Estimação em modelos de tempo de falha acelerado para dados de sobrevivência correlacionados

We presented in this work two methods of estimation for accelerated failure time models with random e_ects to process grouped survival data. The _rst method, which is implemented in software SAS, by NLMIXED procedure, uses an adapted Gauss-Hermite quadrature to determine marginalized likelihood. The second method, implemented in the free software R, is based on the method of penalized likelihood to estimate the parameters of the model. In the _rst case we describe the main theoretical aspects and, in the second, we briey presented the approach adopted with a simulation study to investigate the performance of the method. We realized implement the models using actual data on the time of operation of oil wells from the Potiguar Basin (RN / CE).

Modelos em provisão de sinistros

Part of the work of an insurance company is to keep claims reserves, which is known as the technical reserves, in order to mitigate the risk inherent in their activities and comply with the legal obligations. There are several methods for estimate the claims reserves, deterministics and stochastics methods. One of the most used method is the deterministic method Chain Ladder, of simple application. However, the deterministics methods produce only point estimates, for which the stochastics methods have become increasingly popular because they are capable of producing interval estimates, measuring the variability inherent in the technical reserves. In this study the deterministics methods (Grossing Up, Link Ratio and Chain Ladder) and stochastics (Thomas Mack and Bootstrap associated with Overdispersed Poisson model) will be applied to estimate the claims reserves derived from automobile material damage occurred until December 2012. The data used in this research is based on a real database provided by AXA Portugal. The comparison of results obtained by different methods is hereby presented.

Estudo Comparativo de gráaficos de probabilidade normal para Anáalise de experimentos fatoriais não replicados

Two-level factorial designs are widely used in industrial experimentation. However, many factors in such a design require a large number of runs to perform the experiment, and too many replications of the treatments may not be feasible, considering limitations of resources and of time, making it expensive. In these cases, unreplicated designs are used. But, with only one replicate, there is no internal estimate of experimental error to make judgments about the significance of the observed efects. One of the possible solutions for this problem is to use normal plots or half-normal plots of the efects. Many experimenters use the normal plot, while others prefer the half-normal plot and, often, for both cases, without justification. The controversy about the use of these two graphical techniques motivates this work, once there is no register of formal procedure or statistical test that indicates \which one is best". The choice between the two plots seems to be a subjective issue. The central objective of this master's thesis is, then, to perform an experimental comparative study of the normal plot and half-normal plot in the context of the analysis of the 2k unreplicated factorial experiments. This study involves the construction of simulated scenarios, in which the graphics performance to detect significant efects and to identify outliers is evaluated in order to verify the following questions: Can be a plot better than other? In which situations? What kind of information does a plot increase to the analysis of the experiment that might complement those provided by the other plot? What are the restrictions on the use of graphics? Herewith, this work intends to confront these two techniques; to examine them simultaneously in order to identify similarities, diferences or relationships that contribute to the construction of a theoretical reference to justify or to aid in the experimenter's decision about which of the two graphical techniques to use and the reason for this use. The simulation results show that the half-normal plot is better to assist in the judgement of the efects, while the normal plot is recommended to detect outliers in the data

Modelo de risco controlado por resseguro e desigualdades para a probabilidade de ruína

In the work reported here we present theoretical and numerical results about a Risk Model with Interest Rate and Proportional Reinsurance based on the article Inequalities for the ruin probability in a controlled discrete-time risk process by Ros ario Romera and Maikol Diasparra (see [5]). Recursive and integral equations as well as upper bounds for the Ruin Probability are given considering three di erent approaches, namely, classical Lundberg inequality, Inductive approach and Martingale approach. Density estimation techniques (non-parametrics) are used to derive upper bounds for the Ruin Probability and the algorithms used in the simulation are presented

Probabilidade no ensino médio

This thesis aims to show teachers and students in teaching and learning in a study of Probability High School, a subject that sharpens the perception and understanding of the phenomea of the random nature that surrounds us. The same aims do with people who are involved in this process understand basic ideas of probability and, when necessary, apply them in the real world. We seek to draw a matched between intuition and rigor and hope therebyto contribute to the work of the teacher in the classroom and the learning process of students, consolidating, deepening and expaning what they have learned in previous contents

O jogo dos discos: o uso da experimentação como suporte para o ensino da probabilidade

In this paper we propose a class for introducing the probability teaching using the game discs which is based on the concept of geometric probability and which is supposed to determine the probability of a disc randomly thrown does not intercept the lines of a gridded surface. The problem was posed to a group of 3nd year of the Federal Institute of Education, Science and Technology of Rio Grande do Norte - Jo~ao C^amara. Therefore, the students were supposed to build a grid board in which the success percentage of the players had been previously de ned for them. Once the grid board was built, the students should check whether that theoretically predetermined percentage corresponded to reality obtained through experimentation. The results and attitude of the students in further classes suggested greater involvement of them with discipline, making the environment conducive for learning.

O jogo dos discos: o uso da experimentação como suporte para o ensino da probabilidade

In this paper we propose a class for introducing the probability teaching using the game discs which is based on the concept of geometric probability and which is supposed to determine the probability of a disc randomly thrown does not intercept the lines of a gridded surface. The problem was posed to a group of 3nd year of the Federal Institute of Education, Science and Technology of Rio Grande do Norte - Jo~ao C^amara. Therefore, the students were supposed to build a grid board in which the success percentage of the players had been previously de ned for them. Once the grid board was built, the students should check whether that theoretically predetermined percentage corresponded to reality obtained through experimentation. The results and attitude of the students in further classes suggested greater involvement of them with discipline, making the environment conducive for learning.

Os Polímeros como Sistemas Complexos

Neste trabalho, através de simulações computacionais, identificamos os fenômenos físicos associados ao crescimento e a dinâmica de polímeros como sistemas complexos exibindo comportamentos não linearidades, caos, criticalidade auto-organizada, entre outros. No primeiro capítulo, iniciamos com uma breve introdução onde descrevemos alguns conceitos básicos importantes ao entendimento do nosso trabalho. O capítulo 2 consiste na descrição do nosso estudo da distribuição de segmentos num polímero ramificado. Baseado em cálculos semelhantes aos usados em cadeias poliméricas lineares, utilizamos o modelo de crescimento para polímeros ramificados (Branched Polymer Growth Model - BPGM) proposto por Lucena et al., e analisamos a distribuição de probabilidade dos monômeros num polímero ramificado em 2 dimensões, até então desconhecida. No capítulo seguinte estudamos a classe de universalidade dos polímeros ramificados gerados pelo BPGM. Utilizando simulações computacionais em 3 dimensões do modelo proposto por Lucena et al., calculamos algumas dimensões críticas (dimensões fractal, mínima e química) para tentar elucidar a questão da classe de universalidade. Ainda neste Capítulo, descrevemos um novo modelo para a simulação de polímeros ramificados que foi por nós desenvolvido de modo a poupar esforço computacional. Em seguida, no capítulo 4 estudamos o comportamento caótico do crescimento de polímeros gerados pelo BPGM. Partimos de polímeros criticamente organizados e utilizamos uma técnica muito semelhante aquela usada em transições de fase em Modelos de Ising para estudar propagação de danos chamada de Distância de Hamming. Vimos que a distância de Hamming para o caso dos polímeros ramificados se comporta como uma lei de potência, indicando um caráter não-extensivo na dinâmica de crescimento. No Capítulo 5 analisamos o movimento molecular de cadeias poliméricas na presença de obstáculos e de gradientes de potenciais. Usamos um modelo generalizado de reptação para estudar a difusão de polímeros lineares em meios desordenados. Investigamos a evolução temporal destas cadeias em redes quadradas e medimos os tempos característicos de transporte t. Finalizamos esta dissertação com um capítulo contendo a conclusão geral denoss o trabalho (Capítulo 6), mais dois apêndices (Apêndices A e B) contendo a fenomenologia básica para alguns conceitos que utilizaremos ao longo desta tese (Fractais e Percolação respectivamente) e um terceiro e ´ultimo apêndice (Apêndice C) contendo uma descrição de um programa de computador para simular o crescimentos de polímeros ramificados em uma rede quadrada

Dinâmica Estocástica e Cosmologia: alguns resultados analíticos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Fractais e Percolação na Recuperação de Petróleo

The complex behavior of a wide variety of phenomena that are of interest to physicists, chemists, and engineers has been quantitatively characterized by using the ideas of fractal and multifractal distributions, which correspond in a unique way to the geometrical shape and dynamical properties of the systems under study. In this thesis we present the Space of Fractals and the methods of Hausdorff-Besicovitch, box-counting and Scaling to calculate the fractal dimension of a set. In this Thesis we investigate also percolation phenomena in multifractal objects that are built in a simple way. The central object of our analysis is a multifractal object that we call Qmf . In these objects the multifractality comes directly from the geometric tiling. We identify some differences between percolation in the proposed multifractals and in a regular lattice. There are basically two sources of these differences. The first is related to the coordination number, c, which changes along the multifractal. The second comes from the way the weight of each cell in the multifractal affects the percolation cluster. We use many samples of finite size lattices and draw the histogram of percolating lattices against site occupation probability p. Depending on a parameter, ρ, characterizing the multifractal and the lattice size, L, the histogram can have two peaks. We observe that the probability of occupation at the percolation threshold, pc, for the multifractal is lower than that for the square lattice. We compute the fractal dimension of the percolating cluster and the critical exponent β. Despite the topological differences, we find that the percolation in a multifractal support is in the same universality class as standard percolation. The area and the number of neighbors of the blocks of Qmf show a non-trivial behavior. A general view of the object Qmf shows an anisotropy. The value of pc is a function of ρ which is related to its anisotropy. We investigate the relation between pc and the average number of neighbors of the blocks as well as the anisotropy of Qmf. In this Thesis we study likewise the distribution of shortest paths in percolation systems at the percolation threshold in two dimensions (2D). We study paths from one given point to multiple other points

Fractais e percolação na recuperação de Petróleo

The complex behavior of a wide variety of phenomena that are of interest to physicists, chemists, and engineers has been quantitatively characterized by using the ideas of fractal and multifractal distributions, which correspond in a unique way to the geometrical shape and dynamical properties of the systems under study. In this thesis we present the Space of Fractals and the methods of Hausdorff-Besicovitch, box-counting and Scaling to calculate the fractal dimension of a set. In this Thesis we investigate also percolation phenomena in multifractal objects that are built in a simple way. The central object of our analysis is a multifractal object that we call Qmf . In these objects the multifractality comes directly from the geometric tiling. We identify some differences between percolation in the proposed multifractals and in a regular lattice. There are basically two sources of these differences. The first is related to the coordination number, c, which changes along the multifractal. The second comes from the way the weight of each cell in the multifractal affects the percolation cluster. We use many samples of finite size lattices and draw the histogram of percolating lattices against site occupation probability p. Depending on a parameter, ρ, characterizing the multifractal and the lattice size, L, the histogram can have two peaks. We observe that the probability of occupation at the percolation threshold, pc, for the multifractal is lower than that for the square lattice. We compute the fractal dimension of the percolating cluster and the critical exponent β. Despite the topological differences, we find that the percolation in a multifractal support is in the same universality class as standard percolation. The area and the number of neighbors of the blocks of Qmf show a non-trivial behavior. A general view of the object Qmf shows an anisotropy. The value of pc is a function of ρ which is related to its anisotropy. We investigate the relation between pc and the average number of neighbors of the blocks as well as the anisotropy of Qmf. In this Thesis we study likewise the distribution of shortest paths in percolation systems at the percolation threshold in two dimensions (2D). We study paths from one given point to multiple other points. In oil recovery terminology, the given single point can be mapped to an injection well (injector) and the multiple other points to production wells (producers). In the previously standard case of one injection well and one production well separated by Euclidean distance r, the distribution of shortest paths l, P(l|r), shows a power-law behavior with exponent gl = 2.14 in 2D. Here we analyze the situation of one injector and an array A of producers. Symmetric arrays of producers lead to one peak in the distribution P(l|A), the probability that the shortest path between the injector and any of the producers is l, while the asymmetric configurations lead to several peaks in the distribution. We analyze configurations in which the injector is outside and inside the set of producers. The peak in P(l|A) for the symmetric arrays decays faster than for the standard case. For very long paths all the studied arrays exhibit a power-law behavior with exponent g ∼= gl.

Propriedades críticas de sistemas fora do equilíbrio via simulação Monte Carlo

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Não-extensividade em percolação por ligações de longo - alcance

A linear chain do not present phase transition at any finite temperature in a one dimensional system considering only first neighbors interaction. An example is the Ising ferromagnet in which his critical temperature lies at zero degree. Analogously, in percolation like disordered geometrical systems, the critical point is given by the critical probability equals to one. However, this situation can be drastically changed if we consider long-range bonds, replacing the probability distribution by a function like . In this kind of distribution the limit α → ∞ corresponds to the usual first neighbor bond case. In the other hand α = 0 corresponds to the well know "molecular field" situation. In this thesis we studied the behavior of Pc as a function of a to the bond percolation specially in d = 1. Our goal was to check a conjecture proposed by Tsallis in the context of his Generalized Statistics (a generalization to the Boltzmann-Gibbs statistics). By this conjecture, the scaling laws that depend with the size of the system N, vary in fact with the quantitie

Análise e comparação entre algoritmos de percolação

In this work, we study and compare two percolation algorithms, one of then elaborated by Elias, and the other one by Newman and Ziff, using theorical tools of algorithms complexity and another algorithm that makes an experimental comparation. This work is divided in three chapters. The first one approaches some necessary definitions and theorems to a more formal mathematical study of percolation. The second presents technics that were used for the estimative calculation of the algorithms complexity, are they: worse case, better case e average case. We use the technique of the worse case to estimate the complexity of both algorithms and thus we can compare them. The last chapter shows several characteristics of each one of the algorithms and through the theoretical estimate of the complexity and the comparison between the execution time of the most important part of each one, we can compare these important algorithms that simulate the percolation.

Modelos de sobrevivência com fração de cura e erro de medida nas covariáveis

In this work, we study the survival cure rate model proposed by Yakovlev et al. (1993), based on a competing risks structure concurring to cause the event of interest, and the approach proposed by Chen et al. (1999), where covariates are introduced to model the risk amount. We focus the measurement error covariates topics, considering the use of corrected score method in order to obtain consistent estimators. A simulation study is done to evaluate the behavior of the estimators obtained by this method for finite samples. The simulation aims to identify not only the impact on the regression coefficients of the covariates measured with error (Mizoi et al. 2007) but also on the coefficients of covariates measured without error. We also verify the adequacy of the piecewise exponential distribution to the cure rate model with measurement error. At the end, model applications involving real data are made