We model concept testing in new product development as a search for the most profitable solution to a design problem. When allocating resources, developers must balance the cost of testing multiple designs against the potential profits that may result. We propose extreme-value theory as a mathematical abstraction of the concept-testing process. We investigate the trade-off between the benefits ...

Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. We propose a nonparametric extension of the classical Peaks-Over-Threshold method from Extreme Value Theory to fit the time varying volatility in situations where the stationarity assumption may be violated by erratic changes of regime, say. As a result, we provide a meth...

Overview (Re)insurance premium calculation Net premium principle Wang's premium principle applied to excess-of-loss reinsurance setting Extreme value statistics Motivation Extreme value theory (first order framework) Estimating reinsurance premiums Finite sample behavior Simulated data (Fréchet, Burr) Reinsurance premiums (net premium, dual-power transform) X non-negative random variable denoti...

| In this article, we generalize the input{domain based software reliability measures by Nelson and by Weiss and Weyuker, introducing expected failure costs under the operational distribution as a measure for software unreliability. This approach incorporates in the reliability concept a distinction between diierent degrees of failure severity. It is shown how to estimate the proposed quantity ...

The stochastic simulation algorithm (SSA) is extensively used to simulate biochemical systems. By generating realizations from the probability distribution governing the time evolution of each system, the SSA provides a numerical approach for quantitative estimation of system behavior. A consequence of this approach is the dependence of estimation accuracy on the number of realizations generate...

The auto-Poisson probability model furnishes an obvious tool for modeling counts of geographically distributed rare events. Unfortunately, its original specification can accommodate only negative spatial autocorrelation, which itself is a rare event. More recent alternative reformulations, namely, the Winsorized and spatial filter specifications, circumvent this drawback. A comparison of their ...