Inspired by the cross-ratio proposed Clayton, we study a new risk ratio to describe relation between components of random vector (T1,T2). It is conditional hazard rate function T1 at t1, given that T2≥t2 and T2<t2. A nonparametric estimator its asymptotic distribution obtained using Bernstein smoothing for survival copula (T1,T2) derivatives. The finite sample performance studied via simulation...

Title of dissertation: EXTENDING THE LÉVY PROCESSES TO MULTIASSET PRODUCTS PRICING Qing Xia, Doctor of Philosophy, 2006 Dissertation directed by: Professor Dilip B. Madan Department of Finance Lévy processes have gained great success in pricing single asset options. In this thesis, we introduce a methodology enabling us to extend the single asset pricing technique based on Lévy processes to mul...

A new four-parameter lifetime model is introduced and studied. The derives its flexibility wide applicability from the well-known exponentiated Weibull model. Many bivariate multivariate type versions are derived using Morgenstern family Clayton copula. density can exhibit many important shapes with different skewness kurtosis which be unimodal bimodal. hazard rate decreasing, J-shape, U-shape,...

BACKGROUND In survival studies when the event times are dependent, performing of the analysis by using of methods based on independent assumption, leads to biased. In this paper, using copula function and considering the dependence structure between the event times, a parametric joint distribution has made fitting to the events, and the effective factors on each of these events would be determi...

As the climate change is likely to be adversely affecting yield of paddy production, thence it has brought a limelight probable challenges on human particularly regional food security issues. This paper aims fit multivariate time series production variables using copula functions and predicts next year event based data five countries in southeast Asia. In particular, most appropriate marginal d...

The risk of a child dying before completing five years of age is still highest in sub-Saharan Africa region. In this paper, we used the copula based dependence to investigate the association between the under-five mortality rate and Gross Domestic Product in Rwanda from 1981 to 2015. The copula has for a long time been recognized as a powerful tool for modeling dependence between two random var...

Generalized exponential distribution has received some attention in the last few years. Recently Kundu and Gupta (2011) and Shoaee and Khorram (2012) introduced an absolute continuous bivariate generalized exponential distribution. In this paper we propose an absolute continuous multivariate generalized exponential distribution. The proposed distribution is very flexible, and the joint probabil...

The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional is derived. This analytical that can be inverted analytically as functions each single argument. case Archimedean related copulas. resulting not only tractable but also characterized tilted copulas, one main contributions this ...

BACKGROUND The aim of this study was to create a new meta-analysis method for cost-effectiveness studies using comparative efficiency research (COMER). METHODS We built a new score named total incremental net benefit (TINB), with inverse variance weighting of incremental net benefits (INB). This permits determination of whether an alternative is cost-effective, given a specific threshold (TIN...

Efficient sampling algorithms for both exchangeable and nested Archimedean copulas are presented. First, efficient sampling algorithms for the nested Archimedean families of Ali-Mikhail-Haq, Frank, and Joe are introduced. Second, a general strategy how to build a nested Archimedean copula from a given Archimedean generator is presented. Sampling this copula involves sampling an exponentiallytil...