Related papers: Computing Gerber-Shiu function in the classical ri…

Many economic studies use shift-share instruments to estimate causal effects. Often, all shares need to fulfil an exclusion restriction, making the identifying assumption strict. This paper proposes to use methods that relax the exclusion…

An adaptive mesh refinement and error estimation method for numerically solving optimal control problems is developed using Legendre-Gauss-Radau direct collocation. In regions of the solution where the desired accuracy tolerance has not…

This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…

The volume penalty method provides a simple, efficient approach for solving the incompressible Navier-Stokes equations in domains with boundaries or in the presence of moving objects. Despite the simplicity, the method is typically limited…

The computational cost for inference and prediction of statistical models based on Gaussian processes with Mat\'ern covariance functions scales cubicly with the number of observations, limiting their applicability to large data sets. The…

In this research, a new numerical method is proposed for solving fractional Bratu type boundary value problems. Fractional derivatives are taken in Caputo sense. This method is predicated on iterative approach of reproducing kernel Hilbert…

In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a…

In this paper, we propose a numerical method for approximating the solution of a Cauchy singular integral equation defined on a closed, smooth contour in the complex plane. The coefficients and the right-hand side of the equation are…

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…

We introduce a new type of cubature formula for the evaluation of an integral over the disk with respect to a weight function. The method is based on an analysis of the Fourier series of the weight function and a reduction of the bivariate…

Statistical system models provide the basis for the examination of various sorts of distributions. Classification distributions are a very common and versatile form of statistics in e.g. real economic, social, and IT systems. The…

Conventional multiclass conditional probability estimation methods, such as Fisher's discriminate analysis and logistic regression, often require restrictive distributional model assumption. In this paper, a model-free estimation method is…

We consider a generalization of a functional equation that models the learning process in various animal species. The equation can be considered nonlocal, as it is built with a convex combination of the unknown function evaluated at mixed…

We consider a stochastic generalized Nash equilibrium problem (GNEP) with expected-value cost functions. Inspired by Yi and Pavel (Automatica, 2019), we propose a distributed GNE seeking algorithm by exploiting the forward-backward operator…

We describe a Schubert induction theorem, a tool for analyzing intersections on a Grassmannian over an arbitrary base ring. The key ingredient in the proof is the Geometric Littlewood-Richardson rule, described in a companion paper.…

The object of this paper is to introduce a new and fascinating method of solving large linear equations, based on Cramer's rule or Gaussian elimination but employing Sylvester's determinant identity in its computation process. In addition,…

There is a growing need for flexible statistical distributions that can accurately model data defined on the unit interval. This paper introduces a new unit distribution, termed the unit Shiha (USh) distribution, which is derived from the…

We used a collocation method in refinable spline space to solve a linear dynamical system having fractional derivative in time. The method takes advantage of an explicit derivation rule for the B-spline basis that allows us to efficiently…

In this article we solve the Cauchy problem for the relaxation equation posed in a framework of variable order fractional calculus. After introducing some general mathematical theory we establish concepts of Scarpi derivative and transition…

In actuarial practice, the usual independence assumptions for the collective risk model are often violated, implying a growing need for considering more general models that incorporate dependence. To this purpose, the present paper studies…