Miscellaneous Papers by Patrick Brockett
Simple unconstrained dual convex programming method for the computation of discrete maximum entropy distributions. Research report
This document formulates the generalized constrained maximum-enentropy problem often used in a de... more This document formulates the generalized constrained maximum-enentropy problem often used in a decision-making context as an extended dual convex programming problem. The dual problem is then presented. In this dual setting, the primal Lagrange multipliers are precisely the dual variables and are easily calculated directly by virtue of the simple structure of the dual problem. An example involving the selection of best equipment for an oil spill is presented as an illustration. The authors contrast their solution with those given by previous authors.
Statistics and probability and their applications. (Reprint)
Stochastic Processes in Underwater Acoustics edited by Charles R. Baker
The Journal of the Acoustical Society of America
Weather derivatives are a relatively recent innovation, but according to the Chicago Mercantile E... more Weather derivatives are a relatively recent innovation, but according to the Chicago Mercantile Exchange (CME), are the fastest growing derivative market today. They are used to manage weather related risks which previously were exclusively handled by insurance products, and represent the latest product in the continuing convergence of financial and insurance research and markets. A weather derivative pays- off based upon the realization of an underlying weather index, much like stock index based derivatives pays-off based upon a realization of the underlying stock index. The pay-off from a weather derivative can offset losses generated by adverse weather conditions. The use of these derivatives creates new risks, however, depending upon whether an exchange traded derivative or an over-the-counter (OTC) derivative is used. This paper examines the effectiveness of using a basis derivative strategy in conjunction with an exchange traded weather derivative to mitigate credit risk inher...
PRIDIT is a useful technique for Detecting Consumer fraud when no training sample is available.
Marketing researchers and managers often face situations with incomplete information for decision... more Marketing researchers and managers often face situations with incomplete information for decisionmaking. For example, when information needed for classification into strategic customer groups is lacking because of a disclosure social desirability bias. Consumers misbehaving through fraud are unlikely to self-disclose those actions. This is an increasing global problem for services and retailers. Detection of consumers misbehaving can be methodologically more difficult than studying other customer behaviors, since there may be no known observable dependent variable from surveys or observation for training standard statistical models.
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Miscellaneous Papers by Patrick Brockett