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In modern computer experiment applications, one often encounters the situation where various models of a physical system are considered, each implemented as a simulator on a computer. An important question in such a setting is determining…
Ensuring the safety of autonomous vehicles (AVs) requires both accurate estimation of their performance and efficient discovery of potential failure cases. This paper introduces Bayesian adaptive multifidelity sampling (BAMS), which…
Propensity Score Matching (PSM) is an useful method to reduce the impact ofTreatment - Selection Bias in the estimation of causal effects in observational studies. After matching, the PSM significantly reduces the sample under…
One of the key factors influencing the reasoning capabilities of LLM-based agents is their ability to leverage long-term memory. Integrating long-term memory mechanisms allows agents to make informed decisions grounded in historical…
This study models the monopoly pricing of weather index insurance as a Bowley-type sequential game involving a profit-maximizing insurer (leader) and a farmer (follower). The farmer chooses an insurance payoff to minimize a convex…
We introduce a new portfolio credit risk model based on Restricted Boltzmann Machines (RBMs), which are stochastic neural networks capable of universal approximation of loss distributions. We test the model on an empirical dataset of…
We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…
The increasing occurrence of continuous anomalous weather events has intensified the uncertainty in wind and photovoltaic power generation, posing significant challenges to the operation and optimization of building integrated energy…
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…
The subject of the present article is the study of correlations between large insurance companies and their contribution to systemic risk in the insurance sector. Our main goal is to analyze the conditional structure of the correlation on…
Frailty models are often the model of choice for heterogeneous survival data. A frailty model contains both random effects and fixed effects, with the random effects accommodating for the correlation in the data. Different estimation…
Meta-analysis is a statistical method used in evidence synthesis for combining, analyzing and summarizing studies that have the same target endpoint and aims to derive a pooled quantitative estimate using fixed and random effects models or…
Autonomous soundscape augmentation systems typically use trained models to pick optimal maskers to effect a desired perceptual change. While acoustic information is paramount to such systems, contextual information, including participant…
In this paper, we propose two important extensions to cluster-weighted models (CWMs). First, we extend CWMs to have generalized cluster-weighted models (GCWMs) by allowing modeling of non-Gaussian distribution of the continuous covariates,…
Electricity systems are experiencing increased effects of randomness and variability due to emerging stochastic assets. The increased effects introduce new uncertainties into power systems that can impact system operability and reliability.…
The operating status of power systems is influenced by growing varieties of factors, resulting from the developing sizes and complexity of power systems; in this situation, the modelbased methods need be revisited. A data-driven method, as…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…
As an emerging travel mode, the modular vehicle system (MVS) is receiving increasing attention. In particular, the operators could connect multiple modular vehicles as an assembled bus in response to the temporary demand varies. Therefore,…
This paper provides a framework to quantify the sensitivity associated with behavioral models based on Cumulative Prospect Theory (CPT). These are used to design dynamic pricing strategies aimed at maximizing performance metrics of the…