Related papers: On a risk model with tree-structured Poisson Marko…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
We study the influence of the seed in random trees grown according to the uniform attachment model, also known as uniform random recursive trees. We show that different seeds lead to different distributions of limiting trees from a total…
We present a general construction for dependent random measures based on thinning Poisson processes on an augmented space. The framework is not restricted to dependent versions of a specific nonparametric model, but can be applied to all…
Climate models have become an important tool in the study of climate and climate change, and ensemble experiments consisting of multiple climate-model runs are used in studying and quantifying the uncertainty in climate-model output.…
We provide a comprehensive review of causal dependence through a max-linear structural equation model. Such models express each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some…
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…
Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…
In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
Although regression trees were originally designed for large datasets, they can profitably be used on small datasets as well, including those from replicated or unreplicated complete factorial experiments. We show that in the latter…
A covariance graph is an undirected graph associated with a multivariate probability distribution of a given random vector where each vertex represents each of the different components of the random vector and where the absence of an edge…
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…
Tree-based ensemble methods, as Random Forests and Gradient Boosted Trees, have been successfully used for regression in many applications and research studies. Furthermore, these methods have been extended in order to deal with uncertainty…
Extreme events over large spatial domains may exhibit highly heterogeneous tail dependence characteristics, yet most existing spatial extremes models yield only one dependence class over the entire spatial domain. To accurately characterize…
We study random trees which are invariant in law under the operation of contracting each edge independently with probability $p\in(0,1)$. We show that all such trees can be constructed through Poissonian sampling from a certain class of…
Understanding the temporal dependence of precipitation is key to improving weather predictability and developing efficient stochastic rainfall models. We introduce an information-theoretic approach to quantify memory effects in discrete…
In this paper, we consider the problem of experience rating within the classic Markov chain life insurance framework. We begin by establishing a link between mixed Poisson distributions and the problem of pricing group disability insurance…
Understanding the evolution of binary traits, which affects the birth and survival of species and also the rate of molecular evolution, remains challenging. A typical example is the evolution of mating systems in plant species. In this…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…