An important problem of actuarial risk management is the calculation of the probability of ruin. Using probability theory and the definition of the Laplace transform one obtains expressions, in the classical risk mode...An important problem of actuarial risk management is the calculation of the probability of ruin. Using probability theory and the definition of the Laplace transform one obtains expressions, in the classical risk model, for survival probabilities in a finite time horizon. Then explicit solutions are found with the inversion of the double Laplace transform;using algebra, the Laplace complex inversion formula and Matlab, for the exponential claim amount distribution.展开更多
This paper extends and generalizes the works of [1,2] to allow for cross-sectional dependence in the context of a two-way error components model and consequently develops LM test. The cross-sectional dependence follow...This paper extends and generalizes the works of [1,2] to allow for cross-sectional dependence in the context of a two-way error components model and consequently develops LM test. The cross-sectional dependence follows the first order spatial autoregressive error (SAE) process and is imposed on the remainder disturbances. It is important to note that this paper does not consider alternative forms of spatial lag dependence other than SAE. It also does not allow for endogeneity of the regressors and requires the normality assumption to derive the LM test.展开更多
In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrel...In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrelation problem in some specific cases. Estimation procedures are then derived.展开更多
文摘An important problem of actuarial risk management is the calculation of the probability of ruin. Using probability theory and the definition of the Laplace transform one obtains expressions, in the classical risk model, for survival probabilities in a finite time horizon. Then explicit solutions are found with the inversion of the double Laplace transform;using algebra, the Laplace complex inversion formula and Matlab, for the exponential claim amount distribution.
文摘This paper extends and generalizes the works of [1,2] to allow for cross-sectional dependence in the context of a two-way error components model and consequently develops LM test. The cross-sectional dependence follows the first order spatial autoregressive error (SAE) process and is imposed on the remainder disturbances. It is important to note that this paper does not consider alternative forms of spatial lag dependence other than SAE. It also does not allow for endogeneity of the regressors and requires the normality assumption to derive the LM test.
文摘In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrelation problem in some specific cases. Estimation procedures are then derived.
