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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2006 (Volume 12 (28))
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Theory of Stochastic Processes, 2006, № 3-4
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Перегляд Theory of Stochastic Processes, 2006, № 3-4 за датою випуску

Перегляд Theory of Stochastic Processes, 2006, № 3-4 за датою випуску

Результати 1-19 з 19

The encyclopedia of actuarial science

Teugels, J.L.; Ramsey, H. (2006)

We give a short historical survey on why and how the Encyclopedia has emerged. We consider both the editorial and the managerial side of the project. We indicate some of the special features of the work.
On extension of the limit theorem of renewal theory and its application

Bondarenko, A. (2006)

An extension of the limit theorem of renewal theory on the case of semi-Markov process with an atom of the stationary distribution of the embedded Markov chain is obtained in this paper. The obtained result is used for ...
A googness of-fit-test for a multivariate errors-in-variables model

Kukush, A.; Polekha, M. (2006)

A multivariate errors-in-variables model AX ≈ B is considered, where the data matrices A and B are observed with errors, and a matrix parameter X is to be estimated. A goodness-of-ﬁt test which is based on the moment ...
Some properties of weight functions in tauberian theorems

Olenko, A.; Klykavka, B. (2006)

The rate of convergence for weight functions series in Tauberian theorems is obtained. Numerical results demonstrate required rate of convergence. Some asymptotic properties of hypergeometric functions are obtained as ...
Semi-Markov reward models for disability insurance

Stenberg, F.; Manca, R.; Silvestrov, D. (2006)

A semi-Markov model for disability insurance is described. Statistical evidences of relevance semi-Markov setting are given. High order semi-Markov backward reward models are invented. Applications of these models to ...
On accuracy of simulation of gaussian stationary processes in L2([0, T])

Turchyn, Y. (2006)

A theorem about simulation of a Gaussian stochastic process with given accuracy and reliability in L2([0, T ]) using wavelets has been proved.
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion

Yamnenko, R. (2006)

In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian motion (FBM). Such random process has the same covariation function as FBM but its trajectories belong to the space of ...
Exact non-ruin probabilities in infinite time

Chernecky, V. (2006)

Using the Wiener-Hopf method, for the fundamental equation of the risk theory it is obtained an exact solution in terms of the Fourier transforms and factorization.
On reselling of European option

Kukush, A.G.; Mishura, Yu.S.; Shevchenko, G.M. (2006)

On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is no ...
On the characterization of premium principle with respect to pointwise comonotonicity

Dhaene, J.; Kukush, A.; Pupashenko, M. (2006)

A premium principle is an economic decision rule used by the insurer in order to determine the amount of the net premium for each risk in his portfolio. In this paper we investigate the problem how to determine the premium ...
Robust estimation problems for stochastic processes

Moklyachuk, M.; Masyutka, A. (2006)
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. II

Silvestrov, D.S.; Drozdenko, M.O. (2006)

Necessary and suffcient conditions for weak convergence of ﬁrst-rareevent times for semi-Markov processes, obtained in the ﬁrst part of this paper [66], are applied to counting processes generating by ﬂows of rare events ...
Application of the theory of square-Gaussian processes to simulation of stochastic processes

Kozachenko, Y.; Rozora, I. (2006)

In the paper the simulation of stochastic processes is considered. For this purpose the estimation for distribution of supremum of square-Gaussian processes is found. The theorems are proved that give the conditions under ...
Analysis and forecasting of self-similar financial time series

Moklyachuk, M.; Zrazhevsky, A. (2006)

Time series of prices of MSFT ticker are considered. Results on selfsimilarity of this time series are presented. A method of prediction from FARIMA model for long-range dependent time series is described. This method is ...
On uniform convergence of wavelet expansions of some random processes

Perestyuk, M. (2006)

In the paper there are found conditions for uniform convergence with probability one of wavelet expansion of g-sub-Gaussian random processes under additional condition for norm of such process.
Innovation methods, algorithms, and software for analysis of reinsurance contracts

Silvestrov, D.; Teugels, J.; Masol, V.; Malyarenko, A. (2006)

A Monte Carlo based approach to evaluate and/or compare the riskiness of reinsurance treaties for both the ceding and the reinsurance companies is introduced. An experimental program system Reinsurance Analyser based on ...
Simulation of fractional Brownian motion with given reliability and accuracy in C([0, 1])

Kozachenko, Y.; Vasylyk, O. (2006)

We present here an application of the results on simulation of weakly self-similar stationary increment φ-sub-Gaussian processes, obtained by Kozachenko, Sottinen and Vasylyk in [1], to the process of fractional Brownian motion.
Spectral analysis of some classes of multivariate random fields with isotropic property

Ponomarenko, O.; Perunk, Y. (2006)

In this paper we consider two classes of generalized random ﬁelds of second order on R^n with values in Hilbert space H with isotropic property: ﬁrst - exponentially convex and isotropic random ﬁelds and second - homogeneous ...
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I

Silvestrov, D.S.; Drozdenko, M.O. (2006)

Necessary and sufficient conditions for weak convergence of ﬁrst-rareevent times for semi-Markov processes with ﬁnite set of states are obtained. These results are applied to risk processes and give necessary and sufficient ...

Результати 1-19 з 19

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