Zobrazeno 1 - 10
of 998
pro vyhledávání: '"Settore MAT/06"'
Autor:
Macci, Claudio, Pacchiarotti, Barbara
Publikováno v:
Theory of Probability and Mathematical Statistics. 108:127-148
We consider the process $\{x-N(t):t\geq 0\}$, where $x\in\mathbb{R}_+$ and $\{N(t):t\geq 0\}$ is a renewal process with light-tailed distributed holding times. We are interested in the joint distribution of $(\tau(x),A(x))$ where $\tau(x)$ is the fir
Autor:
Macci, Claudio, Piccioni, Mauro
Publikováno v:
Journal of Statistical Planning and Inference. 224:54-68
We prove the large deviation principle (LDP) for posterior distributions arising from subfamilies of full exponential families, allowing misspecification of the model. Moreover, motivated by the so-called inverse Sanov Theorem (see e.g. Ganesh and O'
Autor:
Garbelli, Matteo
We present results that span three interconnected domains. Initially, our analysis is centred on Backward Stochastic Differential Equations (BSDEs) featuring time-delayed generators. Subsequently, we direct our interest towards Mean Field Games (MFGs
Externí odkaz:
https://hdl.handle.net/11572/398234
Autor:
Rita Giuliano, Claudio Macci
Publikováno v:
Modern Stochastics: Theory and Applications. :111-144
The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergenc
Autor:
Niki Pfeifer, Giuseppe Sanfilippo
We present two approaches to investigate the validity of connexive principles and related formulas and properties within coherence-based probability logic. Connexive logic emerged from the intuition that conditionals of the form if not-A, then A, sho
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3658::d36442e222b8a9da54cd7f0edd573511
https://hdl.handle.net/10447/588292
https://hdl.handle.net/10447/588292
Publikováno v:
Insurance: Mathematics and Economics. 105:252-278
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose a model wh
Publikováno v:
Statistics in Medicine. 41:2978-3002
We propose a test for multisample comparison studies that can be applied without strict assumptions, especially when the underlying population distributions are far from normal. The new test can detect differences not only in location or scale but al