FUPRE Journal of Scientific and Industrial Research (FJSIR), Jun 27, 2019
Lifetime processes has received several attentions recently through modeling the way and manner i... more Lifetime processes has received several attentions recently through modeling the way and manner in which they are distributed. In this article, we propose an extended new generalized exponential distribution for a lifetime processes. The statistical properties of distribution such as kurtosis, survival, hazard, cumulative, odd functions, quantiles, skewness, reversed hazard, and order statistics are derived. The parameters of this class of distribution were also obtained by maximum likelihood method. The behaviour of the model was studied through simulation. Finally, a real life data was used to examine the performance of the propose model. The results show that the model perform favourably well with existing continuous models.
Highlights • The article focuses on a class of inverted exponential distribution. • The proposed ... more Highlights • The article focuses on a class of inverted exponential distribution. • The proposed distribution aims at proposing a better flexible model for lifetime data. • The performance is validated by application of real life data in existing literature. • Results indicate that the new model competes favourably well with other distributions.
A new flexible univariate probability distribution was defined in this paper. The new distributio... more A new flexible univariate probability distribution was defined in this paper. The new distribution is so called the 'exponentiated Gumbel-Weibull {logistic} distribution' and it arose by using the exponentiated Gumbel distribution to generate a generalized Weibull distribution using the logit function or the quantile function of the logistic distribution as a link. The new distribution was observed to be both unimodal and bimodal as well as exhibits various shape and tail properties consistent with data arising from several real life phenomena. A detail study of its statistical properties was carried out and the maximum likelihood method was used in the estimation of its parameters. The new distribution was applied in fitting the reported daily number of infections due to the COVID-19 pandemic in Nigeria. Five other datasets were further used to ascertain the flexibility of the new distribution in fitting data sets with different statistical properties.
In this paper, we considered the different strategies that generate the optimal wealth on investm... more In this paper, we considered the different strategies that generate the optimal wealth on investment. The strategy examine depends on the utility function an investor is willing to adopt, say H * at time N in every 2n possible states; in an N period setting. Negative exponential, logarithm, square root and power utility functions were established, as the market structures changed according to a Markov chain through a martingale approach. The problem of maximization is solved via Lagrange method. The performance of the investment from day-to-day is driven by the ratio of the risk neutral probability and the probability of rising to falling.
Abstract. In this paper, we propose a single economic investor whose asset follows a geometric Br... more Abstract. In this paper, we propose a single economic investor whose asset follows a geometric Brownian motion process. Our objective therefore is to obtain the fair price and the present market value of the asset with an infinitely horizon expected discounted investment output. We apply dynamic programming principle to derive the Hamilton Jacobi Bellman (HJB)-equation associated with the problem which is found to be equivalent to the famous Black-Scholes Model under no risk neutrality. In addition, for a complete market under equilibrium, we obtained the value of the present asset with risk neutrality and its fair price. Introduction The study that Asset Prices follow a simple diffusion process was first proposed in the historical work of Bachelier in 1900. His work is rather remarkable in that it addressed the problem of option pricing and his main aim was to actually provide a fair price for the European call option According to To make simplier normally distributed financial ass...
In this paper, we formulated a general way of generating optimal wealth of investment returns wit... more In this paper, we formulated a general way of generating optimal wealth of investment returns with N-step utility functions through a martingale approach. The problem of maximization is solved via Lagrange method. The performance of any investment from day-today is determined by the ratio of the probability of rising to falling and the neutral probability.
FUPRE Journal of Scientific and Industrial Research (FJSIR), Jun 27, 2019
Lifetime processes has received several attentions recently through modeling the way and manner i... more Lifetime processes has received several attentions recently through modeling the way and manner in which they are distributed. In this article, we propose an extended new generalized exponential distribution for a lifetime processes. The statistical properties of distribution such as kurtosis, survival, hazard, cumulative, odd functions, quantiles, skewness, reversed hazard, and order statistics are derived. The parameters of this class of distribution were also obtained by maximum likelihood method. The behaviour of the model was studied through simulation. Finally, a real life data was used to examine the performance of the propose model. The results show that the model perform favourably well with existing continuous models.
Highlights • The article focuses on a class of inverted exponential distribution. • The proposed ... more Highlights • The article focuses on a class of inverted exponential distribution. • The proposed distribution aims at proposing a better flexible model for lifetime data. • The performance is validated by application of real life data in existing literature. • Results indicate that the new model competes favourably well with other distributions.
A new flexible univariate probability distribution was defined in this paper. The new distributio... more A new flexible univariate probability distribution was defined in this paper. The new distribution is so called the 'exponentiated Gumbel-Weibull {logistic} distribution' and it arose by using the exponentiated Gumbel distribution to generate a generalized Weibull distribution using the logit function or the quantile function of the logistic distribution as a link. The new distribution was observed to be both unimodal and bimodal as well as exhibits various shape and tail properties consistent with data arising from several real life phenomena. A detail study of its statistical properties was carried out and the maximum likelihood method was used in the estimation of its parameters. The new distribution was applied in fitting the reported daily number of infections due to the COVID-19 pandemic in Nigeria. Five other datasets were further used to ascertain the flexibility of the new distribution in fitting data sets with different statistical properties.
In this paper, we considered the different strategies that generate the optimal wealth on investm... more In this paper, we considered the different strategies that generate the optimal wealth on investment. The strategy examine depends on the utility function an investor is willing to adopt, say H * at time N in every 2n possible states; in an N period setting. Negative exponential, logarithm, square root and power utility functions were established, as the market structures changed according to a Markov chain through a martingale approach. The problem of maximization is solved via Lagrange method. The performance of the investment from day-to-day is driven by the ratio of the risk neutral probability and the probability of rising to falling.
Abstract. In this paper, we propose a single economic investor whose asset follows a geometric Br... more Abstract. In this paper, we propose a single economic investor whose asset follows a geometric Brownian motion process. Our objective therefore is to obtain the fair price and the present market value of the asset with an infinitely horizon expected discounted investment output. We apply dynamic programming principle to derive the Hamilton Jacobi Bellman (HJB)-equation associated with the problem which is found to be equivalent to the famous Black-Scholes Model under no risk neutrality. In addition, for a complete market under equilibrium, we obtained the value of the present asset with risk neutrality and its fair price. Introduction The study that Asset Prices follow a simple diffusion process was first proposed in the historical work of Bachelier in 1900. His work is rather remarkable in that it addressed the problem of option pricing and his main aim was to actually provide a fair price for the European call option According to To make simplier normally distributed financial ass...
In this paper, we formulated a general way of generating optimal wealth of investment returns wit... more In this paper, we formulated a general way of generating optimal wealth of investment returns with N-step utility functions through a martingale approach. The problem of maximization is solved via Lagrange method. The performance of any investment from day-today is determined by the ratio of the probability of rising to falling and the neutral probability.
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