Nikolai Valtchev Kolev

• Seventh Brazilian Conference on Statistial Modelling in Insurance and Finance, AO.R

• Abstract

  We suggest an improvement of the Extended Marshall-Olkin model considering a delayed effect of the common shocks affecting the elements of the system. Properties of the model will be investigated and applications will be discussed. (AU)

  Exteded Marshall-Olkin models with implicit shocks and applications, AV.EXT
• 16th Conference of Applied Stochastic Models and Data Analysis (ASMDA) International Society, AR.EXT

(Only some records are available in English at this moment)

• Abstract

  The aim of this project is to launch characteristic function associated to copula as a new tool for dependence modeling. Copula characteristic function approach is applied to test the hypotheses of independence and exchangeability. The corresponding non-parametric rank tests are based on empirical version of copula characteristic function and involve degenerate V-statistics theory, with a…

  Dependence Structure Studies via Copula Characteristic Function Approach, BP.PD

• Abstract

  Probabilistic Networks (PNs), also known as Bayesian networks, causal networks, belief networks or probabilistic dependence graphics, emerged in the 80's and have been applied in a wide variety of real-world activities. However, the most common available structure estimation algorithms underlying to probabilistic network classiers are often conned to discrete or Gaussian models. At the sa…

  Pair-copula constructions for probabilistic networks, BP.PD

• Abstract

  This project will focus on modified version of the classical bivariate Marshall-Olkin model, when the possible singularity is concentrated along an arbitrary curve in the first quadrant. Probability and aging properties ofthe model will be studied, together with features related to evolution of dependence along time using typical probability and reliability techniques. As a second step, …

  Bivariate Marshall-Olkin Model with Singularity Along the Arbitrary Curve and Industry Applications, BP.DR

• Abstract

  Bivariate and multivariate models based on the line integral representation of the joint survival function possessing continuous or discrete Sibuya-type aging property will be introduced, investigated and applied to real problems in Insurance and Finance. (AU)

  Dependence models generated via line integral with applications in insurance and finance, BE.PQ

• Abstract

  We suggest a modification of the classical bivariate Marshall-Olkin's shock model, considering a possibility of a singularity contribution along arbitrary curve in the first quadrant. Such an assumption naturally allows a delayed effect of the shocks affecting the elements of the system. Properties of the new model will be investigated and its applications in Finance, Reliability and Ins…

  Marshall-Olkin Model with Delayed Shocks Effect and Applications, BE.PQ

• Abstract

  The project will focus on extending of the classical Marshall-Olkin model assuming dependence between the random variables involved. Bivariate probability and aging properties of the model will be studied, together with features related to evolution of dependence along time using typical reliability, copula theory and stochastic comparison techniques. Possible applications of the extended…

  Extension of the classical Marshall-Olkin model and finance applications, BE.PQ