相关论文: On systems of quotas based on bankruptcy with a pr…

In this work, we introduce a new acquisition function for sequential sampling to efficiently quantify rare-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. Our…

In survey statistics, the usual technique for estimating a population total consists in summing appropriately weighted variable values for the units in the sample. Different weighting systems exit: sampling weights, GREG weights or…

This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propagated into output uncertainty, reflecting that option prices…

Umbrella sampling efficiently yields equilibrium averages that depend on exploring rare states of a model by biasing simulations to windows of coordinate values and then combining the resulting data with physical weighting. Here, we…

A common method for assessing validity of Bayesian sampling or approximate inference methods makes use of simulated data replicates for parameters drawn from the prior. Under continuity assumptions, quantiles of functions of the simulated…

This study proposes a mixture cure model that latently divides a population based on event occurrence within a finite time horizon. Conventional models rely on event occurrence over an infinite horizon, introducing untestable assumptions…

A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

We propose and estimate a model of demand and supply of annuities. To this end, we use rich data from Chile, where annuities are bought and sold in a private market via a two-stage process: first-price auctions followed by bargaining. We…

Systems of indirect voting based on the principle of qualified majority can be analysed using the methods of game theory. In particular, this applies to the voting system in the Council of the European Union, which was recently a subject of…

In this paper we extend the equal division and the equal surplus division values for transferable utility cooperative games to the more general setup of transferable utility cooperative games with a priori unions. In the case of the equal…

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural…

A novel method is proposed to infer Bayesian predictions of computationally expensive models. The method is based on the construction of quadrature rules, which are well-suited for approximating the weighted integrals occurring in Bayesian…

In this paper we present a MATLAB version of a non-standard finite difference scheme for the numerical solution of the perpetual American put option models of financial markets. These models can be derived from the celebrated Black-Scholes…

The use of surrogate models instead of computationally expensive simulation codes is very convenient in engineering. Roughly speaking, there are two kinds of surrogate models: the deterministic and the probabilistic ones. These last are…

In this paper, we study the problem of Participatory Budgeting (PB) with approval ballots, inspired by Multi-Winner Voting schemes. We present generalized preference aggregation methods for participatory budgeting, especially for finding…

In this paper, we introduce a classical algorithm for random sampling of permutations, drawing inspiration from the Steinhaus-Johnson-Trotter algorithm. Our approach takes a comprehensive view of permutation sampling by expressing them as…

Ordered pivotal sampling is one of the simplest algorithm to perform without-replacement unequal probability sampling. It has found uses in the context of longitudinal surveys and spatial sampling, and enables in particular a good spatial…

Current pooling rules for multiply imputed data assume infinite populations. In some situations this assumption is not feasible as every unit in the population has been observed, potentially leading to over-covered population estimates. We…

This paper presents an out-of-sample prediction comparison between major machine learning models and the structural econometric model. Over the past decade, machine learning has established itself as a powerful tool in many prediction…