相关论文: Individual claims reserving using the Aalen--Johan…

Capture-recapture methods aim to estimate the size of a closed population on the basis of multiple incomplete enumerations of individuals. In many applications, the individual probability of being recorded is heterogeneous in the…

Latent variable models are popularly used to measure latent factors (e.g., abilities and personalities) from large-scale assessment data. Beyond understanding these latent factors, the covariate effect on responses controlling for latent…

We consider the problem of collaborative personalized mean estimation under a privacy constraint in an environment of several agents continuously receiving data according to arbitrary unknown agent-specific distributions. In particular, we…

In this paper, we propose a distributed state-and-fault estimation scheme for multi-agent systems. The proposed estimator is based on an $\ell_1$-norm optimization problem, which is inspired by sparse signal recovery in the field of…

Survival analysis, or time-to-event modelling, is a classical statistical problem that has garnered a lot of interest for its practical use in epidemiology, demographics or actuarial sciences. Recent advances on the subject from the point…

Inferential models have been proposed for valid and efficient prior-free probabilistic inference. As it gradually gained popularity, this theory is subject to further developments for practically challenging problems. This paper considers…

Conformal prediction methods are statistical tools designed to quantify uncertainty and generate predictive sets with guaranteed coverage probabilities. This work introduces an innovative refinement to these methods for classification…

Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…

Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…

Traditionally, population models distinguish individuals on the basis of their current state. Given a distribution, a discrete time model then specifies (precisely in deterministic models, probabilistically in stochastic models) the…

Density regression characterizes the conditional density of the response variable given the covariates, and provides much more information than the commonly used conditional mean or quantile regression. However, it is often computationally…

The mathematical model of surfactant adsorption under mixed barrier-diffusion control is analyzed using techniques from fractional calculus. The kinetic models of Henry, Langmuir, Frumkin, Volmer and van der Waals are considered. First,…

The task of state estimation in active distribution systems faces a major challenge due to the integration of different measurements with multiple reporting rates. As a result, distribution systems are essentially unobservable in real time,…

Understanding large-scale patterns in student course enrollment is a problem of great interest to university administrators and educational researchers. Yet important decisions are often made without a good quantitative framework of the…

In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…

We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive…

We consider perpetuities of the form D = B_1 exp(Y_1) + B_2 exp(Y_1+Y_2) + ... where the Y_j's and B_j's might be i.i.d. or jointly driven by a suitable Markov chain. We assume that the Y_j's satisfy the so-called Cramer condition with…

Multimorbidity in older adults is common, heterogeneous, and highly dynamic, and it is strongly associated with disability and increased healthcare utilization. However, existing approaches to studying multimorbidity trajectories are…

This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a…

This paper develops theory for feasible estimators of finite-dimensional parameters identified by general conditional quantile restrictions, under much weaker assumptions than previously seen in the literature. This includes instrumental…