Related papers: Surplus-invariant risk measures
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
In this technical communique we study the maximal robust positively invariant set for state-constrained continuous-time nonlinear systems subjected to a bounded disturbance. Extending results from the theory of barriers, we show that this…
Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…
This article discusses two recent works by the author, one with Brown and Hurtado on Zimmer's conjecture and one with Bader, Miller and Stover on totally geodesic submanifolds of real and complex hyperbolic manifolds. The main purpose of…
This paper proposes a new methodological framework for estimating inferential models with latent variables. It also introduces a new latent variable regression model called LARX: an extension of the ubiquitous autoregressive model with…
We begin the study of the consequences of the existence of certain infinite matrices. Our present application is to compactness of products of topological spaces.
In this work, we develop a formal system of inductive logic. It uses an infinitary language that allows for countable conjunctions and disjunctions. It is based on a set of nine syntactic rules of inductive inference, and contains classical…
In this survey, we review the literature on inverse problems in topological persistence theory. The first half of the survey is concerned with the question of surjectivity, i.e. the existence of right inverses, and the second half focuses…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
Diversities are a generalization of metric spaces, where instead of the non-negative function being defined on pairs of points, it is defined on arbitrary finite sets of points. Diversities have a well-developed theory. This includes the…
Lattice gauge theory's discretization of spacetime suffers from a drawback in that Lorentz covariance is lost because the axes of the lattice create preferred directions in spacetime. Smaller and smaller lattice spacings decrease the effect…
We consider a randomly forced Ginzburg-Landau equation on an unbounded domain. The forcing is smooth and homogeneous in space and white noise in time. We prove existence and smoothness of solutions, existence of an invariant measure for the…
Variational inequalities have gained significant attention in machine learning and optimization research. While stochastic methods for solving these problems typically assume independent data sampling, we investigate an alternative approach…
A crucial step in the history of General Relativity was Einstein's adoption of the principle of general covariance which demands a coordinate independent formulation for our spacetime theories. General covariance helps us to disentangle a…
Borrowing the idea of topological pressure determining measure-theoretical entropy in topological dynamical systems, we establish a variational principle for upper metric mean dimension with potential in terms of upper measure-theoretical…
In this paper we describe a theory of a cumulative distribution function on a space with an order from a probability measure defined in this space. This distribution function plays a similar role to that played in the classical case.…
Neural networks are becoming increasingly prevalent in software, and it is therefore important to be able to verify their behavior. Because verifying the correctness of neural networks is extremely challenging, it is common to focus on the…
Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…