Now showing items 1-4 of 4

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    A block diagonal covariance matrix test and discriminant analysis of high-dimensional data 

    Poompong Kaewumpai; Samruam Chongcharoen (National Institute of Development, 2017)

    In this dissertation, a new test statistic for testing for a block diagonal covariance matrix structure with a multivariate normal population where the number of variables p exceeds the number of observations n is proposed. Whereas classical approaches such as the likelihood ratio test cannot be applied when p n  , the proposed test statistic is based on the ratio of the estimators of 2 tr and 2 trD , where  is the population covariance matrix and D is the population covariance matrix under the null hypothesis. Furthermore, ...
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    Claims modeling with and alternative gamma-exponentiated weibull distribution and ruinprobability approximation 

    Pawat Paksaranuwat; Samruam Chongcharoen (National Institute of Development Administration, 2016)

    In this dissertation, two studies that are beneficial for actuaries and the insurance business are proposed. In the first study, an exponentiated Weibull distribution using gamma-generated distribution is modified to obtain an alternative gamma-exponentiated Weibull (AGEW) distribution; its sub-models include both gamma and Weibull distributions, both of which are popular in claims modeling by insurance companies. Its basic structural properties such as distribution function, density function, and moments were investigated. Moreover, the ...
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    Tests for mean vectors in high-dimensional data 

    Knavoot Jiamwattanapong; Samruam Chongcharoen (National Institute of Development Administration, 2015)

    High-dimensional data are ubiquitous and bring new challenges, not only to statisticians, but also to researchers in many scientific fields. They arise in situations where the dimension ( p) , the number of variables in a unit, is larger than the sample size (n), the number of units; data analysis using classical multivariate methods can no longer be applied.
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    The upper bounds of the ruin probability for an insurance discrete-time risk model with proportional reinsurance and investment 

    Apichart Luesamai; Samruam Chongcharoen (National Institute of Development Administration, 2018)

    In this study, the two upper bounds of the ruin probability for discrete time risk model derived by adding two controlled factors to the classical discrete time risk model: proportional reinsurance and investment are proposed. These upper bounds are derived using an inductive method and rely on a recursive form of the finite time and/or an integral equation of ultimate (infinite time) of ruin probability which is also derived in this study. Both of the upper bounds are formulated by the assumption that the retention level of reinsurance and ...