Related papers: Asymptotics for aggregated interdependent multivar…

This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…

While there is an extensive body of research on the analysis of Value Iteration (VI) for discounted cumulative-reward MDPs, prior work on analyzing VI for (undiscounted) average-reward MDPs has been limited, and most prior results focus on…

In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these hybrid markets, Artzner et al. (2022) introduced the notion…

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error…

This paper investigates the properties of Quasi Maximum Likelihood estimation of an approximate factor model for an $n$-dimensional vector of stationary time series. We prove that the factor loadings estimated by Quasi Maximum Likelihood…

We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…

Over the past decade, characterizing the exact asymptotic risk of regularized estimators in high-dimensional regression has emerged as a popular line of work. This literature considers the proportional asymptotics framework, where the…

The paper considers the problem of distributed adaptive linear parameter estimation in multi-agent inference networks. Local sensing model information is only partially available at the agents and inter-agent communication is assumed to be…

We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…

The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…

We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…

We introduce a new framework for creating point-wise confidence intervals for the distribution of event times for current status data. Existing methods are based on asymptotics. Our framework is based on binomial properties and motivates…

This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…

Randomized experiments have become important tools in empirical research. In a completely randomized treatment-control experiment, the simple difference in means of the outcome is unbiased for the average treatment effect, and covariate…

We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…

In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…

For a typical insurance portfolio, the claims process for a short period, typically one year, is characterized by observing frequency of claims together with the associated claims severities. The collective risk model describes this…

We investigate the asymptotic risk of a general class of overparameterized likelihood models, including deep models. The recent empirical success of large-scale models has motivated several theoretical studies to investigate a scenario…

This paper is a survey of recent contributions on estimation in stochastic differential equations with mixed-effects. These models involve N stochastic differential equations with common drift and diffusion functions but random parameters…

In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is…