Related papers: Computing the aggregate loss distribution based on…
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for…
Probabilistic survival analysis models seek to estimate the distribution of the future occurrence (time) of an event given a set of covariates. In recent years, these models have preferred nonparametric specifications that avoid directly…
In this article, we apply non-convex regularization methods in order to obtain stable estimation of loss development factors in insurance claims reserving. Among the non-convex regularization methods, we focus on the use of the log-adjusted…
Federated learning (FL) has been a promising approach in the field of medical imaging in recent years. A critical problem in FL, specifically in medical scenarios is to have a more accurate shared model which is robust to noisy and out-of…
Weighting methods are essential tools for estimating causal effects in observational studies, with the goal of balancing pre-treatment covariates across treatment groups. Traditional approaches pursue this objective indirectly, for example,…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…
The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk management and in many branches of applied probability. In this paper, we obtain analytic expressions for the probability density function (pdf)…
This paper proposes a novel approach to the statistical characterization of non-central complex Gaussian quadratic forms (CGQFs). Its key strategy is the generation of an auxiliary random variable (RV) that converges in distribution to the…
We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
Using Monte Carlo simulation to calculate the Value at Risk (VaR) as a possible risk measure requires adequate techniques. One of these techniques is the application of a compound distribution for the aggregates in a portfolio. In this…
Federated Learning (FL) typically aggregates client model parameters using a weighting approach determined by sample proportions. However, this naive weighting method may lead to unfairness and degradation in model performance due to…
In this paper, a recently developed numerical method to analyze dielectric-spectroscopy data is applied to $\alpha$-phase polyvinylidene fluoride (PVDF). The numerical procedure is non-parametric and does not contain any of the extensively…
Fusion learning refers to synthesizing inferences from multiple sources or studies to provide more effective inference and prediction than from any individual source or study alone. Most existing methods for synthesizing inferences rely on…
The generalized Pareto distribution (GPD) is a fundamental model for analyzing the tail behavior of a distribution. In particular, the shape parameter of the GPD characterizes the extremal properties of the distribution. As described in…
Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…
In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period…
A general inversion technique for the recovery of the underlying distribution function for observed galactic disks is presented and illustrated. Under the assumption that these disks are axi-symmetric and thin, the proposed method yields…
In this paper we obtain closed expressions for the probability distribution function, when we consider aggregated risks with multivariate dependent Pareto distributions. We work with the dependent multivariate Pareto type II proposed by…