Applied Stochastic Models in Business and Industry

1999 - 2021

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Volume 24, issue 6, 2008

Bayesian parameter inference for models of the Black and Scholes type pp. 507-524

Henryk Gzyl, Enrique ter Horst and Samuel Malone

On a generalization of the expected discounted penalty function in a discrete‐time insurance risk model pp. 525-539

David Landriault

Some stochastic comparisons of conditional coherent systems pp. 541-549

Xiaohu Li and Zhengcheng Zhang

PLS: A versatile tool for industrial process improvement and optimization pp. 551-567

Alberto Ferrer, Daniel Aguado, Santiago Vidal‐Puig, José Manuel Prats and Manuel Zarzo

Gaussian copula under multiscale volatility pp. 569-589

Yongqing Xu and Liping Song

Total duration of negative surplus for the dual model pp. 591-600

Min Song, Rong Wu and Xin Zhang

Volume 24, issue 5, 2008

Statistical methods in performance analysis pp. 369-371

Maria Rosaria D'Esposito and Michel Tenenhaus

Advancing public sector performance analysis pp. 373-389

Carolyn Heinrich

Comment: Advancing public sector performance analysis by Professor C. J. Heinrich pp. 391-395

V. T. Farewell

Comment on ‘Advancing public sector performance analysis’ by Carolyn J. Heinrich pp. 397-399

Beryl A. Radin

Quantile regression for binary performance indicators pp. 401-418

Paul Hewson and Keming Yu

On the use of archetypes as benchmarks pp. 419-437

Giovanni C. Porzio, Giancarlo Ragozini and Domenico Vistocco

REBUS‐PLS: A response‐based procedure for detecting unit segments in PLS path modelling pp. 439-458

V. Esposito Vinzi, L. Trinchera, S. Squillacciotti and M. Tenenhaus

Using the Rasch model to assess a university service on the basis of student opinions pp. 459-470

Fabio Aiello and Vincenza Capursi

On estimating the conditional expected shortfall pp. 471-493

Franco Peracchi and Andrei V. Tanase

Shadow price of capital and the Furubotn–Pejovich effect: Some empirical evidence for Italian wine cooperatives pp. 495-505

Ornella Maietta and Vania Sena

Volume 24, issue 4, 2008

The estimation of the Barndorff‐Nielsen and Shephard model from daily data based on measures of trading intensity pp. 277-289

Carl Lindberg

Assessing the default risk by means of a discrete‐time survival analysis approach pp. 291-306

Daniele De Leonardis and Roberto Rocci

Coordination of staffing and pricing decisions in a service firm pp. 307-323

Doǧan A. Serel and Erdal Erel

Optimal admission and pricing control problems in service industries with multiple servers and sideline profit pp. 325-342

Jae‐Dong Son and Yaghoub Khojasteh Ghamari

Accurate closed‐form approximation for pricing Asian and basket options pp. 343-358

Jinke Zhou and Xiaolu Wang

Factors' correlation in the Heath–Jarrow–Morton interest rate model pp. 359-368

Leonard Tchuindjo

Volume 24, issue 3, 2008

Random walk search procedures for reliability optimization of systems with fault tolerance pp. 185-201

Talal M. Alkhamis

An optimization problem of manufacturing systems with stochastic machine breakdown and rework process pp. 203-219

Singa Wang Chiu

Optimal replacement policy for obsolete components with general failure rates pp. 221-235

Sophie Mercier

Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio pp. 237-259

Claudia Czado and Carolin Pflüger

Stochastic models for air cargo terminal manpower supply planning in long‐term operations pp. 261-275

Shangyao Yan, Chia‐Hung Chen and Miawjane Chen

Volume 24, issue 2, 2008

Exercising flexible load contracts: Two simple strategies pp. 93-107

Petter Bjerksund, Bjarte Myksvoll and Gunnar Stensland

Upper bound for ruin probabilities under optimal investment and proportional reinsurance pp. 109-128

Zhibin Liang and Junyi Guo

The speed of adjustment of financial ratios: A hierarchical Bayesian approach using mixtures pp. 129-158

Pilar Gargallo, Manuel Salvador and José Luis Gallizo

Modelling a general standby system and evaluation of its performance pp. 159-169

Ji Hwan Cha, Jie Mi and Won Young Yun

Consistency of kernel‐based quantile regression pp. 171-183

Andreas Christmann and Ingo Steinwart

Volume 24, issue 1, 2008

Editorial pp. 1-2

Fabrizio Ruggeri, Nalini Ravishanker and Dennis Lin

Semi‐strong dynamic style analysis with time‐varying selectivity measurement: Applications to Brazilian exchange‐rate funds pp. 3-12

Adrian Pizzinga, Luciano Vereda, Rodrigo Atherino and Cristiano Fernandes

Profile‐based push models in manpower planning pp. 13-20

Marie‐Anne Guerry

On a compounding assets model with positive jumps pp. 21-30

Yinghui Dong and Guojing Wang

On optimal operating conditions for a data processing system: A stochastic approach pp. 31-49

Ji Hwan Cha and Jie Mi

Reduction in mean residual life in the presence of a constant competing risk pp. 51-63

Mark Bebbington, Chin‐Diew Lai and Ričardas Zitikis

Ruin probabilities of small noise jump‐diffusions with heavy tails pp. 65-82

Ilya Pavlyukevich

Inequalities between some large deviation rates pp. 83-92

Claudio Macci

Volume 23, issue 6, 2007

A periodical replacement model based on cumulative repair‐cost limit pp. 455-464

Min‐Tsai Lai

Medium‐term horizon volatility forecasting: A comparative study pp. 465-481

Richard Hawkes and Paresh Date

A simple Markov chain structure for the evolution of credit ratings pp. 483-492

Amparo Baíllo and José Luis Fernández

One‐way analysis of variance with long memory errors and its application to stock return data pp. 493-502

Jaechoul Lee and Kyungduk Ko

Conditionally heteroscedastic factorial HMMs for time series in finance pp. 503-529

Mohamed Saidane and Christian Lavergne

Estimation and econometric tests under price and output uncertainties pp. 531-536

Moawia Alghalith

Volume 23, issue 5, 2007

Improved maximum‐likelihood estimation for the common shape parameter of several Weibull populations pp. 373-383

Zhenlin Yang and Dennis K. J. Lin

Negative binomial version of the Lee–Carter model for mortality forecasting pp. 385-401

Antoine Delwarde, Michel Denuit and Christian Partrat

Reinsurance control in a model with liabilities of the fractional Brownian motion type pp. 403-428

N. E. Frangos, S. D. Vrontos and A. N. Yannacopoulos

A semi‐Markov model of disease recurrence in insured dogs pp. 429-437

Xikui Wang, Jeffrey S. Pai and Kevin J. Shand

The stochastic unit root model and fractional integration: An extension to the seasonal case pp. 439-453

Guglielmo Maria Caporale and Luis A. Gil‐Alana

Volume 23, issue 4, 2007

The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion pp. 273-291

Hui Meng, Chunsheng Zhang and Rong Wu

Random‐coefficients hidden‐Markov Poisson regression models for inferring a competitor's promotion strategy pp. 293-305

Johannes Ledolter

Probabilistic models for medical insurance claims pp. 307-317

Abebe Tessera

Modelling financial time series with threshold nonlinearity in returns and trading volume pp. 319-338

Mike K. P. So, Cathy W. S. Chen, Thomas C. Chiang and Doris S. Y. Lin

Monitoring process for attributes with quality deterioration and diagnosis errors pp. 339-358

Anderson Laécio Galindo Trindade, Linda Lee Ho and Roberto da Costa Quinino

Preventive maintenance for inspected systems with additive subexponential shock magnitudes pp. 359-371

Esther Frostig and Moshe Kenzin

Volume 23, issue 3, 2007

Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density pp. 181-212

Wael Bahsoun, Paweł Góra, Silvia Mayoral and Manuel Morales

Optimal model for warehouse location and retailer allocation pp. 213-221

Avninder Gill and Muhammad Bhatti

Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk pp. 223-234

Rafael Weißbach and Holger Dette

A new risk model based on policy entrance process and its weak convergence properties pp. 235-246

Zehui Li and Xinbing Kong

Stochastic optimization for allocation problems with shortfall risk constraints pp. 247-271

Roberto Casarin and Monica Billio

Volume 23, issue 2, 2007

Strong dependence in the nominal exchange rates of the Polish zloty pp. 97-116

L. A. Gil‐Alana and M. Nazarski

Comparing different fractions of a factorial design: a metal cutting case study pp. 117-128

E. Mønness, M. J. Linsley and I. E. Garzon

Bankruptcy prediction by generalized additive models pp. 129-143

Daniel Berg

Feedback quality adjustment with Bayesian state‐space models pp. 145-156

Kostas Triantafyllopoulos

Extreme value analysis within a parametric outlier detection framework pp. 157-164

S. Cabras and J. Morales

Optimal replenishment policy for imperfect quality EMQ model with rework and backlogging pp. 165-178

Singa Wang Chiu

Erratum: Simultaneity and non‐linear variability in financial markets: simulation and forecasting pp. 179-180

Gordon E. Reikard

Volume 23, issue 1, 2007

Model‐based quantification of the volatility of options at transaction level with extended count regression models pp. 1-21

Claudia Czado and Andreas Kolbe

Fitting combinations of exponentials to probability distributions pp. 23-48

Daniel Dufresne

A new class of coherent risk measures based on p‐norms and their applications pp. 49-62

Zhiping Chen and Yi Wang

Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting pp. 63-71

Xin Zhang, Ming Zhou and Junyi Guo

Modelling stylized features in default rates pp. 73-82

Emanuele Taufer

Bayesian analysis of constant elasticity of variance models pp. 83-96

Jennifer Chan, S.T. Boris Choy and Anna B. W. Lee