A class of bivariate Erlang distributions and ruin probabilities in multivariate risk models

Nous y introduisons une nouvelle classe de distributions bivariées de type Marshall-Olkin, la distribution Erlang bivariée. La transformée de Laplace, les moments et les densités conditionnelles y sont obtenus. Les applications potentielles en assurance-vie et en finance sont prises en considération. Les estimateurs du maximum de vraisemblance des paramètres sont calculés par l'algorithme Espérance-Maximisation. Ensuite, notre projet de recherche est consacré à l'étude des processus de risque multivariés, qui peuvent être utiles dans l'étude des problèmes de la ruine des compagnies d'assurance avec des classes dépendantes. Nous appliquons les résultats de la théorie des processus de Markov déterministes par morceaux afin d'obtenir les martingales exponentielles, nécessaires pour établir des bornes supérieures calculables pour la probabilité de ruine, dont les expressions sont intraitables.

Higher education for capacity development or revenue maximisation? Lessons from transnational higher education programs at two Indonesian universities

HE has been changing rapidly due to globalisation that has increased the interconnectedness between nations and people throughout the world (Mok, 2012). As HE has manifested into different forms and governed by competing rationales in recent years, this paper focuses on transnational HE, which is an example of the interconnectedness of universities beyond the national borders. Indonesia is also influenced by the above changes. It took part in free-trade agreements that include HE as a sector to be liberated and accessed by international providers (Nizam, 2006). Indonesian universities found themselves bracing for the global competition for students and simultaneously having to improve their quality in order to survive amidst the growing competition. This competition gave birth to joint transnational HE programs with overseas partners among many Indonesian universities (Macaranas, 2010).

On power minimisation and SNR maximisation of distributed beamforming in cooperative communication systems

A comparison of relay power minimisation subject to received signal-to-noise ratio (SNR) at the receiver and SNR maximisation subject to the total transmitted power of relays for a typical wireless network with distributed beamforming is presented. It is desirable to maximise receiver quality-of-service (QoS) and also to minimise the cost of transmission in terms of power. Hence, these two optimisation problems are very common and have been addressed separately in the literature. It is shown that SNR maximisation subject to power constraint and power minimisation subject to SNR constraint yield the same results for a typical wireless network. It proves that either one of the optimisation approaches is sufficient.

An online expectation-maximisation algorithm for nonnegative matrix factorisation models

In this paper we formulate the nonnegative matrix factorisation (NMF) problem as a maximum likelihood estimation problem for hidden Markov models and propose online expectation-maximisation (EM) algorithms to estimate the NMF and the other unknown static parameters. We also propose a sequential Monte Carlo approximation of our online EM algorithm. We show the performance of the proposed method with two numerical examples. © 2012 IFAC.

A Monte Carlo expectation maximisation algorithm for multiple target tracking

In this paper, we present an expectation-maximisation (EM) algorithm for maximum likelihood estimation in multiple target models (MTT) with Gaussian linear state-space dynamics. We show that estimation of sufficient statistics for EM in a single Gaussian linear state-space model can be extended to the MTT case along with a Monte Carlo approximation for inference of unknown associations of targets. The stochastic approximation EM algorithm that we present here can be used along with any Monte Carlo method which has been developed for tracking in MTT models, such as Markov chain Monte Carlo and sequential Monte Carlo methods. We demonstrate the performance of the algorithm with a simulation. © 2012 ISIF (Intl Society of Information Fusi).

Two problems with variational expectation maximisation for time-series models

Variational methods are a key component of the approximate inference and learning toolbox. These methods fill an important middle ground, retaining distributional information about uncertainty in latent variables, unlike maximum a posteriori methods (MAP), and yet generally requiring less computational time than Monte Carlo Markov Chain methods. In particular the variational Expectation Maximisation (vEM) and variational Bayes algorithms, both involving variational optimisation of a free-energy, are widely used in time-series modelling. Here, we investigate the success of vEM in simple probabilistic time-series models. First we consider the inference step of vEM, and show that a consequence of the well-known compactness property of variational inference is a failure to propagate uncertainty in time, thus limiting the usefulness of the retained distributional information. In particular, the uncertainty may appear to be smallest precisely when the approximation is poorest. Second, we consider parameter learning and analytically reveal systematic biases in the parameters found by vEM. Surprisingly, simpler variational approximations (such a mean-field) can lead to less bias than more complicated structured approximations.

Regret minimisation and utility maximisation in a freight transport context

This study is the first to compare random regret minimisation (RRM) and random utility maximisation (RUM) in freight transport application. This paper aims to compare RRM and RUM in a freight transport scenario involving negative shock in the reference alternative. Based on data from two stated choice experiments conducted among Swiss logistics managers, this study contributes to related literature by exploring for the first time the use of mixed logit models in the most recent version of the RRM approach. We further investigate two paradigm choices by computing elasticities and forecasting choice probability. We find that regret is important in describing the managers’ choices. Regret increases in the shock scenario, supporting the idea that a shift in reference point can cause a shift towards regret minimisation. Differences in elasticities and forecast probability are identified and discussed appropriately.

Archives des loges issues de la collection de Jean Baylot. Aubenas. Loge "Espérance"

Règlement particulier (tenue du 2 mai 1868).

Catalogue des livres qui se trouvent chez la veuve Savoye, libraire, rue S. Jacques, à l'Espérance, à Paris. M. DCC. LXXIII.

[Catalogue de libraire. Paris. Savoye, Veuve d'Étienne-François. 1773]