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In financial and actuarial sciences, knowledge about the dependence structure is of a great importance. Unfortunately … comonotonicity. It turned out that a comonotonic dependence structure provides a very useful tool when approximating an unknown but … (preferably strongly) positive dependence structure. As a consequence of this evolution, there is a need for a measure which …
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be more easily detectable. Specifically, we extended latent class analysis to allow dependence between the latent disease … class status of relatives within nuclear families as a function of their kinship. Such a dependence model is expected to … account familial dependence improves the classification of the individuals in their true classes, compared to a traditional …
Persistent link: https://www.econbiz.de/10005246596
In Statistical Process Control (SPC) there exists a need to model the run-length distribution of a Q-chart that monitors the process mean when measurements are from an exponential distribution with an unknown parameter. To develop exact expressions for the probabilities of run-lengths the joint...
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This paper introduces a new bivariate exponential distribution, called the Bivariate Affine-Linear Exponential distribution, to model moderately negative dependent data. The construction and characteristics of the proposed bivariate distribution are presented along with estimation procedures for...
Persistent link: https://www.econbiz.de/10010998677
A catastrophe equity put (CatEPut) option is a catastrophe derivative that allows insurance companies to raise equity capital when they face catastrophe losses. This study focuses on a pricing model for a CatEPut options. First, unlike previous research, this study provides a CatEPut option...
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