METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY应用概率中的方法与计算
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY(英文缩写 METHODOL COMPUT APPL),ISSN 1387-5841,eISSN 1573-7713,中文译名:应用概率中的方法与计算 是一本学术期刊。本页汇总该期刊的最新影响因子、分区信息以及最新收录于 PubMed 的文献,帮助您快速了解期刊全貌。
发文量统计区间：2025-10-01 至 2026-09-30，按本站收录文献的发表日期统计。
期刊介绍
历年影响因子趋势
| JCR 数据年份 | 影响因子 | JCR 分区 |
|---|---|---|
| 2021 | 0.880 | Q4 |
| 2022 | 0.900 | Q4 |
| 2023 | 1.000 | Q3 |
| 2024 | 1.000 | Q3 |
| 2025 | 1.100 | Q3 |
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY 最新收录文献
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1. Covering One Point Process with Another.
PMID:日期:2025-04-29Let and be i.i.d. random uniform points in a bounded domain with smooth or polygonal boundary. Given , define the to be the smallest such that each point of is covered at least times by the disks of radius centred on . We obtain the limiting distribution of as with for some constant , with fixed. If has unit area, then is asymptotically Gumbel distributed with scale parameter 1 and location parameter . For , we find that is asymptotically Gumbel with scale parameter 2 and a more complicated location parameter involving the perimeter of ; boundary effects dominate when . For the limiting cdf is a two-component extreme value distribution with scale parameters 1 and 2. We also give analogous results for higher dimensions, where the boundary effects dominate for all .
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2. On Berman Functions.
PMID:日期:2024-01-05Let with a standard fractional Brownian motion (fBm) with Hurst parameter and define for non-negative the Berman function where the random variable independent of has survival function and In this paper we consider a general random field (rf) that is a spectral rf of some stationary max-stable rf and derive the properties of the corresponding Berman functions. In particular, we show that Berman functions can be approximated by the corresponding discrete ones and derive interesting representations of those functions which are of interest for Monte Carlo simulations presented in this article.
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3. Effects of Prioritized Input on Human Resource Control in Departmentalized Markov Manpower Framework.
PMID:日期:2023-02-28In this paper, extended Markov manpower models are formulated by incorporating a new class of members of a departmentalized manpower system in a homogeneous Markov manpower model. The new class, called limbo class, admits members of the system who exit to a limbo state for possible re-engagement in the active class. This results to two channels of recruitment: one from the limbo class and another from the outside environment. The idea is motivated by the need to preserve trained and experienced individuals who could be lost in times of financial crises or due to contract completion. The control aspect of the manpower structure under the extended models are examined. Under suitable stochastic condition for the flow matrices, it is proved that the maintainability of the manpower structure through promotion does not depend on the structural form of the limbo class when the system is expanding with priority on recruitment from outside environment, nor on the structural form of the active class when the system is shrinking with priority on recruitment from the limbo class. Necessary and sufficient conditions for maintainability of the manpower structure through recruitment in the case of expanding systems are also established with proofs.
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4. The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions.
PMID:日期:2023-02-09In this paper, we consider discounted penalty functions, also called Gerber-Shiu functions, in a Markovian shot-noise environment. At first, we exploit the underlying structure of piecewise-deterministic Markov processes (PDMPs) to show that these penalty functions solve certain partial integro-differential equations (PIDEs). Since these equations cannot be solved exactly, we develop a numerical scheme that allows us to determine an approximation of such functions. These numerical solutions can be identified with penalty functions of continuous-time Markov chains with finite state space. Finally, we show the convergence of the corresponding generators over suitable sets of functions to prove that these Markov chains converge weakly against the original PDMP. That gives us that the numerical approximations converge to the discounted penalty functions of the original Markovian shot-noise environment.
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5. Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts.
PMID:日期:2022-06-22We extend a recently proposed stochastic loss reserving model for liabilities from incurred but not reported (IBNR) micro-level claims. We propose viewing the number of claims from an event as a measure of catastrophic severity. This view covers catastrophes with arbitrarily many classes of magnitude. Our Markovian model allows the time between disasters to depend on the previous event's level of severity. Simultaneously, we let the discount rate vary in the same manner. First, we find the moments of IBNR liabilities in our model. Then, we permit a later time horizon for IBNR claims when considered jointly with incurred and reported claims.
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6. Editorial for special issue on advances in Actuarial Science and quantitative finance.
PMID:日期:2022-06-05This article provides an overview of all papers published on the special issue, Advances in Actuarial Science and Quantitative Finance. The special issue is intended to collect articles that reflect the latest development and emerging topics in these closely related two areas. Topics included in this special issue range from actuarial and risk theory, to optimal control for finance and insurance, to statistical inferences of financial and insurance models, to pricing, valuation and reserving.
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7. Accelerating the Pool-Adjacent-Violators Algorithm for Isotonic Distributional Regression.
PMID:日期:2022-03-31In the context of estimating stochastically ordered distribution functions, the pool-adjacent-violators algorithm (PAVA) can be modified such that the computation times are reduced substantially. This is achieved by studying the dependence of antitonic weighted least squares fits on the response vector to be approximated.
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8. Hawkes Processes Framework With a Gamma Density As Excitation Function: Application to Natural Disasters for Insurance.
PMID:日期:2022-03-05Hawkes processes are temporal self-exciting point processes. They are well established in earthquake modelling or finance and their application is spreading to diverse areas. Most models from the literature have two major drawbacks regarding their potential application to insurance. First, they use an exponentially-decaying form of excitation, which does not allow a delay between the occurrence of an event and its excitation effect on the process and does not fit well on insurance data consequently. Second, theoretical results developed from these models are valid only when time of observation tends to infinity, whereas the time horizon for an insurance use case is of several months or years. In this paper, we define a complete framework of Hawkes processes with a Gamma density excitation function (i.e. estimation, simulation, goodness-of-fit) instead of an exponential-decaying function and we demonstrate some mathematical properties (i.e. expectation, variance) about the transient regime of the process. We illustrate our results with real insurance data about natural disasters in Luxembourg.
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9. On the Maximum of a Bivariate INMA Model with Integer Innovations.
PMID:日期:2022-02-15We study the limiting behaviour of the maximum of a bivariate (finite or infinite) moving average model, based on discrete random variables. We assume that the bivariate distribution of the iid innovations belong to the Anderson's class (Anderson, 1970). The innovations have an impact on the random variables of the INMA model by binomial thinning. We show that the limiting distribution of the bivariate maximum is also of Anderson's class, and that the components of the bivariate maximum are asymptotically independent.
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10. On the Risk of Ruin in a SIS Type Epidemic.
PMID:日期:2022-01-08The paper deals with the problem of possible ruin when providing insurance coverage for an epidemic. The model studied is an SIS type epidemic which generalizes the well-known logistic model. Contractually, the premiums are paid by susceptible people while the care costs are reimbursed to infected people via an annuity or a lump-sum benefit. Our goal is to determine the distribution of the main statistics of the ruin when it occurs during the epidemic. The case where the reserve alternates between normal and epidemic episodes is also discussed using a Brownian modeling of the reserve. Finally, some of the results are illustrated for two particular SIS epidemic models.