Related papers: Calculation of aggregate loss distributions
In stochastic processes with absorbing states, the quasi-stationary distribution provides valuable insights into the long-term behaviour prior to absorption. In this work, we revisit two well-established numerical methods for its…
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete probabilities attached to each observation used during…
Probabilistic inference in graphical models is the task of computing marginal and conditional densities of interest from a factorized representation of a joint probability distribution. Inference algorithms such as variable elimination and…
The importance of accurately quantifying forecast uncertainty has motivated much recent research on probabilistic forecasting. In particular, a variety of deep learning approaches has been proposed, with forecast distributions obtained as…
Estimation of the response probability distributions of computer simulators in the presence of randomness is a crucial task in many fields. However, achieving this task with guaranteed accuracy remains an open computational challenge,…
We consider the problem of solving a large-scale system of linear equations in a distributed or federated manner by a taskmaster and a set of machines, each possessing a subset of the equations. We provide a comprehensive comparison of two…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
We introduce a new numerical method for the computation of the inverse nonlinear Fourier transform and compare its computational complexity and accuracy to those of other methods available in the literature. For a given accuracy, the…
We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distribution, given through probabilities, correlations and the…
The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known. Two examples illustrate that…
This paper proposes a new theory and methodology to tackle the problem of unifying distributed analyses and inferences on shared parameters from multiple sources, into a single coherent inference. This surprisingly challenging problem…
Heavy-tailed probability distributions are extremely useful and play a crucial role in modeling different types of financial data sets. This study presents a two-pronged methodology. First, a mixture probability distribution is created by…
This paper is motivated by computational challenges arising in multi-period valuation in insurance. Aggregate insurance liability cashflows typically correspond to stochastic payments several years into the future. However, insurance…
We suggest a new approach for the automatic and fully numerical evaluation of one-loop scattering amplitudes in perturbative quantum field theory. We use suitably formulated dispersion relations to perform the calculation as a convolution…
Design and operation of complex engineering systems rely on reliability optimization. Such optimization requires us to account for uncertainties expressed in terms of compli-cated, high-dimensional probability distributions, for which only…
In this paper we explore ways of numerically computing recursive dynamic monetary risk measures and utility functions. Computationally, this problem suffers from the curse of dimensionality and nested simulations are unfeasible if there are…
The interpretation of new particle search results involves a confidence level calculation on either the discovery hypothesis or the background-only ("null") hypothesis. A typical approach uses toy Monte Carlo experiments to build an…
We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: an infection attempt generated by defaulting entities and a…
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate…
Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around $\mathbb{R}\subset \mathbb{C}$. The Fourier transform techniques reduces calculation…