Related papers: Adjustment coefficient for risk processes in some …
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…
We introduce and study the problem of calibrating conditional risk, which involves estimating the expected loss of a prediction model conditional on input features. We analyze this problem in both classification and regression settings and…
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before…
Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained…
Survival data with time-varying covariates are common in practice. If relevant, they can improve on the estimation of survival function. However, the traditional survival forests - conditional inference forest, relative risk forest and…
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding risk measure are postulated which imply its decomposability.…
We study the long time behavior (homogenization) of a diffusion in random medium with time and space dependent coefficients. The diffusion coefficient may degenerate. In Stochastic Process. Appl. (2007) (to appear), an invariance principle…
We respond to comments on our paper, titled "Instrumental variable estimation of the causal hazard ratio."
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest initial capital needed to ensure that the ultimate ruin…
A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the system suffers from competing soft and sudden failures, where…
We propose a flexible copula model to describe changes with a covariate in the dependence structure of (conditionally exchangeable) random variables. The starting point is a spline approximation to the generator of an Archimedean copula.…
The field of Contextual Optimization (CO) integrates machine learning and optimization to solve decision making problems under uncertainty. Recently, a risk sensitive variant of CO, known as Conditional Robust Optimization (CRO), combines…
We present here a new extended model of the gambler's ruin problem by incorporating delays in receiving of rewards and paying of penalties. When there is a difference between two delays, an exact analysis of the ruin probability is…
In this paper, we investigate the impact of test-time adversarial attacks on linear regression models and determine the optimal level of robustness that any model can reach while maintaining a given level of standard predictive performance…
Identifying causal relationships for a treatment intervention is a fundamental problem in health sciences. Randomized controlled trials (RCTs) are considered the gold standard for identifying causal relationships. However, recent…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum. The…
Although proportional hazard rate model is a very popular model to analyze failure time data, sometimes it becomes important to study the additive hazard rate model. Again, sometimes the concept of the hazard rate function is abstract, in…
Terms in diachronic text corpora may exhibit a high degree of semantic dynamics that is only partially captured by the common notion of semantic change. The new measure of context volatility that we propose models the degree by which terms…