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View article: Generalized Linear Model (GLM) Applications for the Exponential Dispersion Model Generated by the Landau Distribution
Generalized Linear Model (GLM) Applications for the Exponential Dispersion Model Generated by the Landau Distribution Open
The exponential dispersion model (EDM) generated by the Landau distribution, denoted by EDM-EVF (exponential variance function), belongs to the Tweedie scale with power infinity. Its density function does not have an explicit form and, as …
View article: The Large Arcsine Exponential Dispersion Model—Properties and Applications to Count Data and Insurance Risk
The Large Arcsine Exponential Dispersion Model—Properties and Applications to Count Data and Insurance Risk Open
The large arcsine exponential dispersion model (LAEDM) is a class of three-parameter distributions on the non-negative integers. These distributions show the specific characteristics of being leptokurtic, zero-inflated, overdispersed, and …
View article: Exponential dispersion models for overdispersed zero-inflated count data
Exponential dispersion models for overdispersed zero-inflated count data Open
We consider three new classes of exponential dispersion models of discrete probability distributions which are defined by specifying their variance functions in their mean value parameterization. In a previous paper (Bar-Lev and Ridder, 20…
View article: New exponential dispersion models for count data: the ABM and LM classes
New exponential dispersion models for count data: the ABM and LM classes Open
In their fundamental paper on cubic variance functions (VFs), Letac and Mora ( The Annals of Statistics , 1990) presented a systematic, rigorous and comprehensive study of natural exponential families (NEFs) on the real line, their charact…
View article: New exponential dispersion models for count data -- the ABM and LM classes
New exponential dispersion models for count data -- the ABM and LM classes Open
In their fundamental paper on cubic variance functions, Letac and Mora (The Annals of Statistics,1990) presented a systematic, rigorous and comprehensive study of natural exponential families on the real line, their characterization throug…
View article: New exponential dispersion models for count data -- properties and applications
New exponential dispersion models for count data -- properties and applications Open
In their fundamental paper on cubic variance functions (VFs), Letac and Mora (The Annals of Statistics,1990) presented a systematic, rigorous and comprehensive study of natural exponential families (NEFs) on the real line, their characteri…
View article: Monte Carlo Methods for Insurance Risk Computation
Monte Carlo Methods for Insurance Risk Computation Open
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual claim variables follow a reproducible natural exponential family (NEF) di…
View article: Monte Carlo Methods for Insurance Risk Computation
Monte Carlo Methods for Insurance Risk Computation Open
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF) distribu…
View article: A simulation tool for truck loading at fuel filling plants
A simulation tool for truck loading at fuel filling plants Open
The various processes of truck loading at a fuel filling plant are interrelated which makes it complex to analyze and improve the performance of the filling plants. This paper describes these processes and presents a software tool develope…
View article: Variance Reduction
Variance Reduction Open
Increased computer speed and memory have encouraged simulation analysts to develop ever more realistic stochastic models. Despite these advancements in computing hardware, the most significant gains in the speed of stochastic simulation ar…
View article: An M-estimator for rare-event probability estimation
An M-estimator for rare-event probability estimation Open
We describe a maximum-likelihood type estimator, or M-estimator, for Monte Carlo estimation of rare-event probabilities. In this method, we first sample from the zero-variance measure using Markov Chain Monte Carlo (MCMC), and then given t…
View article: Semiparametric cross entropy for rare-event simulation
Semiparametric cross entropy for rare-event simulation Open
The cross entropy is a well-known adaptive importance sampling method which requires estimating an optimal importance sampling distribution within a parametric class. In this paper we analyze an alternative version of the cross entropy, wh…