A New Class of Models for Heavy Tailed Distributions in Finance and Insurance Risk
暂无分享,去创建一个
[1] Sidney I. Resnick,et al. Discussion of the Danish Data on Large Fire Insurance Losses , 1997, ASTIN Bulletin.
[2] Henk Grootveld,et al. Variance vs downside risk: Is there really that much difference? , 1999, Eur. J. Oper. Res..
[3] Miklós Telek,et al. Acyclic discrete phase type distributions: properties and a parameter estimation algorithm , 2003, Perform. Evaluation.
[4] Axel Thümmler,et al. Efficient phase-type fitting with aggregated traffic traces , 2007, Perform. Evaluation.
[5] Jun Cai,et al. Conditional tail expectations for multivariate phase-type distributions , 2005 .
[6] N. K. Shankaranarayanan,et al. Modeling and characterization of large-scale Wi-Fi traffic in public hot-spots , 2011, 2011 Proceedings IEEE INFOCOM.
[7] C. Klüppelberg,et al. Modelling Extremal Events , 1997 .
[8] V. Ramaswami,et al. Bilateral Phase Type Distributions , 2005 .
[9] Mogens Bladt,et al. A Review on Phase-type Distributions and their Use in Risk Theory , 2005, ASTIN Bulletin.
[10] Ward Whitt,et al. An Introduction to Stochastic-Process Limits and their Application to Queues , 2002 .
[11] Vijay S. Bawa,et al. Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework , 1977, Journal of Financial and Quantitative Analysis.
[12] Ren Asmussen,et al. Fitting Phase-type Distributions via the EM Algorithm , 1996 .
[13] X. Sheldon Lin,et al. Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions , 2010 .
[14] V. Ramaswami,et al. Introduction to Matrix Analytic Methods in Stochastic Modeling , 1999, ASA-SIAM Series on Statistics and Applied Mathematics.
[15] Ramesh K. S. Rao,et al. Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence , 1989, Journal of Financial and Quantitative Analysis.
[16] Marcel F. Neuts,et al. Matrix-geometric solutions in stochastic models - an algorithmic approach , 1982 .
[17] Colm Art O'Cinneide,et al. Phase-type distributions and invariant polytopes , 1991, Advances in Applied Probability.
[18] A. McNeil. Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory , 1997, ASTIN Bulletin.