ISSN:8755-0024    

DOI:10.1002/asm.3150110102

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper considers a mutual inspection game which follows the signing of a quality delivery contract. The basic strategic decisions considered involve both the supplier and producer acceptance sampling procedure on the same lot. To solve the game, we consider the classical notions of ‘producer’ and ‘consumer’ risks and define a random payoffs game. To simplify our analysis, we assume risk neutrality by both the producer and the supplier. The approach of this paper provides a departure point from traditional acceptance sampling, to an approach which recognizes explicit motivations and the pursuit of self‐interest as well as the cost of information for the parties involved. As a result, the traditional formulation of sampling plans, designed in terms of risk considerations based on Neyman—Pearson theory in hypothesis testing, is deemed limited. For demonstration purposes, an exampl

ISSN:8755-0024    

DOI:10.1002/asm.3150110103

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractAn explicit formula for the characteristic function of a doubly stochastic Poisson process is derived in this paper by means of the harmonic decomposition of its intensity function that we suppose to be Gaussian. The statistical moments are then obtained, as well as the sample function density of the process. These results are applied to estimate the parameters of several well‐known processes. Finally, a linear filtering procedure for the intensity function is developed and the algorithm is implemented by computer

ISSN:8755-0024    

DOI:10.1002/asm.3150110104

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractAssume that a dam has a capacityV.Its water inputI={It,tϵ [0, ∞)}], is assumed to be a diffusion process. The water is released at one of two rates 0 andMunits of water per unit of time. The release rate is 0 until the water reaches level λ(0<λ

ISSN:8755-0024    

DOI:10.1002/asm.3150110105

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we formulate a dynamic model expressing the human life table data by using the first‐passage‐time theory for a stochastic process. The model is derived analytically and then is applied to the mortality data in Belgium and France. A stochastic simulation is also performed for the ‘health state function’ proposed and the related stochastic paths. Furthermore the implications of the proposed model and the results derived for pension funds and option theory are di

ISSN:8755-0024    

DOI:10.1002/asm.3150110106

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractUsing the Mihlstein approximation for solutions to stochastic differential equations and the stochastic calculus an estimate for the volatility is obtained. The estimate is also valid for stochastic, Markov, volatilities. If the process has jumps, these reduce the previous estimate. The instantaneous covariance of two risky assets is also calculated.

ISSN:8755-0024    

DOI:10.1002/asm.3150110107

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we examine the behaviour of a stochastic model that describes a technological diffusion process (continuously increasing process). Furthermore we obtain a solution for the proposed model through the estimation of the volatility using three different approximations. The adjustment of real data to the final stochastic model confirms its ability of describing and forecasting real cases.

ISSN:8755-0024    

DOI:10.1002/asm.3150110108

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractThe purposes of this paper are to introduce a multivariate non‐stationary stochastic time series model without individual detrending and to extract the multiple relationships between variables. To infer the statistical relation between variables, we attempt to estimate the co‐movement of multivariate non‐stationary time series components. The model is expressed in state‐space form, and time series components are estimated by the maximum likelihood method using numerical optimization algorithm. The Kalman filter algorithm is used to compute the likelihood of the model. The AIC procedure gives a criterion for selecting the best model fit for the data. The multiple relationship becomes clear by analysing estimated AR coefficients. Real economic data are used for a numerical

ISSN:8755-0024    

DOI:10.1002/asm.3150110109

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractOrdinal regression analysis is proposed as a means for evaluating banking performance over multiple attributes in the presence of non‐monotonic preferences. First, a multivariate statistical analysis is applied to measure the banking performance on the basis of financial ratios that derive from the study of financial statements of a sample of Greek banks for the period 1989–1992. Then, an additive utility model is assessed to obtain the final ranking of a representative sample of Greek ba

ISSN:8755-0024    

DOI:10.1002/asm.3150110110

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

ISSN:8755-0024    

DOI:10.1002/asm.3150110111

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY