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Determining distribution for the product of random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Risks : open access journal 7 (2019) 1/23, pp. 1-20

of product for two or more random variables. Thus, the theory developed in this paper is useful for academics …

Persistent link: https://www.econbiz.de/10012015948

The generalized johnson quantile-parameterized distribution system

Hadlock, Christopher C.; Bickel, J. Eric - In: Decision analysis : a journal of the Institute for … 16 (2019) 1, pp. 67-85

Persistent link: https://www.econbiz.de/10012016614

Determining distribution for the quotients of dependent and independent random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 12 (2019) 1/42, pp. 1-27

applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density … . Thereafter, we extend the theory by establishing the density and distribution functions for the quotients Y=X1X2 and Z=X1X1+X2 of … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median …

Persistent link: https://www.econbiz.de/10012022301

Aggregation of dependent risks in mixtures of exponential distributions and extensions

Sarabia Alzaga, José Maria; Gómez-Déniz, Emilio; … - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 1079-1107

Persistent link: https://www.econbiz.de/10011999867

Reversed hazard function of uncertain lifetime

Ahmadzade, Hamed; Gao, Rong - In: Fuzzy optimization and decision making : a journal of … 17 (2018) 4, pp. 387-400

Persistent link: https://www.econbiz.de/10012098286

Transition and limiting distributions when covariates are available

Tsionas, Efthymios G. - In: Economics letters 183 (2019), pp. 1-7

Persistent link: https://www.econbiz.de/10012122503

Ruin probability approximations in sparre andersen models with completely monotone claims

Albrecher, Hansjörg; Vatamidou, Eleni - In: Risks : open access journal 7 (2019) 4/104, pp. 1-14

We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek-Khintchine formula, and develop an efficient algorithm to approximate the ruin...

Persistent link: https://www.econbiz.de/10012127948

Application of the mixed Weibull distribution in machine reliability analysis for a cell formation problem

Ghavijorbozeh, Reza; Hamadani, Ali Zeinal - In: International journal of quality & reliability management 34 (2017) 1, pp. 128-142

Persistent link: https://www.econbiz.de/10011646631

Probability distribution based weights for weighted arithmetic aggregation operators

Su, Zhan; Xu, Zeshui; Liu, Shousheng - In: Fuzzy optimization and decision making : a journal of … 15 (2016) 2, pp. 177-193

Persistent link: https://www.econbiz.de/10011647314

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635