to describe this demographic...

This paper (i) discusses the combined <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$\bar x$</EquationSource> </InlineEquation> and conforming run length (CRL) charts under the assumption that the quality characteristic under study follows a Gamma(ν, γ, ß) distribution with known parameters ν, γ and ß, (ii) examines the performance of the combined <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$\bar x$</EquationSource> </InlineEquation> and CRL...</equationsource></inlineequation></equationsource></inlineequation>

Purpose – Longevity risk, that is, the uncertainty of the demographic survival rate, is an important risk for insurance companies and pension funds, which have large, and long-term, exposures to survivorship. The purpose of this paper is to propose a new model to describe this demographic...

The problem of estimating order-restricted scale parameters of two Gamma distributions is considered under the Pitman closeness criterion. A class of isotonic estimators including the MLE is proposed. Some properties of this class of isotonic estimators is given under the Pitman closeness...

The paper takes up inference in the stochastic frontier model with gamma distributed inefficiency terms, without restricting the gamma distribution to known integer values of its shape parameter (the Erlang form). The paper shows that Gibbs sampling with data augmentation can be used in a...

Let Z(τ,t) is the number of individuals at time τ having more than θ(t−τ) descendants at time t,tτ. Here θ(t) is some non-negative function. Limit distributions for Z(τ,t) when population evolves according to critical branching processes with time homogeneous immigration and...

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the...

The Fisher information on θ of the r-size weighted pdf fr(x;θ) and its parent pdf f(x;θ) are compared leading to some characterization properties for f(x;θ). Additionally, some bounds for the Fisher information in terms of r are also presented.

Let X1,…,Xn (Y1,…,Yn) be independent random variables such that Xi (Yi) follows the gamma distribution with shape parameter α and mean αλi(αμi), α0,λi0 (μi0), i=1,…,n. Let λ=(λ1,…,λn), μ=(μ1,…,μn) and let r̃n:n(λ;x) (r̃n:n(μ;x)) denote the reversed hazard rate of...