Applied Stochastic Models in Business and Industry

1999 - 2021

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Volume 27, issue 6, 2011

A comparison of generalized multinomial logit and latent class approaches to studying consumer heterogeneity with some extensions of the generalized multinomial logit model pp. 567-578

Joseph Pancras and Dipak K. Dey

A comparison of generalized multinomial logit (GMNL) and latent class approaches to studying consumer heterogeneity with some extensions of the GMNL model by J. Pancras and D.K. Dey pp. 579-579

Duncan K. H. Fong

A comparison of generalized multinomial logit (GMNL) and latent class approaches to studying consumer heterogeneity with some extensions of the GMNL model by Peter J. Lenk pp. 580-583

Peter Lenk

Rejoinder to Fong (2011) and Lenk (2011)'s comments on ‘A comparison of generalized multinomial logit and latent class approaches to studying consumer heterogeneity with some extensions of the generalized multinomial logit model’ pp. 584-585

Joseph Pancras and Dipak K. Dey

Statistical quality control for ternary ordinal quality data pp. 586-599

Emil Bashkansky and Tamar Gadrich

On the Brown–Proschan model when repair effects are unknown pp. 600-618

Laurent Doyen

Ruin problems under IBNR dynamics pp. 619-632

Julien Trufin, Hansjörg Albrecher and Michel Denuit

Score tests for inverse Gaussian mixtures pp. 633-648

A. F. Desmond and Zhenlin Yang

Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines pp. 649-659

Márcio Laurini

On the use of phase‐type distributions for inventory management with supply disruptions pp. 660-675

Barış Balcıog̃lu and Ülkü Gürler

An intensity‐based approach for equity modeling pp. 676-690

Marcos Escobar Anel, T. Friederich, M. Krayzler, L. Seco and R. Zagst

Optimal portfolio‐consumption choice under stochastic inflation with nominal and indexed bonds pp. 691-706

Ying‐Yin Chou, Nan‐Wei Han and Mao‐Wei Hung

Option hedging by an influential informed investor pp. 707-722

Anne Eyraud‐Loisel

A discrete time model for software reliability with application to a flight control software pp. 723-731

Anup Dewanji, Debasis Sengupta and Ashis Kumar Chakraborty

Volume 27, issue 5, 2011

Modern analysis of customer satisfaction surveys: comparison of models and integrated analysis pp. 465-475

Ron Kenett and Silvia Salini

Discussion of ‘Modern analysis of customer satisfaction surveys: comparison of models and integrated analysis’ by Kennett and Salini pp. 476-480

Christopher McCollin

Comment on ‘Modern analysis of customer satisfaction surveys: comparison of models and integrated analysis’ pp. 481-483

Rainer Göb

Rejoinder to ‘Modern analysis of customer satisfaction surveys: comparison of models and integrated analysis’ pp. 484-486

Ron Kenett and Silvia Salini

Lower convex order bound approximations for sums of log‐skew normal random variables pp. 487-502

Oriol Roch and Emiliano A. Valdez

Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings pp. 503-518

Romain Biard, Claude Lefèvre, Stéphane Loisel and Haikady N. Nagaraja

The augmented semi‐Markov system and its asymptotic behaviour pp. 519-530

V. A. Dimitriou and N. Tsantas

Robust designs for Haar wavelet approximation models pp. 531-550

Xiaojian Xu and Lin Zhao

Limit of hazard rate function of coherent system with discrete life pp. 551-556

Jie Mi

Optimal dividend strategies in discrete risk model with capital injections pp. 557-566

Yidong Wu, Junyi Guo and Lian Tang

Volume 27, issue 4, 2011

Nonstationarity in statistical process control — issues, cases, ideas pp. 367-376

Bart De Ketelaere, Kristof Mertens, Frank Mathijs, Daniel Sabin Diaz and Josse De Baerdemaeker

‘Nonstationarity in statistical process control – issues, cases, ideas’ by B. De Ketelaere, K. Mertens, F. Mathijs, D. Sabin Diaz and J. De Baerdemaeker pp. 377-378

Albert De Vries

‘Nonstationarity in statistical process control – issues, cases, ideas’ by B. De Ketelaere, K. Mertens, F. Mathijs, D. Sabin Diaz and J. De Baerdemaeker pp. 379-381

Alberto Ferrer

Nonstationarity in statistical process control — issues, cases, ideas: rejoinder pp. 382-383

Bart De Ketelaere, Kristof Mertens, Frank Mathijs, Daniel Sabin Diaz and Josse De Baerdemaeker

On Gaussian HJM framework for Eurodollar Futures pp. 384-401

Balaji Raman and Vladimir Pozdnyakov

Bayesian process optimization using failure amplification method pp. 402-409

I‐Tang Yu and V. Roshan Joseph

Cumulative conformance count chart with variable sampling intervals and control limits pp. 410-420

Yan‐Kwang Chen, Chien‐Yue Chen and Kuo‐Ching Chiou

Unit root testing in the presence of ARFIMA–GARCH errors pp. 421-433

Gaowen Wang

Oil production: A probabilistic model of the Hubbert curve pp. 434-449

Bertrand Michel

Dynamic style analysis of Spanish balanced pension plans: A Bayesian approach pp. 450-464

L. Andreu, P. Gargallo, M. Salvador and J. L. Sarto

Volume 27, issue 3, 2011

The usefulness of Bayesian optimal designs for discrete choice experiments pp. 173-188

Roselinde Kessels, Bradley Jones, Peter Goos and Martina Vandebroek

‘The usefulness of Bayesian optimal designs for discrete choice experiments’ by Roselinde Kessels, Bradley Jones, Peter Goos and Martina Vandebroek pp. 189-192

Heinz Holling and Rainer Schwabe

‘The usefulness of Bayesian optimal designs for discrete choice experiments’ by R. Kessels, B. Jones, P. Goos and M. Vandebroek pp. 193-196

John Rose

Rejoinder: the usefulness of Bayesian optimal designs for discrete choice experiments pp. 197-203

Roselinde Kessels, Peter Goos, Bradley Jones and Martina Vandebroek

An examination of HMM‐based investment strategies for asset allocation pp. 204-221

Christina Erlwein, Rogemar Mamon and Matt Davison

A transformed random effects model with applications pp. 222-234

Zhenlin Yang and Jianhua Huang

Percentile residual life orders pp. 235-252

Alba M. Franco‐Pereira, Rosa E. Lillo, Juan Romo and Moshe Shaked

Modeling stock index returns by means of partial least‐squares methods: An out‐of‐sample analysis for three stock markets pp. 253-266

Cetin‐Behzet Cengiz and Helmut Herwartz

Markov chain models for delinquency: Transition matrix estimation and forecasting pp. 267-279

Scott D. Grimshaw and William P. Alexander

The importance of identifying different components of a mixture distribution in the prediction of field returns pp. 280-289

Yili Hong and William Q. Meeker

Asymptotics for the ruin probabilities of a two‐dimensional renewal risk model with heavy‐tailed claims pp. 290-300

Yiqing Chen, Kam C. Yuen and Kai W. Ng

Analysis of the determinants of survival for the Russian commercial banking industry: A new approach pp. 301-314

Jesus Orbe and Vicente Núñez‐Antón

HGLMs for quality improvement pp. 315-328

Youngjo Lee, John A. Nelder and Heejin Park

Monte Carlo exact goodness‐of‐fit tests for nonhomogeneous Poisson processes pp. 329-341

Bo H. Lindqvist and Bjarte Rannestad

The price of quality claims pp. 342-347

Charles S. Tapiero

A new system of skip‐lot sampling plans having a provision for reducing normal inspection pp. 348-363

S. Balamurali and Chi‐Hyuck Jun

Volume 27, issue 2, 2011

Foreword: special issue on games and decisions in risk and reliability analysis pp. 71-71

Refik Soyer

Adversarial risk analysis: Borel games pp. 72-86

David Banks, Francesca Petralia and Shouqiang Wang

Adversarial Risk Analysis: What's new, what isn't?: Discussion of Adversarial Risk Analysis: Borel Games pp. 87-88

Joseph B. Kadane

Discussion on ‘Adversarial risk analysis: Borel games’ pp. 89-91

Nicholas Polson

Rejoinder to the discussion of ‘Adversarial risk analysis: Borel games’ pp. 92-94

David Banks, Francesca Petralia and Shouqiang Wang

Portfolio selection with imperfect information: A hidden Markov model pp. 95-114

Ethem Çanakoğlu and Süleyman Özekici

Modeling and validating stakeholder preferences with probabilistic inversion pp. 115-130

R. E. J. Neslo and Roger Cooke

Information measures of Dirichlet distribution with applications pp. 131-150

Nader Ebrahimi, Ehsan S. Soofi and Shaoqiong (Annie) Zhao

A simulation‐based approach to stochastic dynamic programming pp. 151-163

Nicholas G. Polson and Morten Sorensen

Anatomy of the failure rate: A mathematical dissection pp. 164-171

Nozer D. Singpurwalla

Volume 27, issue 1, 2011

Foreword: Special issue on statistical modeling in insurance and finance pp. 1-1

Pedro A. Morettin and Ragnar Norberg

Risk modelling with the mixed Erlang distribution pp. 2-16

Gordon E. Willmot and X. Sheldon Lin

‘Risk modelling with the mixed Erlang distribution’ by G. E. Willmot and S. Lin pp. 17-18

David A. Stanford

Discussion of ‘Risk Modelling with the Mixed Erlang Distribution’ by Gordon E. Willmot and X. Sheldon Lin pp. 19-20

José Garrido

Fitting non‐Gaussian persistent data pp. 23-36

Wilfredo Palma and Mauricio Zevallos

Copulæ: Some mathematical aspects pp. 37-50

Carlo Sempi

On orderings and bounds in a generalized Sparre Andersen risk model pp. 51-60

Eric C. K. Cheung, David Landriault, Gordon E. Willmot and Jae‐Kyung Woo

Strategic investment decisions under fast mean‐reversion stochastic volatility pp. 61-69

Max O. Souza and Jorge P. Zubelli