FRAUD CLASSIFICATION USING PRINCIPAL COMPONENT ANALYSIS OF RIDITs (2009)
Patrick L. Brockett, Richard A. Derrig, Linda L. Golden, Arnold Levine, Mark Alpert
This article introduces to the statistical and insurance literature a mathematical technique for an a priori classification of objects when no training sample exists for which the exact correct group...
M.D. I. Estimation via Unconstrained Convex Programming. (2002)
Brockett,Patrick L., Charnes,Abraham, Cooper,William W.
A method is presented for obtaining minimum discrimination information (M.D.I.) estimates of probability distributions. This involves using an extremal principal and, viewing M.D.I. estimation in a...
On the Unimodality of High Convolutions. (2002)
Brockett,Patrick L., Kemperman,J. H. B.
It has been conjectured, for any discrete density function on the integers, that there exists an n sub o such that the n-fold convolution is unimodal for all n > or = n sub o. A similar conjecture...
Statistical Tools for Determining Fitness to Fly (2002)
Brockett, Patrick L., Shea, Gerald A.
The goal of this project is to use data from regularly scheduled physical examinations to estimate the probability of an event such as a heart attack. This is done via the construction of a...
Non-Gaussian Stochastic Processes. (2002)
Brockett, Patrick L., Ellis, Glen E., Hinich, Melvin, Machell, Frederick W., Perod, Clark S.
The major objectives for this research on non-Gaussian signal processing (NG-SRO) were: (1) statistical characterization and analyses of classes of non-Gaussian stochastic processes for underwater...
Feasibility Study of a FAARRS-SHARE Methodology for the U.S. Army Reserve. (1997)
Brockett, Patrick L., Rousseau, John J., Wang, Yuying
This report describes research into the feasibility of developing a Forecasting and Allocation of Army Recruiting Resources Study-Sequential Hierarchical Allocation of Resource Elements...
The effect of random scale changes on limits of infinitesimal systems (1978)
Suppose S={{Xnj,   j=1,2,…,kn}} is an infinitesimal system of random variables whose centered sums converge in law to a (necessarily infinitely...
The effect of random scale changes on limits of infinitesimal systems (1978)
Suppose S={{Xnj, j=1,2,…,kn}} is an infinitesimal system of random variables whose centered sums converge in law to a (necessarily infinitely divisible) distribution with Levy...
Portfolio Effects and Valuation of Weather Derivatives
Patrick L. Brockett, Mulong Wang, Chuanhou Yang, Hong Zou
In a mean-variance framework, the indifference pricing approach is adopted to value weather derivatives, taking account of portfolio effects. Our analysis shows how the magnitude of portfolio effects...
Statistical tests of stochastic process models used in the financial theory of insurance companies
Brockett, Patrick L., Witt, Robert C., Golany, Boaz, Sipra, Naim, Xia, Xiaohua
Brockett, Patrick L., Cooper, W.W., Golden, Linda L., Kumbhakar, Subal C., Kwinn Jr., Michael J., Layton, Brian, ...
Inefficiency and congestion in Chinese production before and after the 1978 economic reforms
Brockett, Patrick L., Cooper, William W., Wang, Yuying, Shin, Hong-Chul
EVENT STUDY METHODOLOGY: A NEW AND STOCHASTICALLY FLEXIBLE APPROACH
Patrick L. Brockett, Hwei-Mei CHEN, James R. GARVEN
A number of articles have documented that the classical event study methodology exhibits a bias toward detecting "effects", irrespective of whether such effects actually exist. This paper addresses...
Patrick L. Brockett, James R. GARVEN
This paper shows that a flaw exists in the logic behind the previously stated theoretical connections between utility theory and moment preferences. In fact, no such relationship exists. There is...
Information theory as a unifying statistical approach for use in marketing research
Brockett, Patrick L., Charnes, Abraham, Cooper, William W., Learner, David, Phillips, Fred Y.
Patrick L. Brockett, James R. Garven
This article examines the relationship between risk, return, skewness, and utility-based preferences. Examples are constructed showing that, for any commonly used utility function, it is possible to...
The distribution of the likelihood ratio for additive processes
Brockett, Patrick L., Hudson, William N., Tucker, Howard G.
Let {X(t), 0
A conditional dichotomy theorem for stochastic processes with independent increments
Brockett, Patrick L., Tucker, Howard G.
Let X(t) and Y(t) be two stochastically continuous processes with independent increments over [0, T] and Lévy spectral measures Mt and Nt, respectively, and let the "time-jump" measures M and N be...
Variance bounds using a theorem of Polya
Arnold, Barry C., Brockett, Patrick L.
This paper uses an extension of a theorem of Polya to derive bounds for the variance of a random variable. These are applied to maxima and minima of a sample and the bounds are found to be quite good.
A Comparison of HMO Efficiencies as a Function of Provider Autonomy
Patrick L. Brockett, Ray E. Chang, John J. Rousseau, John H. Semple, Chuanhou Yang
Current debates in the insurance and public policy literatures over health care financing and cost control measures continue to focus on managed care and HMOs. The lower utilization rates found in...
Patrick L. Brockett, William W. Cooper, Linda L. Golden, John J. Rousseau, Yuying Wang
An examination of the efficiency of the marketing distribution channel and organizational structure for insurance companies is presented from a framework that views the insurer as a financial...
Patrick L. Brockett, Linda L. Golden, Jaeho Jang, Chuanhou Yang
This study examines the effect of the statistical/mathematical model selected and the variable set considered on the ability to identify financially troubled life insurers. Models considered are two...
Patrick L. Brockett, Linda L. Golden
The most important new development in the past two decades in the personal lines of insurance may well be the use of an individual's credit history as a classification and rating variable to predict...
Patrick L. Brockett, Linda L. Golden, Montserrat Guillen, Jens Perch Nielsen, Jan Parner
Customer-side influences on insurance have been relatively ignored in the literature. Using the household as the unit of analysis, this article focuses on the behavior of households having multiple...
Brockett, Patrick L., Cooper, William W., Kwon, K. H., Ruefli, T. W.
The February 2002 issue of Omega contains an article by M.N. Nickel and M.C. Rodriguez which reviews and evaluates research dealing with what is called the "Bowman Paradox" in the literature of...