共查询到20条相似文献,搜索用时 31 毫秒
1.
Lai K. Chan 《Scandinavian actuarial journal》2013,2013(3):151-156
Abstract Let X m(n) =(X j , n, ..., X j m,n ) be a subset of observations of a sample Xn = (X1n X 2n ... , X nn ). Here the Xjn 'S in Xn are not necessarily independent or identically distributed, and m(n) mayor may not tend to infinity as n tends to infinity. Suppose the joint density function hn =hn (x m (n); θ) of the X jn 's in Xm(n) is completely specified except the values of the parameters in the parameter vector θ = (θ1 θ2, ... , θ k ), where θ belongs to a non-degenerate open subset H of the k-dimensional Euclidean space Rk and k?m(n). 相似文献
2.
Abstract Let X 1, X 2 be independent identically distributed positive integer valued random variables. H the X i 's have a geometric distribution, then the conditional distribution of R = max(X 1, X 2)-min(X 1, X 2), given R > 0, is the same as the distribution of X 1. This property is shown to characterize the geometric distribution. 相似文献
3.
Olav Reiersöl 《Scandinavian actuarial journal》2013,2013(3-4):201-227
Abstract Let be the regression of X 1 on X 2, X 3,… Xn (also called the first elementary regression in the set of variables X 1, X 2,…,Xn ). 相似文献
4.
Werner Fieger 《Scandinavian actuarial journal》2013,2013(3-4):232-237
Abstract Cook (1978) has proved that n positive random variables X 1 ..., X n are independent and follow the same exponential distribution iff the random vectors (X 1 ..., X s ) and (X s+1, ..., X n ) are independent for some s ∈ {1, ..., n-l} and E(Π} j=1 n max {X j -a j , 0}) is a function of Σ j=1 n a j for a 1, ..., a n ∈ dR +. In this paper a generalization of this characterization of the exponential distribution and an analogous characterization of the geometric distribution are given. 相似文献
5.
Erling Sverdrup 《Scandinavian actuarial journal》2013,2013(2):124-128
1. Introduction A preliminary test is sometimes performed to obtain a simple model with few parameters. This should ostensibly result in a better performance in the subsequent treatment of the observations. For obvious reasons such a procedure is questionable. It is felt that one should keep to the original a priori model with the original parameter vector θ. In this note a third method is proposed. Adhere to original parameters θ, but concentrate attention on an index φ(θ) which sums up some essential features of the model. (This principle has been advocated by Goldstein (1981).) 相似文献
6.
Prem K. Goel 《Scandinavian actuarial journal》2013,2013(2):109-118
Abstract Let the random variable X denote the time taken in completion of a process. For a fixed a, if the observed value of X is less than a, the X is observable, but if X is greater than a, the process is tampered with and is accelerated or decelerated at time a by some unknown factor α, and Y=a+α(X-a) is observed. If the experimenter has only partial control over the experiment, it may be difficult to get several observations on Y corresponding to the same a value. Thus we have a set of independent but not identically distributed observations. The large sample behavior of m.l.e. of the unknown parameters based on tampered random variables Y b1 , ..., Y bn is studied. If X follows an exponential distribution with mean (1/--), ... the consistency and asymptotic normality of the m.l.e. of α and -- is established under mild conditions on a b1, a b2, ... The conditions needed for establishing the consistency of m.l.e. of lX are given when X follows a uniform distribution U(O, --) or when X has any known distributional form 相似文献
7.
Robert J. Myers F.S.A. F.C.A.S. F.C.A. A.I.A. 《North American actuarial journal : NAAJ》2013,17(3):113-116
Abstract The problem of allocating responsibility for risk among members of a portfolio arises in a variety of financial and risk-management contexts. Examples are particularly prominent in the insurance sector, where actuaries have long sought methods for distributing capital (net worth) across a number of distinct exposure units or accounts according to their relative contributions to the total “risk” of an insurer’s portfolio. Although substantial work has been done on this problem, no satisfactory solution has yet been presented for the case of inhomogeneous loss distributions— that is, losses X ~ F X| λ such that F X|tλ (X) ≠ F tX| λ (X) for some t > 0. The purpose of this article is to show that the value-assignment method of nonatomic cooperative games proposed in 1974 by Aumann and Shapley may be used to solve risk-allocation problems involving losses of this type. This technique is illustrated by providing analytical solutions for a useful class of multivariatenormal loss distributions. 相似文献
8.
Attila Csenki 《Scandinavian actuarial journal》2013,2013(2):107-111
Abstract Let X f1, X f2, ... be a sequence of i.i.d. random variables with mean µ and variance σ2∈ (0, ∞). Define the stopping times N(d)=min {n:n ?1 Σ n i=1} (X i−X n)2+n ?1?nd 2/a 2}, d>0, where X n =n ?1 Σ n i=1} Xi and (2π)?½ ∫ a ?a exp (?u 2/2) du=α ∈(0,1). Chow and Robbins (1965) showed that the sequence In,d =[Xn ?d, X n + d], n=1,2, ... is an asymptotic level -α fixed-width confidence sequence for the mean, i.e. limd→0 P(µ∈IN(d),d )=α. In this note we establish the convergence rate P(µ∈IN(d),d )=α + O(d½?δ) under the condition E|X1|3+?+5/(28) < ∞ for some δ ∈ (0, ½) and ??0. The main tool in the proof is a result of Landers and Rogge (1976) on the convergence rate of randomly selected partial sums. 相似文献
9.
B. Berliner 《Scandinavian actuarial journal》2013,2013(2):76-80
Abstract Suppose a (re)insurer has free reserves of amount U at his disposal and a portfolio characterised by the distribution function Fx (z; µ σ2). X is a stochastic variable describing the accumulated loss during a certain time interval; µ, and σ2) = V are the expected value and the variance of X respectively. 相似文献
10.
Nils Blomqvist 《Scandinavian actuarial journal》2013,2013(3-4)
Abstract Let X 1 (µ), X 2 (µ), ... be an infinite sequence of independent and identically distributed random variables defined on the whole real axis and with EX1 (µ) = µ > 0. Put Mn (µ) = max (S0 (µ), S1 (µ), ..., Sn (µ) , where Sn (µ) = X1 (µ) + ... + Xn (µ) for n = 1 , 2, ... and S0 (µ) = 0, and define 相似文献
11.
Alf Guldberg 《Scandinavian actuarial journal》2013,2013(2):90-96
Abstract Es sei X eine zufällige Variable, welche k verschiedene Werte ξ1, ξ2, ... ξ k annehmen kann, wofür die Wahrscheinlichkeiten p 1, p 2, ... p k bestehen, wo p 1 + p 2 + ... + p k = 1; die Gesamtheilt der Werte ξ1, ξ2, ... ξ k und der ihnen zugeordneten Wahrscheinlichkeiten p 1, p 2, ... p k wird das Verteilungsgesetz von X genannt. Werden an der Variablen X Versuche in der Weise vorgenommen, dass das Verteilungsgesetz stets dasselbe bleibt und die einzelne Versuche alle von einander unabhängig sind, so wird die Reihe der unter solchen Bedingungen zu stande kommenden empirisch-zufälligen Werte von X als normal stabil bezeichnet. 相似文献
12.
C. G. Esseen 《Scandinavian actuarial journal》2013,2013(2):160-170
Abstract Consider a sequence of independent random variables (r.v.) X 1 X 2, …, Xn , … , with the same distribution function (d.f.) F(x). Let E (Xn ) = 0, E , E (?(X)) denoting the mean value of the r.v. ? (X). Further, let the r.v. where have the d.f. F n (x). It was proved by Berry [1] and the present author (Esseen [2], [4]) that Φ(x) being the normal d.f. 相似文献
13.
Bjørn Sundt 《Scandinavian actuarial journal》2013,2013(2-3):115-123
Abstract The question on what statistics to base our credibility estimators, is discussed in a general model. We introduce concepts of sufficiency, completeness, θ-sufficiency, and θ-completeness that are useful in this connection, and use methods of Rao-Blackwell type. Some of the present results are closely related to results by Taylor (1977). 相似文献
14.
Abstract Let X 1, X 2,... be a sequence of independent, identically distributed random variables with P(X?0)=0, and such that pκ = ?0 ∞ x κ dP(x)<∞, k= 1, 2, 3, 4. Assume that {N(t), t?0} is a Poission stochastic process, independent of the X 1 with E(N(t))=t. For λ ? 0, let Z T= max {Σ t?1 N(t) X t ?t(p 1+λ)}. Expressions 0 ?t?T for E(Z T ), E(Z T 2), and P(Z T =0) are derived. These results are used to construct an approximation for the finite-time ruin function Ψ(u, T) = P(Z T >u) for u?0. An alternate method of approximating Ψ(u, T) was presented in [10] by Olof Thorin and exemplified in [11] by Nils Wikstad. One of the purposes of this paper is to compare the two methods for two distributions of claims where the number of claims is a Poisson variate. The paper will also discuss the advantages and disadvantages of the two methods. We will also present a comparison of our approximate figures with the exact figures for the claim distribution 相似文献
15.
Von Alf Guldberg 《Scandinavian actuarial journal》2013,2013(1):205-209
Abstract Eine Grösse X hänge in der Weise vom Zufall ab, dass sie verschiedene Werte x 1, x 2, … XII annimmt, je nachdem das Ereignis E 1, oder das Ereignis E 2 oder … oder das Ereignis E n eintritt, wofür die Wahrscheinlichkeiten p 1, p 2, … p n bestehen sollen; p 1 + p 2 + … + p n = 1. Mann nennt X eine von Zufall abhängige Grösse oder X eine variable Grösse mit dem Wertevorrat (x 1, x 2, … x n), wobei jedem einzelnen dieser Werte eine bestimmte Wahrscheinlichkeit zukommt. Zwei Grössen X, Y mit den Individualwerten x 1, x 2, … x n; y 1, y 2, … y m heissen unabhängig von einander, wenn die Wahrscheinlichkeit p i von x i dieselbe bleibt, welches auch der Wert von Y sei, und wenn auch die Wahrscheinlichkeit q p von y p dieselbe bleibt, welchen Wert auch X annehmen möge. 相似文献
16.
B. R. Rao 《Scandinavian actuarial journal》2013,2013(1-2):57-67
Abstract Rao [1] and simultaneously Cramér [2, 3] have shown that if f (x, θ) is the probability density function of a distribution involving an unknown parameter θ and distributed over the range α ? x ? b, where a and b are independent of θ, and if x 1 x 2 ... x n is a random sample of n independent observations from this distribution, the variance of any estimate unbiased for Ψ (θ), satisfies the inequality where E denotes mathematical expectation and is Fisher's information index about θ. In (1), equality holds if, and only if, θ* is sufficient for θ. This inequality is further generalized to the multi-parametric case. 相似文献
17.
V. R. Rao Uppuluri 《Scandinavian actuarial journal》2013,2013(1-2):51-52
Abstract Let X be a random variable defined on a probability space, and E denote the expectation operator. 相似文献
18.
Maurice Fréchet 《Scandinavian actuarial journal》2013,2013(3-4):214-220
Abstract Dans ce même périodique, vous avez considéré1, à la page 7, la loi de probabilité de deux variables aléatoires X, Y,2 où la probabilité élémentaire ?(x, y) dx dy pour que X et Y soient respectivement compris entre x et x + dx, y et y + dy, est de la forme où K, a 1, a 2, b 1, b 2 sont des constantes. Nous nous proposons, dans ce qui suit, d'apporter quelques compléments à votre exposé. 相似文献
19.
Harald Bergström 《Scandinavian actuarial journal》2013,2013(3-4):139-153
Abstract If X and Y are mutually independent random variables whith the d. f. 1 F 1(χ) and F 2(χ), it is known 2 that the sum X + Y has the d. f. F 2(χ), defined as the convolution where the integrals are Lebesgue-Stiltjes integrals. One uses the abbreviation More generally the sum X 1 + X 2 + … + X n of n mutually independent random variables with the d. f. 1 F 1(χ), F 2(χ) , … , F n has the d. f. 相似文献
20.
Khatab M. Hassanein 《Scandinavian actuarial journal》2013,2013(2):88-93
Summary Large sample estimation of the origin (α1 and the scale parameter (α2 of the gamma distribution when the shape parameter m is known is considered. Assuming both parameters are unknown, the optimum spacings (0<λ1<λ2<...λ k <1) determining the maximum efficiences among other choices of the same number of observations are obtained. The coefficients to be used in computing the estimates, their variances and their asymptotic relative efficiencies (A.R.E.) relative to the Cramer Rao lower bounds are given. 相似文献