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Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a…
Social network analysis presupposes that observed social behavior is influenced by an unobserved network. Traditional approaches to inferring the latent network use pairwise descriptive statistics that rely on a variety of measures of…
This article investigates retirement decumulation behaviours using the Grouped Fixed-Effects (GFE) estimator applied to Australian panel data on drawdowns from phased withdrawal retirement income products. Behaviours exhibited by the…
Cap-based regulations are widely used to address distributional disparities in matching markets, but their efficiency relative to alternative instruments such as subsidies remains poorly understood. This paper develops a framework for…
It has been shown by A.-L. Barabasi that the priority based scheduling rules in single stage queuing systems (QS) generates fat tail behavior for the tasks waiting time distributions (WTD). Such fat tails are due to the waiting times of…
We motivate and analyse a new Tree Search algorithm, GPTS, based on recent theoretical advances in the use of Gaussian Processes for Bandit problems. We consider tree paths as arms and we assume the target/reward function is drawn from a GP…
This paper quantitatively explores the interaction effect of forward guidance (FG) on international monetary policy transmission using a standard two-country new Keynesian model with a global liquidity trap. First, we show that the…
Many statistical problems include model parameters that are defined as the solutions to optimization sub-problems. These include classical approaches such as profile likelihood as well as modern applications involving flow networks or…
Regret in stochastic multi-armed bandits traditionally measures the difference between the highest reward and either the arithmetic mean of accumulated rewards or the final reward. These conventional metrics often fail to address fairness…
This paper proposes a positional poverty gap measure of multidimensional poverty within the Alkire-Foster counting framework. The measure captures the depth of deprivations even when indicators are ordinal, unlike the standard poverty gap,…
This work reports a quantitative analysis to predicting the efficiency of distributed computing running in three models of complex networks: Barab\'asi-Albert, Erd\H{o}s-R\'enyi and Watts-Strogatz. A master/slave computing model is…
We introduce and study a fractional variant of the linear birth-death process, namely, the generalized fractional linear birth-death process (GFLBDP) which is defined by taking the regularized Hilfer-Prabhakar derivative in the system of…
Time-limited states characterise many dynamical processes on networks: disease infected individuals recover after some time, people forget news spreading on social networks, or passengers may not wait forever for a connection. These…
This research explores the opportunities for the application of network analytic techniques to prevent money laundering. We worked on real world data by analyzing the central database of a factoring company, mainly operating in Italy, over…
We present a theory for the low-temperature properties of a resonantly interacting Fermi mixture in a trap, that goes beyond the local-density approximation. The theory corresponds essentially to a Landau-Ginzburg-like approach that…
In this paper we introduce a new method to add a parameter to a family of distributions. The additional parameter is completely studied and a full description of its behaviour in the distribution is given. We obtain several mathematical…
Finite Gaussian mixture models provide a powerful and widely employed probabilistic approach for clustering multivariate continuous data. However, the practical usefulness of these models is jeopardized in high-dimensional spaces, where…
We revisit the classic regret-minimization problem in the stochastic multi-armed bandit setting when the arm-distributions are allowed to be heavy-tailed. Regret minimization has been well studied in simpler settings of either bounded…
In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…
In this paper we study a broad class of distribution functions which is defined by means of reflected generalized beta distribution. This class includes that of Beta-generated distribution as a special case. In particular, we use this class…