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Reinforcement Learning (RL) has shown significant promise in automated portfolio management; however, effectively balancing risk and return remains a central challenge, as many models fail to adapt to dynamically changing market conditions.…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
Multi-criteria recommender systems have been increasingly valuable for helping consumers identify the most relevant items based on different dimensions of user experiences. However, previously proposed multi-criteria models did not take…
Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
Reward modeling is central to alignment pipelines such as RLHF, RLAIF, and PPO-based policy optimization, yet its reliability is constrained by limited and heterogeneous human preference data that are expensive to collect at scale. While…
Dropout represents a typical issue to be addressed when dealing with longitudinal studies. If the mechanism leading to missing information is non-ignorable, inference based on the observed data only may be severely biased. A frequent…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
This paper proposes three types of Bayesian CART (or BCART) models for aggregate claim amount, namely, frequency-severity models, sequential models and joint models. We propose a general framework for the BCART models applicable to data…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
We introduce a simple approach for testing the reliability of homogeneous generators and the Markov property of the stochastic processes underlying empirical time series of credit ratings. We analyze open access data provided by Moody's and…
In this paper, we consider the problem of learning models with a latent factor structure. The focus is to find what is possible and what is impossible if the usual strong factor condition is not imposed. We study the minimax rate and…
We consider the sequential decision-making problem of making proactive request assignment and rejection decisions for a profit-maximizing operator of an autonomous mobility on demand system. We formalize this problem as a Markov decision…
Joint models for longitudinal and survival data have become a popular framework for studying the association between repeatedly measured biomarkers and clinical events. Nevertheless, addressing complex survival data structures, especially…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
Probabilistic model checking traditionally verifies properties on the expected value of a measure of interest. This restriction may fail to capture the quality of service of a significant proportion of a system's runs, especially when the…
Consider a subject or unit in a longitudinal biomedical, public health, engineering, economic, or social science study which is being monitored over a possibly random duration. Over time this unit experiences competing recurrent events and…