Related papers: Asymptotics for a nonstandard risk model with mult…
We consider the infinite-horizon average-reward restless bandit problem. We propose a novel \emph{two-set policy} that maintains two dynamic subsets of arms: one subset of arms has a nearly optimal state distribution and takes actions…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with an infinite time horizon. Specifically, the data are…
For a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date. We have T observations with a sampling frequency h over a…
We consider survival data in the presence of a cure fraction, meaning that some subjects will never experience the event of interest. We assume a mixture cure model consisting of two sub-models: one for the probability of being uncured…
In this article, we address the problem of risk assessment of stealthy attacks on uncertain control systems. Considering data injection attacks that aim at maximizing impact while remaining undetected, we use the recently proposed…
This paper investigates asymptotic minimaxity properties of Bayesian multiple testing rules in the sparse Gaussian sequence model using a broad class of global-local scale mixtures of normals as priors for the means. Minimaxity is studied…
We consider structural vector autoregressions subject to 'narrative restrictions', which are inequality restrictions on functions of the structural shocks in specific periods. These restrictions raise novel problems related to…
We study asymptotic properties of spatially non-homogeneous random walks with non-integrable increments, including transience, almost-sure bounds, and existence and non-existence of moments for first-passage and last-exit times. In our…
This paper develops an asymptotic distribution theory for an endogenous instrumentation approach in quantile predictive regressions when both generated covariates and persistent predictors are used. The generated covariates are obtained…
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite their resemblance, asymptotic theory for ACD is challenging and…
We consider the problem of efficient inference of the Average Treatment Effect in a sequential experiment where the policy governing the assignment of subjects to treatment or control can change over time. We first provide a central limit…
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…
There remain theoretical gaps in deep neural network estimators for the nonparametric Cox proportional hazards model. In particular, it is unclear how gradient-based optimization error propagates to population risk under partial likelihood,…
For a risk process $R_u(t)=u+ct-X(t), t\ge 0$, where $u\ge 0$ is the initial capital, $c>0$ is the premium rate and $X(t),t\ge 0$ is an aggregate claim process, we investigate the probability of the Parisian ruin \[…
We test a regime-conditional functional-form restriction on aggregate risk-exposure dynamics implied by VaR-constrained intermediary models: exposures contract multiplicatively when capital constraints bind and grow additively…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…
The problem of overdispersed claim counts and mismeasured covariates is common in insurance. On the one hand, the presence of overdispersion in the count data violates the homogeneity assumption, and on the other hand, measurement errors in…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…