Related papers: Tail-GAN: Learning to Simulate Tail Risk Scenarios
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation…
Probabilistic inversion within a multiple-point statistics framework is often computationally prohibitive for high-dimensional problems. To partly address this, we introduce and evaluate a new training-image based inversion approach for…
Balancing performance trade-off on long-tail (LT) data distributions remains a long-standing challenge. In this paper, we posit that this dilemma stems from a phenomenon called "tail performance degradation" (the model tends to severely…
Traditional implicit generative models are capable of learning highly complex data distributions. However, their training involves distinguishing real data from synthetically generated data using adversarial discriminators, which can lead…
This paper captures irregularities in financial time series data, particularly stock prices, in the presence of COVID-19 shock. We conjectured that jumps and irregularities are embedded in stock data due to the pandemic shock, which brings…
Generative adversarial networks (GANs) are one of the most widely used generative models. GANs can learn complex multi-modal distributions, and generate real-like samples. Despite the major success of GANs in generating synthetic data, they…
Generative Adversarial Networks (GANs) are powerful models able to synthesize data samples closely resembling the distribution of real data, yet the diversity of those generated samples is limited due to the so-called mode collapse…
Reinsurance optimization is a cornerstone of solvency and capital management, yet traditional approaches often rely on restrictive distributional assumptions and static program designs. We propose a hybrid framework that combines…
We present a continual learning approach for generative adversarial networks (GANs), by designing and leveraging parameter-efficient feature map transformations. Our approach is based on learning a set of global and task-specific…
Generative adversarial imitation learning (GAIL) has shown promising results by taking advantage of generative adversarial nets, especially in the field of robot learning. However, the requirement of isolated single modal demonstrations…
One of the most significant challenges in statistical signal processing and machine learning is how to obtain a generative model that can produce samples of large-scale data distribution, such as images and speeches. Generative Adversarial…
Generative adversarial networks (GANs) learn a target probability distribution by optimizing a generator and a discriminator with minimax objectives. This paper addresses the question of whether such optimization actually provides the…
Conventional Generative Adversarial Networks (GANs) for text generation tend to have issues of reward sparsity and mode collapse that affect the quality and diversity of generated samples. To address the issues, we propose a novel…
In an environment of increasingly volatile financial markets, the accurate estimation of risk remains a major challenge. Traditional econometric models, such as GARCH and its variants, are based on assumptions that are often too rigid to…
Generative adversarial networks are generative models that are capable of replicating the implicit probability distribution of the input data with high accuracy. Traditionally, GANs consist of a Generator and a Discriminator which interact…
This paper introduces a flexible framework for the estimation of the conditional tail index of heavy tailed distributions. In this framework, the tail index is computed from an auxiliary linear regression model that facilitates estimation…
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing high quantiles and conditional Value at Risk (CVaR) of compound distributions using characteristic functions. A key innovation of the numerical…
We introduce adversarial learning methods for data-driven generative modeling of the dynamics of $n^{th}$-order stochastic systems. Our approach builds on Generative Adversarial Networks (GANs) with generative model classes based on stable…
We present a method to generate renewable scenarios using Bayesian probabilities by implementing the Bayesian generative adversarial network~(Bayesian GAN), which is a variant of generative adversarial networks based on two interconnected…
Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data. We develop a Bayesian framework based on the Generalized…