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Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Piecewise-deterministic compound Poisson model optimal stochastic control HJB equation quasi-variational inequality threshold strategy barrier strategy
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2011/7/5
This paper deals with optimal dividend payment problem in the general setup of a
piecewise-deterministic compound Poisson risk model. The objective of an insurance
business under consideration is to...
A Poisson Mixed Model with Nonnormal Random Effect Distribution
Count data Generalized log-gamma distribution Multivariate negative binomial distribution Overdispersion Random-effect models
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2011/6/17
We propose in this paper a random intercept Poisson model in which the random effect distribution
is assumed to follow a generalized log-gamma (GLG) distribution. We derive the first two moments
for...
On estimating parameters of censored generalized Poisson regression model
Generalized Poisson regression Mixture model
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2010/9/21
When the sampling variance of a count variable Y is significantly greater or less than that predicted by an expected probability distribution, Y is said to be over- or underdispersed, respectively. A ...
About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
Risk Management Pricing Portfolio Management Bonus Malus System
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2010/10/21
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance d...
On Poisson repairmen model: MX/M/2/K/N with balk arrival, balking, reneging and hetrogeneous repairmen
Heterogeneous repairmen repairmen model bulk arrival
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2010/9/14
The aim of this Paper is to derive the analytical Solution of the queue: MX/M/2/N/k for repairmen model with bulk arrival, balking, reneging and two heterogeneous in which (i) units (machines) arrive ...