In this paper, we propose an analytic analogue to the simulation procedure described in Taylor (1997). We apply the formulas to a Belgian data set and discuss the interaction between a priori and a posteriori ratemakings.

We are dealing with the ruin probability and the expected ruin time in a two state Markov model ...

Most software reliability growth models specify the expected number of failuresexperienced as a function of testing effort or calendar time. However, there areapproaches to model the development of intermediate factors driving failureoccurrences. This paper starts out with presenting a model...

Der Beitrag schildert die Effekte von Antwortausfällen bei einzelnen Fragen („item non-response“) auf die Ergebnissevon multivariaten statistischen Analysen. Dabei wird das Verfahren der „Data Augmentation“ angewendet,um die fehlenden Daten zu ersetzen (Schafer 1997). Anhand von...

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

This paper explains regionally differentiated patterns of structural change based on a theoreticalframework dealing with strategic interaction of farms on the land market. The main research questionfocuses on the causes of regionally persistent structures. An empirical Markov chain model is...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one dimensional parametrized...

This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...