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Data on Operations Science Described by Researchers at University of New South Wales Sydney (Modelling and Understanding Count Processes Through a Markov-modulated Non ...

2021 APR 07 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily-- Investigators publish new report on Science - Operations Science. According to news reporting out of Sydney, ...
Risk

Nonhomogeneous bivariate compound Poisson process with short-term periodicity

This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function. The dependence between margins is modeled using the Lévy copula.
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Heavy-tailed distributional model for operational losses

We examine the statistical properties of operational losses obtained from a large European bank using an actuarial-type framework. The simplistic assumption of a Poisson frequency distribution fails ...