Zobrazeno 1 - 10
of 106
pro vyhledávání: '"Sheung Chi Phillip Yam"'
Publikováno v:
Risks, Vol 11, Iss 8, p 143 (2023)
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three m
Externí odkaz:
https://doaj.org/article/bcdbb496c8814326a23b56a43443f9b7
Publikováno v:
PLoS ONE, Vol 17, Iss 11, p e0275532 (2022)
In this paper, we propose a portmanteau test for whether a graph-structured network dataset without replicates exhibits autocorrelation across units connected by edges. Specifically, the well known Ljung-Box test for serial autocorrelation of time se
Externí odkaz:
https://doaj.org/article/8366568c8e944327af48fd981c7e6eb1
Publikováno v:
PLoS ONE, Vol 15, Iss 12, p e0243123 (2020)
In this article, we study the applicability of Benford's law and Zipf's law to national COVID-19 case figures with the aim of establishing guidelines upon which methods of fraud detection in epidemiology, based on formal statistical analysis, can be
Externí odkaz:
https://doaj.org/article/df78806390f84f1ca50d2e53becd8d35
Publikováno v:
SIAM Journal on Numerical Analysis. 61:973-994
Optimal control problem is typically solved by first finding the value function through Hamilton-Jacobi equation (HJE) and then taking the minimizer of the Hamiltonian to obtain the control. In this work, instead of focusing on the value function, we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::027a018f3eda9314e2f3148ce3dbae6c
https://doi.org/10.1137/21m1442838
https://doi.org/10.1137/21m1442838
Publikováno v:
European Journal of Operational Research. 302:768-780
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3943317ab1f57c251bb719434b78773a
https://doi.org/10.1016/j.ejor.2022.01.017
https://doi.org/10.1016/j.ejor.2022.01.017
Publikováno v:
Mathematical Finance. 32:825-877
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::351005147794e8f56e235248978c4c51
https://doi.org/10.1111/mafi.12349
https://doi.org/10.1111/mafi.12349
Autor:
Jinhui Han, Sheung Chi Phillip Yam
Publikováno v:
SIAM Journal on Control and Optimization. 60:1193-1222
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::409ad75807f7bf1e4180b3949c75e380
https://doi.org/10.1137/21m140609x
https://doi.org/10.1137/21m140609x
Publikováno v:
European Journal of Operational Research. 298:752-768
As one of the earliest crucial applications of Bayesian statistics, credibility theory (see Buhlmann and Gisler, 2006) was first developed for net premium calibration in insurance by optimally combining individual claim history with other claim histo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::59a1ad01f52c4dc23ee87195f7ab9129
https://doi.org/10.1016/j.ejor.2021.07.020
https://doi.org/10.1016/j.ejor.2021.07.020
Publikováno v:
Finance and Stochastics. 26:267-300
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e488c9e8df3d9d7a203fbaba4c29be6c
https://doi.org/10.1007/s00780-022-00474-x
https://doi.org/10.1007/s00780-022-00474-x
Publikováno v:
Production and Operations Management.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::78219481380444f0de9fa47a38894ac9
https://doi.org/10.1111/poms.13929
https://doi.org/10.1111/poms.13929