Related papers: Dynamic and granular loss reserving with copulae
Estimands using the treatment policy strategy for addressing intercurrent events are common in Phase III clinical trials. One estimation approach for this strategy is retrieved dropout whereby observed data following an intercurrent event…
Conformal predictive systems are sets of predictive distributions with theoretical out-of-sample calibration guarantees. The calibration guarantees are typically that the set of predictions contains a forecast distribution whose prediction…
Ill-posed configurations, such as collinear or coplanar point arrangements, are a persistent challenge in computational geometry, complicating tasks as in triangulation and convex hull construction. This paper discusses the probability of…
Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent…
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in the existing literature. This paper builds on two novel…
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a…
The development of mobile cloud computing has brought many benefits to mobile users as well as cloud service providers. However, mobile cloud computing is facing some challenges, especially security-related problems due to the growing…
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the…
This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the…
The objective of the cover location models is covering demand by facilities within a given distance. The gradual (or partial) cover replaces abrupt drop from full cover to no cover by defining gradual decline in cover. In this paper we use…
The ability to estimate resource consumption of SQL queries is crucial for a number of tasks in a database system such as admission control, query scheduling and costing during query optimization. Recent work has explored the use of…
Missing observations are pervasive throughout empirical research, especially in the social sciences. Despite multiple approaches to dealing adequately with missing data, many scholars still fail to address this vital issue. In this paper,…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
We consider the task of assessing the righthand tail of an insurer's loss distribution for some specified period, such as a year. We present and analyse six different approaches: four upper bounds, and two approximations. We examine these…
With insurers benefiting from ever-larger amounts of data of increasing complexity, we explore a data-driven method to model dependence within multilevel claims in this paper. More specifically, we start from a non-parametric estimator for…
This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems with reserve-dependent premiums with Cram{\'e}r-Lundberg…
We propose a new reservoir computing method for forecasting high-resolution spatiotemporal datasets. By combining multi-resolution inputs from coarser to finer layers, our architecture better captures both local and global dynamics. Applied…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
The high penetration of converter-based renewable energy sources has brought challenges to the power system frequency control. It is essential to consider the frequency security constraints and frequency control reserve requirements in unit…