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A new framework for examining creditworthiness of borrowers : the mover-stayer model with covariate and macroeconomic effects

Frydman, Halina; Matuszyk, Anna; Li, Chang; Zhu, Weicheng - In: Quantitative finance 21 (2021) 9, pp. 1491-1499

Persistent link: https://www.econbiz.de/10012624150

Max-linear regression models with regularization

Cui, Qiurong; Xu, Yuqing; Zhang, Zhengjun; Chan, Vincent - In: Journal of econometrics 222 (2021) 1,3, pp. 579-600

Persistent link: https://www.econbiz.de/10012619747

Time-varying mixture copula models with copula selection

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021

Persistent link: https://www.econbiz.de/10012602628

A new multivariate zero-inflated hurdle model with applications in automobile insurance

Zhang, Pengcheng; Pitt, David C.; Wu, Xueyuan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 393-416

Persistent link: https://www.econbiz.de/10013270069

The SAINT model : a decade later

Jarner, Søren F.; Jallbjørn, Snorre - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 483-517

Persistent link: https://www.econbiz.de/10013270075

Estimating lost sales for substitutable products with uncertain on-shelf availability

Steeneck, Daniel; Eng-Larsson, Fredrik; Jauffred, Francisco - In: Manufacturing & service operations management : M & SOM 24 (2022) 3, pp. 1578-1594

Persistent link: https://www.econbiz.de/10013270941

The pricing model of pension benefit guaranty corporation insurance with regime-switching processes

Chen, Ting-Fu; Lin, Shih-kuei; Chang, An-Sing; Wang, Wei-Hao - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-23

This paper aims to evaluate Pension Benefit Guaranty Corporation (PBGC) insurance values through regime-switching models. We separate periods of the economy with faster growth from those with slower growth to observe long-term trends in the economy. We derive a fair PBGC insurance pricing...

Persistent link: https://www.econbiz.de/10013273626

Inverse Gaussian processes with correlated random effects for multivariate degradation modeling

Fang, Guanqi; Pan, Rong; Wang, Yukun - In: European journal of operational research : EJOR 300 (2022) 3, pp. 1177-1193

Persistent link: https://www.econbiz.de/10013207332

A nonparametric maximum likelihood estimation for biased-sampling data with zero-inflated truncation

Zhang, Feipeng; Yang, Jiejing; Ye, Min - In: Economics letters 194 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509387

Modelling healthcare demand count data with excessive zeros and overdispersion

Park, Myung Hyun; Kim, Joseph H. T. - In: Global economic review 50 (2021) 4, pp. 358-381

Persistent link: https://www.econbiz.de/10012694162