Applied Stochastic Models in Business and Industry最新文献

{"title":"Estimation of VaR with jump process: Application in corn and soybean markets","authors":"Minglian Lin,&nbsp;Indranil SenGupta,&nbsp;William Wilson","doi":"10.1002/asmb.2880","DOIUrl":"https://doi.org/10.1002/asmb.2880","url":null,"abstract":"<p>Value at risk (VaR) is a quantitative measure used to evaluate the risk linked to the potential loss of investment or capital. Estimation of the VaR entails the quantification of prospective losses in a portfolio of investments, using a certain likelihood, under normal market conditions within a specific time period. The objective of this article is to construct a model and estimate the VaR for a diversified portfolio consisting of multiple cash commodity positions driven by standard Brownian motions and jump processes. Subsequently, a thorough analytical estimation of the VaR is conducted for the proposed model. The results are then applied to two distinct commodities—corn and soybean—enabling a comprehensive comparison of the VaR values in the presence and absence of jumps.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 5","pages":"1337-1354"},"PeriodicalIF":1.3,"publicationDate":"2024-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142447460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Extreme shock model with change point based on the Poisson process of shocks","authors":"Dheeraj Goyal,&nbsp;Min Xie","doi":"10.1002/asmb.2881","DOIUrl":"10.1002/asmb.2881","url":null,"abstract":"<p>In this article, we introduce and study an extreme shock model in which the distribution of magnitude of shocks can change due to environmental effects. A new decision parameter is used to model the change point, and the non-homogeneous Poisson process is employed to model the arrival of shocks. We derive the reliability function and mean time to system failure for the defined model. Furthermore, we propose an optimal age replacement policy. The results are illustrated when the change point follows the Erlang distribution.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 6","pages":"1635-1650"},"PeriodicalIF":1.3,"publicationDate":"2024-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141337044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A multiperiod model of an emissions trading system","authors":"Ricarda Rosemann,&nbsp;Jörn Sass","doi":"10.1002/asmb.2867","DOIUrl":"10.1002/asmb.2867","url":null,"abstract":"<p>Emissions trading systems (ETS) constitute a widely used tool to control greenhouse gas emissions and thus are vital to the global efforts to mitigate climate change. As most ETS' are divided into separate phases, this raises the policy question whether emissions allowances can be banked, that is, transferred to subsequent phases for later use. We provide a continuous-time stochastic ETS model in a multiperiod setting that can allow for banking across phases. In particular, we are able to represent the influence of emissions development on the value of banked allowances. We introduce two distinct approaches to the multiperiod model: A basic approach delivers a model that is analytically more tractable and computationally less costly, while our more complex two-dimensional approach entails a more realistic representation of the system. Numerical results show that banking decreases the mean emissions and increases allowance prices; at the same time, it increases the probability of complying with the emissions cap. In combination with the current penalty of the EU ETS at 100 Euro per ton, banking essentially guarantees compliance. We therefore conclude that banking is a crucial policy choice to improve the effectiveness and the reliability of an ETS.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 6","pages":"1498-1543"},"PeriodicalIF":1.3,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2867","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141353693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Gender-inclusive financial and demographic literacy: Monetizing the gender mortality gap","authors":"Giovanna Apicella,&nbsp;Enrico De Giorgi,&nbsp;Emilia Di Lorenzo,&nbsp;Marilena Sibillo","doi":"10.1002/asmb.2876","DOIUrl":"10.1002/asmb.2876","url":null,"abstract":"<p>Longevity crucially affects demand for pensions, insurance products and annuities. Consistent empirical evidence shows that women have historically experienced lower mortality rates than men. In this article, we study a measure of the gender gap in mortality rates, we call “Gender Gap Ratio”, across a wide range of ages and for four countries: France, Italy, Sweden, and USA. We show the stylized facts that characterize the trend of the Gender Gap Ratio, both in its historical evolution and future projection. Focusing on an example temporary life annuity contract, we give a monetary consistency to the Gender Gap Ratio. We show evidence that a Gender Gap Ratio that ranges between 1.5 and 2.5, depending on age, translates into a significant reduction of up to 23% in the benefits from a temporary life annuity contract for women with respect to men, against the same amount invested in the life annuity. The empirical evidence discussed in this article documents the crucial importance of working toward a more widespread demographic literacy, for example, a range of tools and strategies to raise longevity consciousness among individuals and policy-makers, in the framework of gender equality policies.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"1082-1104"},"PeriodicalIF":1.3,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2876","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141363719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Efficient pricing of path-dependent interest rate derivatives","authors":"Allan Jonathan da Silva,&nbsp;Jack Baczynski,&nbsp;José V. M. Vicente","doi":"10.1002/asmb.2877","DOIUrl":"10.1002/asmb.2877","url":null,"abstract":"<p>Interest rate derivative pricing is a critical aspect of fixed-income markets, where efficient methods are essential. This study introduces a novel approach to pricing path-dependent interest rate derivatives within a broad class of affine jumps. The study's particular setting is the Fourier-cosine series (COS) method adaptation, which offers an accurate and computationally efficient method for pricing interest rate derivatives. The Fourier-cosine series approach can be used to compute probability density functions and option pricing with a linear computing complexity and exponential convergence rate. The lack of a quick and precise pricing technique for Asian interest rate options in diverse fixed-income market scenarios is a research gap that is being addressed. This approach closes this gap by providing quasi-closed and closed-form equations for a range of density and characteristic functions, resulting in precise pricing. The results demonstrate the versatility of the COS method in interest rate markets. Similar to what has been previously reported for stock options, the numerical findings demonstrate the extreme precision and computing speed of the pricing and hedging estimations provided here. This method is an innovative approach to interest rate derivative pricing, offering researchers and practitioners a powerful tool for efficiently calculating prices and calibrating options across strikes and maturities.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"1105-1124"},"PeriodicalIF":1.3,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141191884","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On optimal allocation of redundancies in random weighted \u0000 \u0000 \u0000 k\u0000 \u0000 $$ k $$\u0000 -out-of-\u0000 \u0000 \u0000 n\u0000 \u0000 $$ n $$\u0000 systems","authors":"Tanmay Sahoo,&nbsp;Nil Kamal Hazra","doi":"10.1002/asmb.2875","DOIUrl":"10.1002/asmb.2875","url":null,"abstract":"<p>Random weighted <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>k</mi>\u0000 </mrow>\u0000 <annotation>$$ k $$</annotation>\u0000 </semantics></math>-out-of-<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math> systems are very useful in modeling the lifetimes of systems, wherein the success or failure of a system depends not only on its current operational status, but also on the contributions made by its components. In this paper, we consider random weighted <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>k</mi>\u0000 </mrow>\u0000 <annotation>$$ k $$</annotation>\u0000 </semantics></math>-out-of-<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math> systems with redundant components drawn randomly from a mixed population consisting of <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>m</mi>\u0000 </mrow>\u0000 <annotation>$$ m $$</annotation>\u0000 </semantics></math> different subpopulations/substocks. We study different optimal allocation policies of active redundancies and minimal repair components in a random weighted <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>k</mi>\u0000 </mrow>\u0000 <annotation>$$ k $$</annotation>\u0000 </semantics></math>-out-of-<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math> system. Moreover, we investigate how the heterogeneity of subpopulations of items impacts the lifetime of a random weighted <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>k</mi>\u0000 </mrow>\u0000 <annotation>$$ k $$</annotation>\u0000 </semantics></math>-out-of-<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math> system. We also present some simulational results and a real data analysis for illustrative purpose.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 5","pages":"1245-1274"},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141191883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"K-Fuse: Credit card fraud detection based on a classification method with a priori class partitioning and a novel feature selection strategy","authors":"Mohammed Sabri,&nbsp;Rosanna Verde,&nbsp;Antonio Balzanella","doi":"10.1002/asmb.2868","DOIUrl":"10.1002/asmb.2868","url":null,"abstract":"<p>Online transactions have become the dominant and most popular form of online payment in today's digital economy. Due to the growing popularity of e-commerce and the convenience it offers, both consumers and businesses are rapidly adopting online transactions. Notably, credit cards have become one of the most popular and standard online payment methods. However, it should be noted that credit card transactions are not without challenges. In particular, detecting and preventing fraudulent transactions is a major concern of the online payment system. It is difficult to find an effective detection model that can detect the new patterns created by fraudsters, due to the constant evolution of their methods to exploit the vulnerability of current security protocols. These fraud patterns are evolving and may not correspond to existing documented models, leading to a reduction in their identification. In addition, the customer's behavior can affect the model detection as it is susceptible to change based on factors such as economic conditions, trends, and individual circumstances. When consumers deviate from their typical behavior, the model may generate false alerts, thereby reducing its ability to differentiate between legitimate and fraudulent transactions. This article presents a new supervised detection model, called K-Fuse, which introduces an unsupervised phase in order to detect fraud patterns that may correspond to innovative models introduced by fraudsters. K-Fuse is a supervised classification method that fuses three steps consisting of <i>(i)</i>\u0000unsupervised clustering to identify hidden patterns of transactions in a dataset, <i>(ii)</i> a novel feature selection criterion based on the unsupervised results, and <i>(iii)</i> supervised classification to exploit the results of clustering and feature selection to predict new transactions as fraudulent or legitimate.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"1060-1081"},"PeriodicalIF":1.3,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141101832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Sequential monitoring for conditional quantiles of general conditional heteroscedastic time series models","authors":"Sangyeol Lee,&nbsp;Chang Kyeom Kim","doi":"10.1002/asmb.2865","DOIUrl":"10.1002/asmb.2865","url":null,"abstract":"<p>In this study, we introduce an online monitoring procedure designed to sequentially detect change points in the conditional quantiles of location-scale time series models. This statistical process control issue holds great significance in risk management, particularly in measuring the value-at-risk or expected shortfall of financial assets. Our approach employs suitable detectors, including cumulative sum statistics. We then define a stopping rule and determine control limits based on asymptotic theorems to signal an anomaly. To further evaluate the proposed methods, we conduct a comprehensive empirical study analyzing various aspects of our monitoring procedures when applied to location-scale time series models. Additionally, we perform a real data analysis using the daily returns of the Korea Composite Stock Price Index (KOSPI) and EuroStoxx 50 indices to affirm the adequacy of the proposed monitoring procedures in real-world applications.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"1012-1038"},"PeriodicalIF":1.3,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Accelerated failure time frailty model for modeling multiple systems subject to minimal repair","authors":"Edilenia Queiroz Pereira,&nbsp;Oilson Alberto Gonzatto Junior,&nbsp;Vera Lucia Damasceno Tomazella,&nbsp;Lia Hanna Martins Morita,&nbsp;Alex L. Mota,&nbsp;Francisco Louzada Neto","doi":"10.1002/asmb.2864","DOIUrl":"10.1002/asmb.2864","url":null,"abstract":"<p>This article presents accelerated failure time models with and without frailty for modeling multiple systems subject to minimal repair. The study considers the conventional accelerated failure time model, the accelerated failure time model with Gamma frailty, and proposes the accelerated failure time model with weighted Lindley frailty, which has attractive properties such as a closed-form Laplace transform. The proposed model extends the accelerated failure time model with the intensity function of a power law process. It retains the direct physical interpretation of the original accelerated failure time model, in which the role of covariates is to accelerate or decelerate the time to each repair. This framework includes parametric approaches to model fitting, which we consider for estimating the vector of regression parameters under this model and the parameter in the baseline intensity functions. The methodology is illustrated with a simulation study and a toy example to demonstrate the applicability of these models in the industrial context.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"1182-1201"},"PeriodicalIF":1.3,"publicationDate":"2024-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140830780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Degradation modeling and remaining useful lifetime prediction based on functional variance process","authors":"Linjie Qin,&nbsp;Yan Shen","doi":"10.1002/asmb.2866","DOIUrl":"10.1002/asmb.2866","url":null,"abstract":"<p>Dynamic fluctuation is a common phenomenon in degradation processes. Hence, how to model it properly has a great impact on the degradation modeling as well as the remaining useful lifetime prediction. To capture the dynamic features and to avoid the risk of the model mis-specification, a nonparametric degradation model based on functional variance process is proposed in this article. The model is composed of a unit-specific mean trend and a degradation fluctuation which follows a stochastic process. The mean trend is estimated by the local smoother method, while the stochastic fluctuation is estimated by the functional principal component analysis method. The asymptotic properties of the estimators are proved. Also, the prediction for the remaining useful lifetime is discussed and the estimator is proved to converge in distribution. Moreover, a Bayesian scheme is developed to forecast the remaining useful lifetime for units with incomplete degradation observations. Simulation results show the superiority of the proposed method by comparing it with some existing methods. Finally, two real data sets are analyzed and used to illustrate the application of the method.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 4","pages":"1039-1059"},"PeriodicalIF":1.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140830671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}