Related papers: Two-dimensional forward and backward transition ra…
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random,…
We study convergence rates of variational posterior distributions for nonparametric and high-dimensional inference. We formulate general conditions on prior, likelihood, and variational class that characterize the convergence rates. Under…
This paper is motivated by computational challenges arising in multi-period valuation in insurance. Aggregate insurance liability cashflows typically correspond to stochastic payments several years into the future. However, insurance…
In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to the biometric state, the state process is…
Warranty policies play a crucial role in balancing customer satisfaction and cost of the manufacturer. Traditional one-dimensional warranty frameworks, based solely on either age or usage, often fail to capture the joint effect of product…
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…
Recently, matrix-valued time series data have attracted significant attention in the literature with the recognition of threshold nonlinearity representing a significant advance. However, given the fact that a matrix is a two-array…
In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are…
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is…
An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…
Random-matrix theory is applied to transition-rate matrices in the Pauli master equation. We study the distribution and correlations of eigenvalues, which govern the dynamics of complex stochastic systems. Both the cases of identical and of…
Forward regression is a statistical model selection and estimation procedure which inductively selects covariates that add predictive power into a working statistical regression model. Once a model is selected, unknown regression parameters…
This paper develops a methodology for approximating the posterior first two moments of the posterior distribution in Bayesian inference. Partially specified probability models, which are defined only by specifying means and variances, are…
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener…
A recently proposed stochastic hidden variable model for quantum mechanics has been claimed to involve "retrocausality" due to the appearance of equations of motion with future-time boundary conditions. We formulate an equivalent system of…
We consider the problem of how an individual can use term life insurance to maximize the probability of reaching a given bequest goal, an important problem in financial planning. We assume that the individual buys instantaneous term life…
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of…