Search Results - "Kaishev, Vladimir K."

Computing the Kolmogorov-Smirnov Distribution When the Underlying CDF is Purely Discrete, Mixed, or Continuous by Dimitrova, Dimitrina S., Kaishev, Vladimir K., Tan, Senren

“…The distribution of the Kolmogorov-Smirnov (KS) test statistic has been widely studied under the assumption that the underlying theoretical cumulative…”
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On the First Crossing of Two Boundaries by an Order Statistics Risk Process by Dimitrova, Dimitrina, Ignatov, Zvetan, Kaishev, Vladimir

“…We derive a closed form expression for the probability that a non-decreasing, pure jump stochastic risk process with the order statistics (OS) property will…”
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On double-boundary non-crossing probability for a class of compound processes with applications by Dimitrova, Dimitrina S., Ignatov, Zvetan G., Kaishev, Vladimir K., Tan, Senren

“…•Fast Fourier transform method to compute double boundary non-exit probabilities.•New applications in inventory optimization, option pricing and ruin…”
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On finite-time ruin probabilities in a generalized dual risk model with dependence by Dimitrova, Dimitrina S., Kaishev, Vladimir K., Zhao, Shouqi

“…•A ruin-probabilistic duality between insurance and dual risk models is established.•Assumptions on the inter-arrival times and/or the capital gains allow…”
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StMoMo : An R Package for Stochastic Mortality Modeling by Villegas, Andrés M., Kaishev, Vladimir K., Millossovich, Pietro

“…In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized age-period-cohort stochastic mortality models…”
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Optimal customer selection for cross-selling of financial services products by Kaishev, Vladimir K., Nielsen, Jens Perch, Thuring, Fredrik

“…► Cross-sale prospects are usually selected based on their propensity to buy. ► This neglects any stochasticity in profit, given sale, among the prospects. ► A…”
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LÉVY PROCESSES INDUCED BY DIRICHLET (B-)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS by Kaishev, Vladimir K.

“…We consider a new class of processes, called LG processes, defined as linear combinations of independent gamma processes. Their distributional and path‐wise…”
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Modeling Finite‐Time Failure Probabilities in Risk Analysis Applications by Dimitrova, Dimitrina S., Kaishev, Vladimir K., Zhao, Shouqi

“…In this article, we introduce a framework for analyzing the risk of systems failure based on estimating the failure probability. The latter is defined as the…”
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Ruin and Deficit Under Claim Arrivals with the Order Statistics Property by Dimitrova, Dimitrina S., Ignatov, Zvetan G., Kaishev, Vladimir K.

“…We consider an insurance risk model with extended flexibility, under which claims arrive according to a point process with an order statistics (OS) property,…”
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Dependent competing risks: Cause elimination and its impact on survival by Dimitrova, Dimitrina S., Haberman, Steven, Kaishev, Vladimir K.

“…The dependent competing risks model of human mortality is considered, assuming that the dependence between lifetimes is modelled by a multivariate copula…”
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Lookback option pricing using the Fourier transform B-spline method by Haslip, Gareth G., Kaishev, Vladimir K.

“…We derive a new, efficient closed-form formula approximating the price of discrete lookback options, whose underlying asset price is driven by an exponential…”
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Geometrically designed, variable knot regression splines by Kaishev, Vladimir K., Dimitrova, Dimitrina S., Haberman, Steven, Verrall, Richard J.

“…A new method of Geometrically Designed least squares (LS) splines with variable knots, named GeDS, is proposed. It is based on the property that the spline…”
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First crossing time, overshoot and Appell-Hessenberg type functions by Ignatov, Zvetan G., Kaishev, Vladimir K.

“…We consider a general insurance risk model with extended flexibility under which claims arrive according to a point process with independent increments, their…”
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Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options by Kaishev, Vladimir K, Dimitrova, Dimitrina S

“…The authors develop a new Monte Carlo-based method for pricing path-dependent options under the variance gamma (VG) model. The gamma bridge sampling method…”
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Optimal joint survival reinsurance: An efficient frontier approach by Dimitrova, Dimitrina S., Kaishev, Vladimir K.

“…The problem of optimal excess of loss reinsurance with a limiting and a retention level is considered. It is demonstrated that this problem can be solved,…”
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A novel Fourier transform B-spline method for option pricing by Haslip, Gareth G., Kaishev, Vladimir K.

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Excess of loss reinsurance under joint survival optimality by Kaishev, Vladimir K., Dimitrova, Dimitrina S.

“…Explicit expressions for the probability of joint survival up to time x of the cedent and the reinsurer, under an excess of loss reinsurance contract with a…”
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GeD spline estimation of multivariate Archimedean copulas by Dimitrova, Dimitrina S., Kaishev, Vladimir K., Penev, Spiridon I.

“…A new multivariate Archimedean copula estimation method is proposed in a non-parametric setting. The method uses the so-called Geometrically Designed splines…”
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Modelling the joint distribution of competing risks survival times using copula functions by Kaishev, Vladimir K., Dimitrova, Dimitrina S., Haberman, Steven

“…The problem of modelling the joint distribution of survival times in a competing risks model, using copula functions, is considered. In order to evaluate this…”
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Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts by Ignatov, Zvetan G., Kaishev, Vladimir K.

“…A closed form expression, in terms of some functions which we call exponential Appell polynomials, for the probability of non-ruin of an insurance company, in…”
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