6 papers
Exponential Dispersion Models for Overdispersed Zero-Inflated Count Data
Shaul K. Bar-Lev, Ad Ridder
We consider three new classes of exponential dispersion models of discrete probability distributions which are defined by specifying their variance functions in their mean value pa…
New exponential dispersion models for count data -- the ABM and LM classes
Shaul K. Bar-Lev, Ad Ridder
In their fundamental paper on cubic variance functions, Letac and Mora (The Annals of Statistics,1990) presented a systematic, rigorous and comprehensive study of natural exponenti…
Monte Carlo Methods for Insurance Risk Computation
Shaul Bar-Lev, Ad Ridder
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables foll…
Semiparametric Cross Entropy for rare-event simulation
Z. I. Botev, A. Ridder, L. Rojas-Nandayapa
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density…
Approximate results for a generalized secretary problem
Chris Dietz, Dinard van der Laan, Ad Ridder
A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented…
Asymptotic optimality of the cross-entropy method for Markov chain problems
Ad Ridder
The correspondence between the cross-entropy method and the zero-variance approximation to simulate a rare event problem in Markov chains is shown. This leads to a sufficient condi…