Joint modelling of the total amount and the number of claims by conditionals

In the risk theory context, let us consider the classical collective model. The aim of this paper is to obtain a flexible bivariate joint distribution for modelling the couple (S,N), where N is a count variable and S=X₁+?+X_N is the total claim amount. A generalization of the classical hierarchical model, where now we assume that the conditional distributions of S|N and N|S belong to some prescribed parametric families, is presented. A basic theorem of compatibility in conditional distributions of the type S given N and N given S is stated. Using a known theorem for exponential families and results from functional equations new models are obtained. We describe in detail the extension of two classical collective models, which now we call Poisson-Gamma and the Poisson-Binomial conditionals models. Other conditionals models are proposed, including the Poisson-Lognormal conditionals distribution, the Geometric-Gamma conditionals model and a model with inverse Gaussian conditionals. Further developments of collective risk modelling are given.     

On a family of aggregate claims distributions

This paper gives a family of aggregate claims distributions using an integral equation representation. The Kernel of the integral equation is chosen so that the compound distributions such as Poisson and binomial are members of the same family. Furthermore, the aggregate claims distribution can be determined by the mean and variance of the number of claims.     

A class of autoregressive models for predicting the final claims amount

We treat one of the main problems of insurance mathematics, i.e. the problem of calculating loss-reserves, and investigate a general class of autoregressive models for predicting the final claims amounts of a collection of risks.     

On a generalized Fisher equation

A generalized non-linear Fisher equation in cylindrical coordinates with radial symmetry is studied from Lie symmetry point of view. In the classical Fisher equation the reaction diffusion term is replaced with a general function to accommodate more equations of this type. Moreover, the diffusivity is assumed to be a function of the dependent variable to account for many real situations. An attempt is made to classify the diffusivity function and exact solutions are obtained in some cases.     

On a generalized sup-inf problem

In this paper, necessary and sufficient conditions for solvability of nonlinear inequality systems are given using certain generalized convexity concepts. Our results imply some theorems of Kirszbraun, Fan, Minty, Simons, Sebestyén, and Gwinner-Oettli.The authors are grateful to the referees for their helpful comments. They thank one of the referees, who emphasized the connection between the Wald minimax theorem and Theorem 2.1, and suggested an alternative proof of Theorem 2.1 in Section 4.     

On a generalized Eulerian distribution

The distribution with probability function p _k(n, , ) = A _{n, k}(, )/(+ )^[p], k = 0, 1, 2, ..., n, where the parameters and are positive real numbers, A _{n, k} (, ) is the generalized Eulerian number and ( + )^[n] = ( + )( + +1) ... ( + +n – 1), introduced and discussed by Janardan (1988, Ann. Inst. Statist. Math., 40, 439–450), is further studied. The probability generating function of the generalized Eulerian distribution is expressed by a generalized Eulerian polynomial which, when expanded suitably, provides the factorial moments in closed form in terms of non-central Stirling numbers. Further, it is shown that the generalized Eulerian distribution is unimodal and asymptotically normal.     

On a generalized Fan inequality

It is shown that the ω- and τ-matrices, the weakly sign symmetric matrices, the R- and V-matrices, and the matrices c-equivalent to an M-matrix or to a real matrix with nonpositive off-diagonal elements, can all be characterized by the same determinantal inequality, which we call a generalized Fan inequality.     

On a generalized James constant

We introduce a generalized James constant J(a,X) for a Banach space X, and prove that, if J(a,X)<(3+a)/2 for some a∈[0,1], then X has uniform normal structure. The class of spaces X with J(1,X)<2 is proved to contain all u-spaces and their generalizations. For the James constant J(X) itself, we show that X has uniform normal structure provided that , improving the previous known upper bound at 3/2. Finally, we establish the stability of uniform normal structure of Banach spaces.     

On a generalized Stokes problem

We deal with a generalization of the Stokes system. Instead of the Laplace operator, we consider a general elliptic operator and a pressure gradient with small perturbations. We investigate the existence and uniqueness of a solution as well its regularity properties. Two types of regularity are provided. Aside from the classical Hilbert regularity, we also prove the Hölder regularity for coefficients in VMO space.     

On a generalized Hankel type convolution of generalized functions

The classical generalized Hankel type convolution are defined and extended to a class of generalized functions. Algebraic properties of the convolution are explained and the existence and significance of an identity element are discussed.     

A generalized linear model with smoothing effects for claims reserving

In this paper, we continue the development of the ideas introduced in England and Verrall (2001) by suggesting the use of a reparameterized version of the generalized linear model (GLM) which is frequently used in stochastic claims reserving. This model enables us to smooth the origin, development and calendar year parameters in a similar way as is often done in practice, but still keep the GLM structure. Specifically, we use this model structure in order to obtain reserve estimates and to systemize the model selection procedure that arises in the smoothing process. Moreover, we provide a bootstrap procedure to achieve a full predictive distribution.     

On algebras with a generalized implication

We introduce the notion of gi-algebra as a generalization of dual BCK-algebra, and define the notions of strong, commutative and transitive gi-algebra, and then we show that an interval ↑l = {a ∈ P | l ≤ a} in a strong and commutative gi-algebra P is a lattice. Also, we define a congruence relation ～ _D on a transitive gi-algebra P and show that the quotient set P/～ _D is a gi-algebra and a dual BCK-algebra.