Related papers: Two-dimensional forward and backward transition ra…
The goal of this paper is to provide theorems on convergence rates of posterior distributions that can be applied to obtain good convergence rates in the context of density estimation as well as regression. We show how to choose priors so…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the…
Identifying causal relationships for a treatment intervention is a fundamental problem in health sciences. Randomized controlled trials (RCTs) are considered the gold standard for identifying causal relationships. However, recent…
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…
We suggest an approach to obtaining general two-sided bounds on the rate of convergence in terms of special "weighted" norms related to total variation. Some important classes of continuous-time Markov chains are considered:…
We consider the problem of estimating the transition rate matrix of a continuous-time Markov chain from a finite-duration realisation of this process. We approach this problem in an imprecise probabilistic framework, using a set of prior…
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of…
This paper investigates biological models that represent the transition equation from a system in the past to a system in the future. It is shown that finite-time Lyapunov exponents calculated along a locally pullback attractive solution…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
Simulations with an adaptive time-dependent bias, such as metadynamics, enable an efficient exploration of the conformational space of a system. However, the dynamic information of the system is altered by the bias. With infrequent…
Pairwise comparison matrices have received substantial attention in a variety of applications, especially in rank aggregation, the task of flattening items into a one-dimensional (and thus transitive) ranking. However, non-transitive…
Forward Gradients - the idea of using directional derivatives in forward differentiation mode - have recently been shown to be utilizable for neural network training while avoiding problems generally associated with backpropagation gradient…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
Forward complete systems are guaranteed to have solutions that exist globally for all positive time. In this paper, a relaxed Lyapunov-like condition for forward completeness is presented for finite-dimensional systems defined on open sets…
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shift part of the financial risk to a reinsurer, we solve the…
Causal reversibility blends reversibility and causality for concurrent systems. It indicates that an action can be undone provided that all of its consequences have been undone already, thus making it possible to bring the system back to a…
Estimating customer lifetime value (CLV or LTV) is extremely important for making better business decisions. The proposed flexible proportional hazards model allows an estimation of lifetime value in contractual settings. This approach…
Marginal structural models were introduced in order to provide estimates of causal effects from interventions based on observational studies in epidemiological research. The key point is that this can be understood in terms of Girsanov's…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…