In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present feasible central limit theorems which show that it converges...

In this paper, we consider the missing information in determining the optimal allocation of removals in a Type II progressive censoring scheme. We provide a simple expression and a recurrence relation for the missing information. Then we provide a simple way of determining an optimal censoring...

We study a symmetric independent private values auction model where the revenue-maximizing seller faces a cost cn of attracting n bidders to the auction. If the distribution of valuations possesses an increasing failure rate (IFR), the seller overinvests in attracting bidders compared to the...

Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks, determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance...

Plotting points of order statistics are often used in the determination of goodness-of-fit of observed data to theoretical percentiles. Plotting points are usually determined by using nonparametric methods which produce, for example, the mean- and median-ranks. Here, we use a distribution-based...

This paper investigates the coordination mechanism for supply chain with one manufacturer and multiple competing suppliers in the electronic market. We first study two conventional price-only policies, including wholesale price policy and catalog policy, based on the reverse Vickrey auction, and...

We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claimsizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is...

Consumers choose from among the varieties of two brands and an outside good using order statistics. We analytically derive demand functions conditional on their valuations of the varieties being distributed independently uniform. Based on this theory, we estimate a threeparameter empirical...

In this paper we analyse the optimal claim behaviour of a policy holder having a third-party liability insurance in which one is allowed to decide at the end of an insurance year which damages occurred during that year should be claimed. This analysis can only be carried out in detail in case...