Related papers: Two-dimensional forward and backward transition ra…
This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…
Transition risk can be defined as the business-risk related to the enactment of green policies, aimed at driving the society towards a sustainable and low-carbon economy. In particular, the value of certain firms' assets can be lower…
We consider a class of conditional forward-backward diffusion models for conditional generative modeling, that is, generating new data given a covariate (or control variable). To formally study the theoretical properties of these…
Projected priors were originally introduced to accommodate parameter constraints, but have recently regained popularity due to their ability to assign probability mass to low-dimensional parameter sets, such as the spaces of sparse vectors,…
Variations of the commonly applied landmark sampling are presented. These samplings are "forward" landmarking such that each stack of data is created by first selecting landmarks and then including the subsequent observations of the…
In this paper we review some results on time-homogeneous birth-death processes. Specifically, for truncated birth-death processes with two absorbing or two reflecting endpoints, we recall the necessary and sufficient conditions on the…
A method to direct evaluation of expectations for Langevin systems (stochastic differential equations) is proposed. The method is based on a birth-death process which is derived using combinations of dummy variables and It{\^o} formula. As…
Although proportional hazard rate model is a very popular model to analyze failure time data, sometimes it becomes important to study the additive hazard rate model. Again, sometimes the concept of the hazard rate function is abstract, in…
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…
We derive a general multiple state model for critical illness insurances. In contrast to the classical model, we take into account that the probability of death for a dread disease sufferer may depend on the duration of the disease, and the…
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual's consumption is met by an income, such as a pension, life annuity, or Social Security. Then, we consider the wealth that the…
Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the literature, lower order discrete time…
Time series prediction underpins a broad range of downstream tasks across many scientific domains. Recent advances and increasing adoption of black-box machine learning models for time series prediction highlight the critical need for…
Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms ``critical transition'' or ``tipping point'' have been used to describe this situation. Critical transitions have been…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…
In queueing theory, Lorden's inequality can be used for bounds estimation of the moments of backward and forward renewal times. Two random variables called backwards renewal time and forward renewal time for this process are defined.…
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a challenging prediction task as losses frequently take years…
Transfer learning assumes classifiers of similar tasks share certain parameter structures. Unfortunately, modern classifiers uses sophisticated feature representations with huge parameter spaces which lead to costly transfer. Under the…