Browse Research
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2013
This study relates negative binomial and generalized Poisson regression models through the mean-variance relationship, and suggests the application of these models for overdispersed or underdispersed count data.
2013
This paper outlines an application of a weighted Monte Carlo method to a jump diffusion model
in the presence of clustering and runs suggestive of contagion. The paper was originally submitted as a master's thesis in the Mathematics in Finance program at the Courant Institute of Mathematical Sciences, New York University, on March 15, 2003. The author wishes to make the material available to a wider audience.
2013
The Pareto distribution is widely used in modeling losses in Property and Casualty insurance. The thick-tailed nature of the distribution allows for inclusion of large events. However, in practice it may be necessary to apply an upper truncation point so as to eliminate unreasonably large loss amounts and to ensure that the first and second moments of the distribution exist.
