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We propose a variation on wavefield reconstruction inversion for seismic inversion, which takes advantage of randomized linear algebra as a way to overcome the typical limitations of conventional inversion techniques. Consequently, we can…
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…
We show that the variational representations for f-divergences currently used in the literature can be tightened. This has implications to a number of methods recently proposed based on this representation. As an example application we use…
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide…
Imbalances in covariates between treatment groups are frequent in observational studies and can lead to biased comparisons. Various adjustment methods can be employed to correct these biases in the context of multi-level treatments ($>$ 2).…
In this paper, we review and apply several approaches to model selection for analysis of variance models which are used in a credibility and insurance context. The reversible jump algorithm is employed for model selection, where posterior…
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…
In this paper a new distribution is proposed. This new model provides more flexibility to modeling data with upside-down bathtub hazard rate function. A significant account of mathematical properties of the new distribution is presented.…
While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to…
We present a new hybrid direct/iterative approach to the solution of a special class of saddle point matrices arising from the discretization of the steady incompressible Navier-Stokes equations on an Arakawa C-grid. The two-level method…
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean…
Uncertainties from deepening penetration of renewable energy resources have posed critical challenges to the secure and reliable operations of future electric grids. Among various approaches for decision making in uncertain environments,…
Two-phase sampling designs are frequently employed in epidemiological studies and large-scale health surveys. In such designs, certain variables are exclusively collected within a second-phase random subsample of the initial first-phase…
We analyze variational inference for highly symmetric graphical models such as those arising from first-order probabilistic models. We first show that for these graphical models, the tree-reweighted variational objective lends itself to a…
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes. The method can be understood as providing correction…
Tweedie regression models provide a flexible family of distributions to deal with non-negative highly right-skewed data as well as symmetric and heavy tailed data and can handle continuous data with probability mass at zero. The estimation…
We apply covariate adjustment to the Wincoxon two sample statistic and Wincoxon-Mann-Whitney test in comparing two treatments. The covariate adjustment through calibration not only improves efficiency in estimation/inference but also widens…
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other hand, its multivariate version has received little attention…