**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**129

# Search results for: ruin probability

##### 129 Ruin Probability for a Markovian Risk Model with Two-type Claims

**Authors:**
Dongdong Zhang,
Deran Zhang

**Abstract:**

In this paper, a Markovian risk model with two-type claims is considered. In such a risk model, the occurrences of the two type claims are described by two point processes {Ni(t), t ¸ 0}, i = 1, 2, where {Ni(t), t ¸ 0} is the number of jumps during the interval (0, t] for the Markov jump process {Xi(t), t ¸ 0} . The ruin probability ª(u) of a company facing such a risk model is mainly discussed. An integral equation satisfied by the ruin probability ª(u) is obtained and the bounds for the convergence rate of the ruin probability ª(u) are given by using key-renewal theorem.

**Keywords:**
Risk model,
ruin probability,
Markov jump process,
integral equation.

##### 128 Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures

**Authors:**
Fenglong Guo,
Dingcheng Wang

**Abstract:**

**Keywords:**
Lundberg inequality,
NWUC,
Renewal recursive technique,
Ruin probability

##### 127 Stability Bound of Ruin Probability in a Reduced Two-Dimensional Risk Model

**Authors:**
Zina Benouaret,
Djamil Aissani

**Abstract:**

**Keywords:**
Markov chain,
risk models,
ruin probabilities,
strong
stability analysis.

##### 126 A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes

**Authors:**
Amir T. Payandeh Najafabadi

**Abstract:**

**Keywords:**
Ruin probability,
compound Poisson processes,
mixture exponential (hyperexponential) distribution,
heavy-tailed
distributions.

##### 125 Performance of the Strong Stability Method in the Univariate Classical Risk Model

**Authors:**
Safia Hocine,
Zina Benouaret,
Djamil A¨ıssani

**Abstract:**

**Keywords:**
Markov Chain,
regenerative processes,
risk models,
ruin probability,
strong stability.

##### 124 Probability of Globality

**Authors:**
Eva Eggeling,
Dieter W. Fellner,
Torsten Ullrich

**Abstract:**

**Keywords:**
global optimization,
probability theory,
probability of
globality

##### 123 Probabilities and the Persistence of Memory in a Bingo-like Carnival Game

**Authors:**
M. Glomski,
M. Lopes

**Abstract:**

Seemingly simple probabilities in the m-player game bingo have never been calculated. These probabilities include expected game length and the expected number of winners on a given turn. The difficulty in probabilistic analysis lies in the subtle interdependence among the m-many bingo game cards in play. In this paper, the game i got it!, a bingo variant, is considered. This variation provides enough weakening of the inter-player dependence to allow probabilistic analysis not possible for traditional bingo. The probability of winning in exactly k turns is calculated for a one-player game. Given a game of m-many players, the expected game length and tie probability are calculated. With these calculations, the game-s interesting payout scheme is considered.

**Keywords:**
Conditional probability,
games of chance,
npersongames,
probability theory.

##### 122 One scheme of Transition Probability Evaluation

**Authors:**
Alexander B. Bichkov,
Alla A. Mityureva,
Valery V. Smirnov

**Abstract:**

**Keywords:**
Path integral,
saddle point method,
semiclassical approximation,
transition probability

##### 121 Evaluation of Best-Fit Probability Distribution for Prediction of Extreme Hydrologic Phenomena

**Authors:**
Karim Hamidi Machekposhti,
Hossein Sedghi

**Abstract:**

The probability distributions are the best method for forecasting of extreme hydrologic phenomena such as rainfall and flood flows. In this research, in order to determine suitable probability distribution for estimating of annual extreme rainfall and flood flows (discharge) series with different return periods, precipitation with 40 and discharge with 58 years time period had been collected from Karkheh River at Iran. After homogeneity and adequacy tests, data have been analyzed by Stormwater Management and Design Aid (SMADA) software and residual sum of squares (R.S.S). The best probability distribution was Log Pearson Type III with R.S.S value (145.91) and value (13.67) for peak discharge and Log Pearson Type III with R.S.S values (141.08) and (8.95) for maximum discharge in Jelogir Majin and Pole Zal stations, respectively. The best distribution for maximum precipitation in Jelogir Majin and Pole Zal stations was Log Pearson Type III distribution with R.S.S values (1.74&1.90) and then Pearson Type III distribution with R.S.S values (1.53&1.69). Overall, the Log Pearson Type III distributions are acceptable distribution types for representing statistics of extreme hydrologic phenomena in Karkheh River at Iran with the Pearson Type III distribution as a potential alternative.

**Keywords:**
Karkheh river,
log pearson type III,
probability distribution,
residual sum of squares.

##### 120 Probability and Instruction Effects in Syllogistic Conditional Reasoning

**Authors:**
Olimpia Matarazzo,
Ivana Baldassarre

**Abstract:**

**Keywords:**
Conditionals,
conditional probability,
conditional syllogism,
inferential task.

##### 119 Probability-Based Damage Detection of Structures Using Kriging Surrogates and Enhanced Ideal Gas Molecular Movement Algorithm

**Authors:**
M. R. Ghasemi,
R. Ghiasi,
H. Varaee

**Abstract:**

Surrogate model has received increasing attention for use in detecting damage of structures based on vibration modal parameters. However, uncertainties existing in the measured vibration data may lead to false or unreliable output result from such model. In this study, an efficient approach based on Monte Carlo simulation is proposed to take into account the effect of uncertainties in developing a surrogate model. The probability of damage existence (PDE) is calculated based on the probability density function of the existence of undamaged and damaged states. The kriging technique allows one to genuinely quantify the surrogate error, therefore it is chosen as metamodeling technique. Enhanced version of ideal gas molecular movement (EIGMM) algorithm is used as main algorithm for model updating. The developed approach is applied to detect simulated damage in numerical models of 72-bar space truss and 120-bar dome truss. The simulation results show the proposed method can perform well in probability-based damage detection of structures with less computational effort compared to direct finite element model.

**Keywords:**
Enhanced ideal gas molecular movement,
Kriging,
probability-based damage detection,
probability of damage existence,
surrogate modeling,
uncertainty quantification.

##### 118 A Stochastic Approach to Extreme Wind Speeds Conditions on a Small Axial Wind Turbine

**Authors:**
Nkongho Ayuketang Arreyndip,
Ebobenow Joseph

**Abstract:**

**Keywords:**
Probability,
Stochastic,
Probability density function,
Turbulence.

##### 117 The Possibility-Probability Relationship for Bloodstream Concentrations of Physiologically Active Substances

**Authors:**
Arkady Bolotin

**Abstract:**

**Keywords:**
Possibility distributions,
possibility-probability relationship.

##### 116 An Overview of Handoff Techniques in Cellular Networks

**Authors:**
Nasıf Ekiz,
Tara Salih,
Sibel Küçüköner,
Kemal Fidanboylu

**Abstract:**

Continuation of an active call is one of the most important quality measurements in the cellular systems. Handoff process enables a cellular system to provide such a facility by transferring an active call from one cell to another. Different approaches are proposed and applied in order to achieve better handoff service. The principal parameters used to evaluate handoff techniques are: forced termination probability and call blocking probability. The mechanisms such as guard channels and queuing handoff calls decrease the forced termination probability while increasing the call blocking probability. In this paper we present an overview about the issues related to handoff initiation and decision and discuss about different types of handoff techniques available in the literature.

**Keywords:**
Handoff,
Forced Termination Probability,
Blocking probability,
Handoff Initiation,
Handoff Decision,
Handoff Prioritization Schemes.

##### 115 Probability Distribution of Rainfall Depth at Hourly Time-Scale

**Authors:**
S. Dan'azumi,
S. Shamsudin,
A. A. Rahman

**Abstract:**

**Keywords:**
Goodness-of-fit test,
Hourly rainfall,
Malaysia,
Probability distribution.

##### 114 Considerations for Effectively Using Probability of Failure as a Means of Slope Design Appraisal for Homogeneous and Heterogeneous Rock Masses

**Authors:**
Neil Bar,
Andrew Heweston

**Abstract:**

Probability of failure (PF) often appears alongside factor of safety (FS) in design acceptance criteria for rock slope, underground excavation and open pit mine designs. However, the design acceptance criteria generally provide no guidance relating to how PF should be calculated for homogeneous and heterogeneous rock masses, or what qualifies a ‘reasonable’ PF assessment for a given slope design. Observational and kinematic methods were widely used in the 1990s until advances in computing permitted the routine use of numerical modelling. In the 2000s and early 2010s, PF in numerical models was generally calculated using the point estimate method. More recently, some limit equilibrium analysis software offer statistical parameter inputs along with Monte-Carlo or Latin-Hypercube sampling methods to automatically calculate PF. Factors including rock type and density, weathering and alteration, intact rock strength, rock mass quality and shear strength, the location and orientation of geologic structure, shear strength of geologic structure and groundwater pore pressure influence the stability of rock slopes. Significant engineering and geological judgment, interpretation and data interpolation is usually applied in determining these factors and amalgamating them into a geotechnical model which can then be analysed. Most factors are estimated ‘approximately’ or with allowances for some variability rather than ‘exactly’. When it comes to numerical modelling, some of these factors are then treated deterministically (i.e. as exact values), while others have probabilistic inputs based on the user’s discretion and understanding of the problem being analysed. This paper discusses the importance of understanding the key aspects of slope design for homogeneous and heterogeneous rock masses and how they can be translated into reasonable PF assessments where the data permits. A case study from a large open pit gold mine in a complex geological setting in Western Australia is presented to illustrate how PF can be calculated using different methods and obtain markedly different results. Ultimately sound engineering judgement and logic is often required to decipher the true meaning and significance (if any) of some PF results.

**Keywords:**
Probability of failure,
point estimate method,
Monte-Carlo simulations,
sensitivity analysis,
slope stability.

##### 113 A Forward Automatic Censored Cell-Averaging Detector for Multiple Target Situations in Log-Normal Clutter

**Authors:**
Musa'ed N. Almarshad,
Saleh A. Alshebeili,
Mourad Barkat

**Abstract:**

**Keywords:**
CFAR,
Log-normal clutter,
Censoring,
Probabilityof detection,
Probability of false alarm,
Probability of falsecensoring.

##### 112 Simple Procedure for Probability Calculation of Tensile Crack Occurring in Rigid Pavement – Case Study

**Authors:**
Aleš Florian,
Lenka Ševelová,
Jaroslav Žák

**Abstract:**

Formation of tensile cracks in concrete slabs of rigid pavement can be (among others) the initiation point of the other, more serious failures which can ultimately lead to complete degradation of the concrete slab and thus the whole pavement. Two measures can be used for reliability assessment of this phenomenon - the probability of failure and/or the reliability index. Different methods can be used for their calculation. The simple ones are called moment methods and simulation techniques. Two methods - FOSM Method and Simple Random Sampling Method - are verified and their comparison is performed. The influence of information about the probability distribution and the statistical parameters of input variables as well as of the limit state function on the calculated reliability index and failure probability are studied in three points on the lower surface of concrete slabs of the older type of rigid pavement formerly used in the Czech Republic.

**Keywords:**
Failure,
pavement,
probability,
reliability index,
simulation,
tensile crack.

##### 111 An Integrated Framework for the Realtime Investigation of State Space Exploration

**Authors:**
Jörg Lassig,
Stefanie Thiem

**Abstract:**

**Keywords:**
Global Optimization Heuristics,
Particle Swarm Optimization,
Ensemble Based Threshold Accepting,
Ruin and Recreate

##### 110 Remarks Regarding Queuing Model and Packet Loss Probability for the Traffic with Self-Similar Characteristics

**Authors:**
Mihails Kulikovs,
Ernests Petersons

**Abstract:**

**Keywords:**
Queuing System,
Packet Loss Probability,
Measurement-Based Admission Control (MBAC),
Performanceevaluation,
Quality of Service (QoS).

##### 109 Entropic Measures of a Probability Sample Space and Exponential Type (α, β) Entropy

**Authors:**
Rajkumar Verma,
Bhu Dev Sharma

**Abstract:**

Entropy is a key measure in studies related to information theory and its many applications. Campbell for the first time recognized that the exponential of the Shannon’s entropy is just the size of the sample space, when distribution is uniform. Here is the idea to study exponentials of Shannon’s and those other entropy generalizations that involve logarithmic function for a probability distribution in general. In this paper, we introduce a measure of sample space, called ‘entropic measure of a sample space’, with respect to the underlying distribution. It is shown in both discrete and continuous cases that this new measure depends on the parameters of the distribution on the sample space - same sample space having different ‘entropic measures’ depending on the distributions defined on it. It was noted that Campbell’s idea applied for R`enyi’s parametric entropy of a given order also. Knowing that parameters play a role in providing suitable choices and extended applications, paper studies parametric entropic measures of sample spaces also. Exponential entropies related to Shannon’s and those generalizations that have logarithmic functions, i.e. are additive have been studies for wider understanding and applications. We propose and study exponential entropies corresponding to non additive entropies of type (α, β), which include Havard and Charvˆat entropy as a special case.

**Keywords:**
Sample space,
Probability distributions,
Shannon’s entropy,
R`enyi’s entropy,
Non-additive entropies .

##### 108 Approximation for Average Error Probability of BPSK in the Presence of Phase Error

**Authors:**
Yeonsoo Jang,
Dongweon Yoon,
Ki Ho Kwon,
Jaeyoon Lee,
Wooju Lee

**Abstract:**

**Keywords:**
Average error probability,
Phase shift keying,
Phase
error

##### 107 Daily Probability Model of Storm Events in Peninsular Malaysia

**Authors:**
Mohd Aftar Abu Bakar,
Noratiqah Mohd Ariff,
Abdul Aziz Jemain

**Abstract:**

Storm Event Analysis (SEA) provides a method to define rainfalls events as storms where each storm has its own amount and duration. By modelling daily probability of different types of storms, the onset, offset and cycle of rainfall seasons can be determined and investigated. Furthermore, researchers from the field of meteorology will be able to study the dynamical characteristics of rainfalls and make predictions for future reference. In this study, four categories of storms; short, intermediate, long and very long storms; are introduced based on the length of storm duration. Daily probability models of storms are built for these four categories of storms in Peninsular Malaysia. The models are constructed by using Bernoulli distribution and by applying linear regression on the first Fourier harmonic equation. From the models obtained, it is found that daily probability of storms at the Eastern part of Peninsular Malaysia shows a unimodal pattern with high probability of rain beginning at the end of the year and lasting until early the next year. This is very likely due to the Northeast monsoon season which occurs from November to March every year. Meanwhile, short and intermediate storms at other regions of Peninsular Malaysia experience a bimodal cycle due to the two inter-monsoon seasons. Overall, these models indicate that Peninsular Malaysia can be divided into four distinct regions based on the daily pattern for the probability of various storm events.

**Keywords:**
Daily probability model,
monsoon seasons,
regions,
storm events.

##### 106 Coverage Probability Analysis of WiMAX Network under Additive White Gaussian Noise and Predicted Empirical Path Loss Model

**Authors:**
Chaudhuri Manoj Kumar Swain,
Susmita Das

**Abstract:**

This paper explores a detailed procedure of predicting a path loss (PL) model and its application in estimating the coverage probability in a WiMAX network. For this a hybrid approach is followed in predicting an empirical PL model of a 2.65 GHz WiMAX network deployed in a suburban environment. Data collection, statistical analysis, and regression analysis are the phases of operations incorporated in this approach and the importance of each of these phases has been discussed properly. The procedure of collecting data such as received signal strength indicator (RSSI) through experimental set up is demonstrated. From the collected data set, empirical PL and RSSI models are predicted with regression technique. Furthermore, with the aid of the predicted PL model, essential parameters such as PL exponent as well as the coverage probability of the network are evaluated. This research work may assist in the process of deployment and optimisation of any cellular network significantly.

**Keywords:**
WiMAX,
RSSI,
path loss,
coverage probability,
regression analysis.

##### 105 Coverage Probability of Confidence Intervals for the Normal Mean and Variance with Restricted Parameter Space

**Authors:**
Sa-aat Niwitpong

**Abstract:**

Recent articles have addressed the problem to construct the confidence intervals for the mean of a normal distribution where the parameter space is restricted, see for example Wang [Confidence intervals for the mean of a normal distribution with restricted parameter space. Journal of Statistical Computation and Simulation, Vol. 78, No. 9, 2008, 829–841.], we derived, in this paper, analytic expressions of the coverage probability and the expected length of confidence interval for the normal mean when the whole parameter space is bounded. We also construct the confidence interval for the normal variance with restricted parameter for the first time and its coverage probability and expected length are also mathematically derived. As a result, one can use these criteria to assess the confidence interval for the normal mean and variance when the parameter space is restricted without the back up from simulation experiments.

**Keywords:**
Confidence interval,
coverage probability,
expected length,
restricted parameter space.

##### 104 System Overflow/Blocking Transients For Queues with Batch Arrivals Using a Family of Polynomials Resembling Chebyshev Polynomials

**Authors:**
Vitalice K. Oduol,
C. Ardil

**Abstract:**

The paper shows that in the analysis of a queuing system with fixed-size batch arrivals, there emerges a set of polynomials which are a generalization of Chebyshev polynomials of the second kind. The paper uses these polynomials in assessing the transient behaviour of the overflow (equivalently call blocking) probability in the system. A key figure to note is the proportion of the overflow (or blocking) probability resident in the transient component, which is shown in the results to be more significant at the beginning of the transient and naturally decays to zero in the limit of large t. The results also show that the significance of transients is more pronounced in cases of lighter loads, but lasts longer for heavier loads.

**Keywords:**
batch arrivals,
blocking probability,
generalizedChebyshev polynomials,
overflow probability,
queue transientanalysis

##### 103 Energy Detection Based Sensing and Primary User Traffic Classification for Cognitive Radio

**Authors:**
Urvee B. Trivedi,
U. D. Dalal

**Abstract:**

**Keywords:**
Cognitive radio (CR),
probability of detection (PD),
probability of false alarm (PF),
primary User (PU),
secondary user (SU),
Fast Fourier transform (FFT),
signal to noise ratio (SNR).

##### 102 Performance of Nakagami Fading Channel over Energy Detection Based Spectrum Sensing

**Authors:**
M. Ranjeeth,
S. Anuradha

**Abstract:**

Spectrum sensing is the main feature of cognitive radio technology. Spectrum sensing gives an idea of detecting the presence of the primary users in a licensed spectrum. In this paper we compare the theoretical results of detection probability of different fading environments like Rayleigh, Rician, Nakagami-m fading channels with the simulation results using energy detection based spectrum sensing. The numerical results are plotted as Pf Vs Pd for different SNR values, fading parameters. It is observed that Nakagami fading channel performance is better than other fading channels by using energy detection in spectrum sensing. A MATLAB simulation test bench has been implemented to know the performance of energy detection in different fading channel environment.

**Keywords:**
Spectrum sensing,
Energy detection,
fading
channels,
Probability of detection,
probability of false alarm.

##### 101 Kernel Matching versus Inverse Probability Weighting: A Comparative Study

**Authors:**
Andy Handouyahia,
Tony Haddad,
Frank Eaton

**Abstract:**

Recent quasi-experimental evaluation of the Canadian Active Labour Market Policies (ALMP) by Human Resources and Skills Development Canada (HRSDC) has provided an opportunity to examine alternative methods to estimating the incremental effects of Employment Benefits and Support Measures (EBSMs) on program participants. The focus of this paper is to assess the efficiency and robustness of inverse probability weighting (IPW) relative to kernel matching (KM) in the estimation of program effects. To accomplish this objective, the authors compare pairs of 1,080 estimates, along with their associated standard errors, to assess which type of estimate is generally more efficient and robust. In the interest of practicality, the authorsalso document the computationaltime it took to produce the IPW and KM estimates, respectively.

**Keywords:**
Treatment effect,
causal inference,
observational studies,
Propensity score based matching,
Kernel Matching,
Inverse Probability Weighting,
Estimation methods for incremental effect.

##### 100 An Approaching Index to Evaluate a forward Collision Probability

**Authors:**
Yuan-Lin Chen

**Abstract:**

This paper presents an approaching forward collision probability index (AFCPI) for alerting and assisting driver in keeping safety distance to avoid the forward collision accident in highway driving. The time to collision (TTC) and time headway (TH) are used to evaluate the TTC forward collision probability index (TFCPI) and the TH forward collision probability index (HFCPI), respectively. The Mamdani fuzzy inference algorithm is presented combining TFCPI and HFCPI to calculate the approaching collision probability index of the vehicle. The AFCPI is easier to understand for the driver who did not even have any professional knowledge in vehicle professional field. At the same time, the driver’s behavior is taken into account for suiting each driver. For the approaching index, the value 0 is indicating the 0% probability of forward collision, and the values 0.5 and 1 are indicating the 50% and 100% probabilities of forward collision, respectively. The AFCPI is useful and easy-to-understand for alerting driver to avoid the forward collision accidents when driving in highway.

**Keywords:**
Approaching index,
forward collision probability,
time to collision,
time headway.