ABSTRACT In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and...
moreABSTRACT In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process. Our main contribution here is to introduce a multivariate subordinator with gamma margins. We investigate the process, determine its Lévy triplet and analyze its dependence structure. At the end we propose an exponential Lévy price model.
In this paper we consider some dependence properties and orders among multivariate distributions, and we study their preservation under mixtures. Applications of these results in reliability, risk theory, and mixtures of discrete...
moreIn this paper we consider some dependence properties and orders among multivariate distributions, and we study their preservation under mixtures. Applications of these results in reliability, risk theory, and mixtures of discrete distributions are provided.
A definition of set-wise differentiability for set functions is given through refining the partitions of sets. Such a construction is closely related to the one proposed by Rosenmuller (1977) as well as that studied by Epstein (1999) and...
moreA definition of set-wise differentiability for set functions is given through refining the partitions of sets. Such a construction is closely related to the one proposed by Rosenmuller (1977) as well as that studied by Epstein (1999) and Epstein and Marinacci (2001). We present several classes of TU games which are differentiable and study differentiation rules. The last part of
Ebrahimi (2001) proposes an interesting model for assessing a system's reliability, expressing the failure time of the system in terms of a deterioration process and covariates. He also provides illustrative examples and gives...
moreEbrahimi (2001) proposes an interesting model for assessing a system's reliability, expressing the failure time of the system in terms of a deterioration process and covariates. He also provides illustrative examples and gives some properties of the model. In this note, we give conditions for negative ageing of the system's lifetime, and we correct one of his statements. Moreover, for the lifetimes of two systems of the same kind, some stochastic comparisons are presented.
ABSTRACT The purpose of this paper is to derive bounds on the marginal distributions of a discrete-time claim process S with correlated claims. These bounds are based on stochastic comparison in convex order and in Laplace transform order...
moreABSTRACT The purpose of this paper is to derive bounds on the marginal distributions of a discrete-time claim process S with correlated claims. These bounds are based on stochastic comparison in convex order and in Laplace transform order of the process S with two corresponding processes and having, respectively, uncorrelated and weakly correlated claims. The relevance of these comparisons is due to the simple structure of the processes and , which are nothing else than a random walk and a mixed random walk. The paper also contains the proof of the closure under mixture property of some dependence orders, like supermodular and PQD, and some applications of the main results.
In this paper we consider some dependence properties and orders among multivariate distributions, and we study their preservation under mixtures. Applications of these results in reliability, risk theory, and mixtures of discrete...
moreIn this paper we consider some dependence properties and orders among multivariate distributions, and we study their preservation under mixtures. Applications of these results in reliability, risk theory, and mixtures of discrete distributions are provided.
ABSTRACT Purpose ‐ The paper proposes a statistical approach to investigate the role played by each house characteristic on the selling process. The paper aims to compare the impact of building characteristics, apartment characteristics...
moreABSTRACT Purpose ‐ The paper proposes a statistical approach to investigate the role played by each house characteristic on the selling process. The paper aims to compare the impact of building characteristics, apartment characteristics and location on the bargaining outcome based on a case study in the Italian real estate market. Design/methodology/approach ‐ The paper first measures the overall contribution of characteristics and location to prices and bargaining outcome. Second, it studies the association between each characteristic and list price ‐ the starting point of the selling process ‐ and between each characteristic and selling price, i.e. the price agreed on to close a transaction. In order to focus on bargaining, the paper computed the association between each characteristic and bargaining outcome. Findings ‐ Structural characteristics empirically showed low association with bargaining outcome. In contrast, the paper found that location had a significant impact on the bargaining: location is the most important factor in negotiation. On the other hand, location amenities and disamenities may be attractive or unattractive depending on the buyers, and this could influence the bargaining outcome. Originality/value ‐ The paper findings confirm that factors influencing house prices are not always important factors in negotiation, in line with the literature on negotiation. Hedonic analysis showed the importance of house characteristics to explain house prices. Nevertheless, structural characteristics did not explain bargaining outcome variation. The findings also support the importance of a geographical segmentation to improve price prediction and bargaining outcome variation.
Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions...
moreTime-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions can be generated by infinite divisible normal mixtures. The standard multivariate normal mean variance mixtures assume a common mixing variable. This corresponds to a multidimensional return process with
