Related papers: Generalized Fractional Risk Process
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…
This tutorial aims to provide an intuitive introduction to Gaussian process regression (GPR). GPR models have been widely used in machine learning applications due to their representation flexibility and inherent capability to quantify…
Grey system theory is an important mathematical tool for describing uncertain information in the real world. It has been used to solve the uncertainty problems specially caused by lack of information. As a novel theory, the theory can deal…
We introduce a novel framework to account for sensitivity to rewards uncertainty in sequential decision-making problems. While risk-sensitive formulations for Markov decision processes studied so far focus on the distribution of the…
We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures, Value-at-Risk and Expected Shortfall (also known as…
Expectations of marginals conditional on the total risk of a portfolio are crucial in risk-sharing and allocation. However, computing these conditional expectations may be challenging, especially in critical cases where the marginal risks…
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…
A regression method for proportional, or fractional, data with mixed effects is outlined, designed for analysis of datasets in which the outcomes have substantial weight at the bounds. In such cases a normal approximation is particularly…
The risk of cascading blackouts greatly relies on failure probabilities of individual components in power grids. To quantify how component failure probabilities (CFP) influences blackout risk (BR), this paper proposes a sample-induced…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model…
Sparse variational approximations allow for principled and scalable inference in Gaussian Process (GP) models. In settings where several GPs are part of the generative model, theses GPs are a posteriori coupled. For many applications such…
Conformal prediction (CP) is a method for constructing a prediction interval around the output of a fitted model, whose validity does not rely on the model being correct--the CP interval offers a coverage guarantee that is…
This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and…
In this article we propose a general class of risk measures which can be used for data based evaluation of parametric models. The loss function is defined as generalized quadratic distance between the true density and the proposed model.…
Often we wish to predict a large number of variables that depend on each other as well as on other observed variables. Structured prediction methods are essentially a combination of classification and graphical modeling, combining the…
Geostatistics is a branch of statistics concerned with stochastic processes over continuous domains, with Gaussian processes (GPs) providing a flexible and principled modelling framework. However, the high computational cost of simulating…
We propose a new method named the Conditional Randomization Rank Test (CRRT) for testing conditional independence of a response variable Y and a covariate variable X, conditional on the rest of the covariates Z. The new method generalizes…
We analyze generalized space-time fractional motions on undirected networks and lattices. The continuous-time random walk (CTRW) approach of Montroll and Weiss is employed to subordinate a space fractional walk to a generalization of the…