Sökning: "bootstrap"

Visar resultat 1 - 5 av 100 avhandlingar innehållade ordet bootstrap.

  1. 1. Stochastic claims reserving in non-life insurance : Bootstrap and smoothing models

    Författare :Susanna Björkwall; Ola Hössjer; Esbjörn Ohlsson; Peter England; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Bootstrap; Chain-ladder; Generalized linear model; Separation method; Smoothing; Stochastic claims reserving; Mathematical statistics; Matematisk statistik; matematisk statistik; Mathematical Statistics;

    Sammanfattning : In practice there is a long tradition of actuaries calculating reserve estimates according to deterministic methods without explicit reference to a stochastic model. For instance, the chain-ladder was originally a deterministic reserving method. LÄS MER

  2. 2. Event Prediction and Bootstrap in Time Series

    Författare :Anders Svensson; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Statistics; bootstrap control.; statistical bootstrap; catastrophe; level-crossings; ARMAX process; Optimal alarm system; time series; optimal event predictor; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : Alarm systems are used in many situations, and should be as efficient as possible. In this thesis optimal predictive alarm systems, event predictors, are presented for general linear time series models with external signals. This family of process models include e.g. LÄS MER

  3. 3. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

    Författare :Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; non-stationary time series; unit root test; bootstrap; asymptotic refinement; cointegration; panel unit root test; cross-sectional dependence;

    Sammanfattning : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. LÄS MER

  4. 4. Monte Carlo Results for Bootstrap Tests in Systems with Integrated-Cointegrated Variables

    Författare :Panagiotis Mantalos; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Granger-causality; Monte Carlo; Cointegration; Bootstrap; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : When we study the properties of a test procedure, two aspects are of prime importance. Firstly, we wish to know if the actual size of the test (i.e., the probability of rejecting the null when true) is close to the nominal size (used for calculating the critical values). LÄS MER

  5. 5. Modelling and inference of relative collision safety in cars

    Författare :Anna Vadeby; Linköpings universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Collision; Mathematical model; Head on collision; Injury; Risk; Car; 91 Road: Vehicle design and construction; 91 Road: Vehicle design and construction; 85 Road: Personal injuries; 85 Road: Personal injuries; Estimation; birth process; maximum likelihood; bootstrap; confidence intervals; relative collision safety; head-on crashes.;

    Sammanfattning : We propose a new mathematical model for relative collision safety in cars. Our present research is restricted to head-on crashes between two cars and we try to determine how much of the injury risk in a crash that depends on car model. The relative risks include the driver populations of the different car models. LÄS MER