相关论文: On some multivariate Sarmanov mixed Erlang reinsur…

In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs…

This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a…

In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…

Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a…

Despite the fact that the Euler allocation principle has been adopted by many financial institutions for their internal capital allocation process, a comprehensive description of Euler allocation seems still to be missing. We try to fill…

This article concerns a class of generalized linear mixed models for clustered data, where the random effects are mapped uniquely onto the grouping structure and are independent between groups. We derive necessary and sufficient conditions…

This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…

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…

We consider deep multivariate models for heterogeneous collections of random variables. In the context of computer vision, such collections may e.g. consist of images, segmentations, image attributes, and latent variables. When developing…

This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…

Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…

In this paper we introduce a bivariate distribution on $\mathbb{R}_{+} \times \mathbb{N}$ arising from a single underlying Markov jump process. The marginal distributions are phase-type and discrete phase-type distributed, respectively,…

The multi-agent setting is intricate and unpredictable since the behaviors of multiple agents influence one another. To address this environmental uncertainty, distributional reinforcement learning algorithms that incorporate uncertainty…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

The ability to estimate joint, conditional and marginal probability distributions over some set of variables is of great utility for many common machine learning tasks. However, estimating these distributions can be challenging,…

Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…

In this article, we propose a penalized clustering method for large scale data with multiple covariates through a functional data approach. In the proposed method, responses and covariates are linked together through nonparametric…

In this paper, we establish novel concentration inequalities for additive functionals of geometrically ergodic Markov chains similar to Rosenthal inequalities for sums of independent random variables. We pay special attention to the…

Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the…

Let $X_1,\,X_2,\,\ldots,\,X_N$, $N\in\mathbb{N}$ be independent but not necessarily identically distributed discrete and integer-valued random variables. Assume that $X_1\geqslant m_1$, $X_2\geqslant m_2$, $\ldots$, $X_N\geqslant m_N$…