相关论文: On Technical Bases and Surplus in Life Insurance
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
In this paper, we present a probabilistic adaptation of an Assume/Guarantee contract formalism. For the sake of generality, we assume that the extended state machines used in the contracts and implementations define sets of runs on a given…
Many economic theory models incorporate finiteness assumptions that, while introduced for simplicity, play a real role in the analysis. We provide a principled framework for scaling results from such models by removing these finiteness…
Proportional mean residual life model is studied for analysing survival data from the case-cohort design. To simultaneously estimate the regression parameters and the baseline mean residual life function, weighted estimating equations based…
We introduce the most general class of linear boundary-value problems for systems of first-order ordinary differential equations whose solutions belong to the complex H\"older space $C^{n+1,\alpha}$, with $0\leq n\in\mathbb{Z}$ and…
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…
Stochastic network calculus is a newly developed theory for stochastic service guarantee analysis of computer networks. In the current stochastic network calculus literature, its fundamental models are based on the cumulative amount of…
Markov basis for statistical model of contingency tables gives a useful tool for performing the conditional test of the model via Markov chain Monte Carlo method. In this paper we derive explicit forms of Markov bases for change point…
Dynamical systems governed by priority rules appear in the modeling of emergency organizations and road traffic. These systems can be modeled by piecewise linear time-delay dynamics, specifically using Petri nets with priority rules. A…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
A one-step analysis of Anderson acceleration with general algorithmic depths is presented. The resulting residual bounds within both contractive and noncontractive settings reveal the balance between the contributions from the higher and…
Clinical studies sometimes encounter truncation by death, rendering outcomes undefined. Statistical analysis based solely on observed survivors may give biased results because the characteristics of survivors differ between treatment…
In spite of the recent surge of interest in quantile regression, joint estimation of linear quantile planes remains a great challenge in statistics and econometrics. We propose a novel parametrization that characterizes any collection of…
Max-Plus Linear (MPL) systems are an algebraic formalism with practical applications in transportation networks, manufacturing and biological systems. In this paper, we investigate the problem of automatically analyzing the properties of…
Pharmaceutical markets for life-saving therapies combine monopoly power with insurance coverage. We build a tractable sequential game in which a patent-holder chooses the drug price, a profit-maximising insurer sets its premium, and a…
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian processes which arise in financial and insurance mathematics,…
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the…
In floppy mechanical lattices, robust edge states and bulk Weyl modes are manifestations of underlying topological invariants. To explore the universality of these phenomena independent of microscopic detail, we formulate topological…
We propose a resilience-based framework for computing feasible assume-guarantee contracts that ensure the satisfaction of temporal specifications in interconnected discrete-time systems. Interconnection effects are modeled as structured…
A reciprocal LASSO (rLASSO) regularization employs a decreasing penalty function as opposed to conventional penalization approaches that use increasing penalties on the coefficients, leading to stronger parsimony and superior model…