Multiple thresholds in extremal parameter estimation
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DOI: 10.1007/s10687-018-0337-5
Abstract: Selecting the number of upper order statistics to use in extremal inference or selecting the threshold above which we perform the extremal inference is a common step in applications of extreme value theory. Not only… read more here.
Keywords: parameter estimation; multiple thresholds; thresholds extremal; extremal parameter ... See more keywords
Two classes of risk model with diffusion and multiple thresholds: the discounted dividends
Sign Up to like & getrecommendations! Published in 2018 at "Hacettepe Journal of Mathematics and Statistics"
DOI: 10.15672/hjms.2018.602
Abstract: In this paper, we consider the present value of total dividends until ruin in a perturbed risk model with two independent classes of risks under multiple thresholds, in which both of the two inter-claim times… read more here.
Keywords: classes risk; two classes; model diffusion; multiple thresholds ... See more keywords