It is shown that vertical vibration of dust grains in a sheath region can lead to a specific low frequency mode of a quasi-two-dimensional dust-plasma crystal. Linear dispersion characteristics of the mode are obtained.

To meet the Basel II regulatory requirements for the advanced measurement approaches, the bank’s internal model must include..., Original Research, Operational risk

In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated models under different scenarios. The key point we demonstrate relates to the comparison of reserving quantities with and without model uncertainty incorporated into the prediction. We consider both the model selection problem and the model averaging solutions for the predicted reserves. As a part of this process we also consider the sub problem of variable selection to obtain a parsimonious representation of the model being fitted.

To quantify an operational risk capital charge under Basel II, many banks adopt a loss distribution approach. Under this approach,..., Original Research, Operational risk