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Asymptotic Behaviors of the VaR and CVaR Estimates for Widely Orthant Dependent Sequences
This paper considers some asymptotics of value-at-risk (VaR) and conditional value-at-risk (CVaR) estimates in the cases of extended negatively...
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Transient Analysis of a Modified Differentiated Vacation Queueing System for Energy-Saving in WiMAX
A modified differentiated vacation queueing system with a close-down period and impatient customers is investigated in this research paper. The...
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A Note on the Distribution of the Extreme Degrees of a Random Graph via the Stein-Chen Method
We offer an alternative proof, using the Stein-Chen method, of Bollobás’ theorem concerning the distribution of the extreme degrees of a random...
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Performance and Optimization Analysis of a Queue with Delayed Uninterrupted Multiple Vacation and N-Policy
This paper considers an M / G /1 queue with delayed uninterrupted multiple vacation and N -policy, in which (i) the server remains dormant from vacation...
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Analysis of Renewal Batch Arrival Queues with Multiple Vacations and Geometric Abandonment
We investigate the dynamics of customer geometric abandonment within a queueing framework characterized by renewal input batch arrivals and multiple...
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A Collocation Method for Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion and its Application to Mathematical Finance
The main aim of this article is to demonstrate the collocation method based on the barycentric rational interpolation function to solve nonlinear...
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Two-sided Bounds for Renewal Equations and Ruin Quantities
In this paper, the objective is to provide sequences of improved non-increasing (non-decreasing) upper (lower) bounds for the solution of (defective)...
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The Bahadur Representation for Empirical and Smooth Quantile Estimators Under Association
In this paper, the Bahadur representation of the empirical and Bernstein polynomials estimators of the quantile function based on associated...
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Portfolio Selection with Contrarian Strategy
Compared with the extensive empirical literature on contrarian strategy, we develop a dynamic mean-variance model with geometric value-reversion...
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Randomized Quasi-Monte Carlo Methods on Triangles: Extensible Lattices and Sequences
Two constructions were recently proposed for constructing low-discrepancy point sets on triangles. One is based on a finite lattice, the other is a...
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Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities
This paper extends the stratified approximation method using lognormal and gamma distributions - first introduced to price Asian options - to derive...
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The Valuation at Origination of Mortgages with Full Prepayment and Default Risks
We investigate the valuation problem of a mortgage contract with full prepayment and default risks using the reduced-form model with regime...
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Optimal Pricing Strategy in an Unreliable M/M/1 Retrial Queue with Delayed Repair and Breakdown Deterioration
This paper focuses on an unreliable M/M/1 retrial queue with delayed repair, in which a novel breakdown mechanism is considered, i.e., a normal...
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Efficient Approximations for Utility-Based Pricing
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However,...
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Reconstruction of Random Fields Concentrated on an Unknown Curve using Irregularly Sampled Data
In the world of connected automated objects, increasingly rich and structured data are collected daily (positions, environmental variables, etc.). In...
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Reliability and Optimization for k-out-of-n: G Mixed Standby Retrial System with Dependency and J-Vacation
Based on the design and potential application of wind-solar storage intelligent power generation systems in engineering practice, this paper develops...
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Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility
This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of...
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On Survival of Coherent Systems Subject to Random Shocks
We consider coherent systems subject to random shocks that can damage a random number of components of a system. Based on the distribution of the...
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