A teoria da ruína aplicada em um modelo de empresa financeira com risco de crédito

In this work we study a new risk model for a firm which is sensitive to its credit quality, proposed by Yang(2003): Are obtained recursive equations for finite time ruin probability and distribution of ruin time and Volterra type integral equation systems for ultimate ruin probability, severity of ruin and distribution of surplus before and after ruin

A Top-Down Approach for Distribution Loss Evaluation

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Reconfiguração de sistemas de distribuição de energia elétrica utilizando a metaheurística busca em vizinhança variável

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Trabalho, ciberespaço e acumulação de capital: estudo sobre produção e consumo na interatividade da internet comercial

Pós-graduação em Ciências Sociais - FFC

Análise clássica e bayesiana do modelo Weibull modificado generalizado

Pós-graduação em Matematica Aplicada e Computacional - FCT

Modelagem estatística do frete da madeira no Uruguai

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Melhoria do nível de serviço no atendimento ao cliente por meio da estrutura direta de distribuição Transit Point

Increasingly competitive markets have driven the search for companies in many different ways to win and keep customers. The service level is basically the performance of companies in fulfilling the orders made, or how companies demonstrate to their clients efforts in their behalf. This work aims to solve the difficulties faced by a multinational company present in Brazil, in the distribution of its products in the category Ice Cream in order to improve the service level of their customers. Review the logistics network and concepts related to the distribution system of products is one of several ways to achieve this goal, as well as the use of IT and tools to assist in planning and programming of the physical distribution of products. In this study we used the concept of direct distribution system called Transit Point (TP). The TP provides at the same time, a strategy of rapid response, flexibility, low transportation costs and no inventory. A router - software capable of simulating the actual conditions experienced in the daily distribution - was used to assist in calculations. Results showed reductions of up to 47.5% in transportation costs and better conditions were provided in the distribution of products, positively impacting on service levels and in the maintenance of products quality, with a reduction of 1.6% of the total costs involve

Determinação do tempo de vida de restaurações totalmente cerâmicas (y-tzp/porcelana) com incidência da carga em diferentes regiões de contato

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Lifetime comparison of Y-TZP/porcelain crowns under different loading conditions

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A Bayesian analysis of the Conway-Maxwell-Poisson cure rate model

The purpose of this paper is to develop a Bayesian analysis for the right-censored survival data when immune or cured individuals may be present in the population from which the data is taken. In our approach the number of competing causes of the event of interest follows the Conway-Maxwell-Poisson distribution which generalizes the Poisson distribution. Markov chain Monte Carlo (MCMC) methods are used to develop a Bayesian procedure for the proposed model. Also, some discussions on the model selection and an illustration with a real data set are considered.

The new class of Kummer beta generalized distributions

Ng and Kotz (1995) introduced a distribution that provides greater flexibility to extremes. We define and study a new class of distributions called the Kummer beta generalized family to extend the normal, Weibull, gamma and Gumbel distributions, among several other well-known distributions. Some special models are discussed. The ordinary moments of any distribution in the new family can be expressed as linear functions of probability weighted moments of the baseline distribution. We examine the asymptotic distributions of the extreme values. We derive the density function of the order statistics, mean absolute deviations and entropies. We use maximum likelihood estimation to fit the distributions in the new class and illustrate its potentiality with an application to a real data set.

A new long-term lifetime distribution induced by a latent complementary risk framework

In this paper, we proposed a new three-parameter long-term lifetime distribution induced by a latent complementary risk framework with decreasing, increasing and unimodal hazard function, the long-term complementary exponential geometric distribution. The new distribution arises from latent competing risk scenarios, where the lifetime associated scenario, with a particular risk, is not observable, rather we observe only the maximum lifetime value among all risks, and the presence of long-term survival. The properties of the proposed distribution are discussed, including its probability density function and explicit algebraic formulas for its reliability, hazard and quantile functions and order statistics. The parameter estimation is based on the usual maximum-likelihood approach. A simulation study assesses the performance of the estimation procedure. We compare the new distribution with its particular cases, as well as with the long-term Weibull distribution on three real data sets, observing its potential and competitiveness in comparison with some usual long-term lifetime distributions.

Generalized beta-generated distributions

This article introduces generalized beta-generated (GBG) distributions. Sub-models include all classical beta-generated, Kumaraswamy-generated and exponentiated distributions. They are maximum entropy distributions under three intuitive conditions, which show that the classical beta generator skewness parameters only control tail entropy and an additional shape parameter is needed to add entropy to the centre of the parent distribution. This parameter controls skewness without necessarily differentiating tail weights. The GBG class also has tractable properties: we present various expansions for moments, generating function and quantiles. The model parameters are estimated by maximum likelihood and the usefulness of the new class is illustrated by means of some real data sets. (c) 2011 Elsevier B.V. All rights reserved.

Weibull and generalised exponential overdispersion models with an application to ozone air pollution

We consider the problem of estimating the mean and variance of the time between occurrences of an event of interest (inter-occurrences times) where some forms of dependence between two consecutive time intervals are allowed. Two basic density functions are taken into account. They are the Weibull and the generalised exponential density functions. In order to capture the dependence between two consecutive inter-occurrences times, we assume that either the shape and/or the scale parameters of the two density functions are given by auto-regressive models. The expressions for the mean and variance of the inter-occurrences times are presented. The models are applied to the ozone data from two regions of Mexico City. The estimation of the parameters is performed using a Bayesian point of view via Markov chain Monte Carlo (MCMC) methods.

The log-exponentiated generalized gamma regression model for censored data

For the first time, we introduce a generalized form of the exponentiated generalized gamma distribution [Cordeiro et al. The exponentiated generalized gamma distribution with application to lifetime data, J. Statist. Comput. Simul. 81 (2011), pp. 827-842.] that is the baseline for the log-exponentiated generalized gamma regression model. The new distribution can accommodate increasing, decreasing, bathtub- and unimodal-shaped hazard functions. A second advantage is that it includes classical distributions reported in the lifetime literature as special cases. We obtain explicit expressions for the moments of the baseline distribution of the new regression model. The proposed model can be applied to censored data since it includes as sub-models several widely known regression models. It therefore can be used more effectively in the analysis of survival data. We obtain maximum likelihood estimates for the model parameters by considering censored data. We show that our extended regression model is very useful by means of two applications to real data.