Research Article
Nooshin Hakamipour
Abstract
The stress-strength model is a commonly utilized topic in reliability studies. In many reliability analyses involving stress-strength models, it is typically assumed that the stress and strength variables are unrelated. Nevertheless, this assumption is often impractical in real-world scenarios. This ...
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The stress-strength model is a commonly utilized topic in reliability studies. In many reliability analyses involving stress-strength models, it is typically assumed that the stress and strength variables are unrelated. Nevertheless, this assumption is often impractical in real-world scenarios. This research assumes that the strength and stress variables follow the Pareto distribution, and a Gumbel copula is employed to represent their relationship. Additionally, the data is gathered through the Type-I progressively hybrid censoring scheme. The method of maximum likelihood estimation is used for point estimation, while asymptotic and Bootstrap percentile confidence intervals are employed for interval estimation of the unknown parameters and system reliability. Simulation is employed to assess the effectiveness of the suggested estimators. Subsequently, an actual dataset is examined to showcase the practicality of the stress-strength model. Simulation is employed to assess the effectiveness of the suggested estimators. Subsequently, a real dataset is examined to demonstrate the practicality of the stress-strength model.
Research Article
Saeed Vahdati; Foad Shokrollahi
Abstract
This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with ...
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This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with respect to the asset price variable. By using some vector and matrix calculations, we reduce the PDE to a system of linear equations that can be solved at each time step for different asset prices. We perform an error analysis to show the convergence of our technique. We also provide some numerical examples to compare our technique with some existing methods and to demonstrate its efficiency and accuracy.
Research Article
Asma Hamzeh; Mitra Ghanbarzadeh; Faezeh Banimostafaarab
Abstract
Usage-based Insurance (UBI) is an innovation that differs from traditional car insurance and seeks to distinguish between high-risk and low-risk drivers. The premium in this policy is calculated based on the distance traveled and telematics variables such as road type, time, speed, etc. This study measured ...
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Usage-based Insurance (UBI) is an innovation that differs from traditional car insurance and seeks to distinguish between high-risk and low-risk drivers. The premium in this policy is calculated based on the distance traveled and telematics variables such as road type, time, speed, etc. This study measured the UBI acceptance rate and the factors that influence it. Global surveys and expert opinions were used to design a questionnaire, which was then administered to 396 randomly selected respondents, meeting the requirements of Cochran's formula for indeterminate populations (at least 384). Multinomial and binary logistic regression models were employed to measure acceptance and the willingness to purchase UBI based on distance, as well as distance and driving behaviors. These investigations were carried out across five and three scenarios, respectively, considering value-added services, awareness levels, and the importance of factors. Finally, a confirmatory factor analysis model was utilized to validate the UBI acceptance model, with the indicators affirming its appropriateness. The findings suggest the need for plans to enhance the information and awareness levels of insurance policyholders regarding UBI. Additionally, variables such as providing warnings to policyholders to improve driving, policy price, awareness of UBI, awareness of providing UBIs by some insurance companies in Iran, and providing rewards/discounts are identified as influential in driving UBI purchases, warranting investment by insurance companies to boost sales.
Research Article
Azadeh Ghasemifard; Ali Valinejad
Abstract
In this article, we discuss the numerical implementation of the Multilevel Monte-Carlo (MLMC) scheme for option pricing within the Heston asset model. The Heston model is a stochastic volatility model that captures the dynamics of the underlying asset price and its volatility. The MLMC method is a variance ...
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In this article, we discuss the numerical implementation of the Multilevel Monte-Carlo (MLMC) scheme for option pricing within the Heston asset model. The Heston model is a stochastic volatility model that captures the dynamics of the underlying asset price and its volatility. The MLMC method is a variance reduction technique that exploits the difference between two consecutive levels of discretization to estimate the expected value of a quantity of interest. We begin by providing an overview of the MLMC method, followed by an introduction to the weak methods used to approximate the Heston model. Weak methods are numerical schemes that preserve the distributional properties of the solution, rather than its pathwise behavior. Subsequently, we present the results of some numerical experiments conducted to evaluate the performance of the approach. Two different cases are surveyed.
