Banca de DEFESA: ALEXANDRO TELES DE OLIVEIRA

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : ALEXANDRO TELES DE OLIVEIRA
DATA : 24/08/2019
HORA: 14:00
LOCAL: Instituto de Matemática e Estatística da Universidade Federal da Bahia
TÍTULO:

Statistical Modeling for Bivariate Financial Data Using Survival Analysis and Coping Functions.

PALAVRAS-CHAVES:

Analysis of Survival; Financial Data; Healing Fraction; Copulation Functions; Competitive Risks;

PÁGINAS: 96
GRANDE ÁREA: Ciências Exatas e da Terra
ÁREA: Matemática
RESUMO:

In this work we used Survival Analysis techniques in two sets of financial data in the presence of covariables and censored observations. The data represent the times until the occurrence of the event of interest (churn for the first set of data and default for the second set of data) in different credit products. Some models of non-default and non-default survival were proposed and assumed for marginal distributions in the presence of competitive causes with different activation mechanisms (Odd Weibull-Poisson models). Copulation functions (Clayton, Clayton Rotated 90 degrees, Frank, Gumbel, Farlie-Gumbel-Morgenstern, Plackett, Gaussian and Student t) were used in the study of dependence between failure times of the same individual. For inferential purposes, a classical approach was considered using the Inference Function for Margins (IFM), proposed by Joe and Xu (1996), whose results were compared to those obtained using the method of maximum likelihood, which makes the estimation of the parameters in a single stage

MEMBROS DA BANCA:
Externo à Instituição - ADRIANO KAMIMURA SUZUKI
Presidente - 1961783 - PAULO HENRIQUE FERREIRA DA SILVA
Interno - 287722 - ROSEMEIRE LEOVIGILDO FIACCONE