A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The Canonical Regression Quantile method predicts CEO compensation and future performance.
The high pay packages of U.S. CEOs have raised serious concerns about what would constitute a fair pay.
LLMs help less-resourced researchers access costly data.
Study proposes new framework for Board-CEO relationship.
The widening inequality in income distribution in recent years, and the associated excessive pay packages of CEOs in the U.S. and elsewhere, is of growing concern among policy makers as well as the common person. However, there seems to be no satisfactory answer, in conventional economic theories and models, to the fun…
The excessive compensation packages of CEOs of U.S. corporations in recent years have brought to the foreground the issue of fairness in economics. The conventional wisdom is that the free market for labor, which determines the pay packages, cares only about efficiency and not fairness. We present an alternative theory…
Higher CEO career breadth correlates with better firm performance.
Optimizes causal effects on unknown graphs using Causal Entropy Optimization.
Study examines how social media sentiment impacts biotech stocks.
Based on 46 in-depth interviews with scientists, engineers, and CEOs, this document presents a list of concrete machine research problems, progress on which would directly benefit tech ventures in East Africa.
This paper studies communication efficiency in federated learning by optimizing the sum-rate-distortion function for indirect multiterminal source coding.
Study shows how business cycle affects dividend payout based on managerial stock incentives.
Out-of-control information technology (IT) projects have ended the careers of top managers, such as EADS CEO Noel Forgeard and Levi Strauss' CIO David Bergen. Moreover, IT projects have brought down whole companies, like Kmart in the US and Auto Windscreen in the UK. Software and other IT is now such an integral part o…
This paper tests LLMs in finance to assess ethical behavior.
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
The study explores machine learning for predicting customer propensity-to-pay uncertainty.
Paper explores how risk-averse individuals' willingness to pay for insurance varies with risk probability.
We have successfully implemented the "Learn to Pay Attention" model of attention mechanism in convolutional neural networks, and have replicated the results of the original paper in the categories of image classification and fine-grained recognition.
Study finds farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
New risk theory for 'Pay-for-Performance' models.
Studies have shown that the people depicted in image search results tend to be of majority groups with respect to socially salient attributes. This skew goes beyond that which already exists in the world - e.g., Kay et al. showed that although 28% of CEOs in US are women, only 10% of the top 100 results for CEO in Goog…
In the context of a Black-Scholes economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European options on a stock paying a discrete dividend. Setting the option price error below the smallest monetary unity, both bounds coincide, and we obtain the exact value…
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent. By contrast, if poor agents are…
A new method combines MCMC results to avoid failures in parallel computing.
Investors pay for additional asset information based on utility maximization.
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The stochastic factor follows a Levy process. This specification allows us to consider asse…
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…
This paper optimizes ad bids and daily budgets for multiple campaigns in pay-per-click advertising.
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model the occurrence of claims according to a Poisson process. The ruin is achieved wh…
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-…
A new method for imputing missing data using graphical models.
NetDP predicts loan defaults using network data, addressing cold-start issues.
Every time drivers take to the road, and with each mile that they drive, exposes themselves and others to the risk of an accident. Insurance premiums are only weakly linked to mileage, however, and have lump-sum characteristics largely. The result is too much driving, and too many accidents. In this paper, we introduce…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for investigating the behaviour of the demographic variable "new entrants" and the influenc…
Researchers derive a new equation for valuing American options.
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off 1, others zero. The agents optimize the expectation value of their discounted fu…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to…
Rebellion Research's AI strategy outperformed the S&P 500 for 14 years.
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when t…
A simple formula approximates AUM fees' cumulative costs.
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with the common market practice …
The multi-armed restless bandit problem is studied in the case where the pay-off distributions are stationary -mixing. This version of the problem provides a more realistic model for most real-world applications, but cannot be optimally solved in practice, since it is known to be PSPACE-hard. The objective of …
Language Models (LMs) are important components in several Natural Language Processing systems. Recurrent Neural Network LMs composed of LSTM units, especially those augmented with an external memory, have achieved state-of-the-art results. However, these models still struggle to process long sequences which are more li…
This paper improves bidding price prediction for ancillary services markets, boosting revenues.
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that the protection buyer pays premium at fixed rate when the asset price is above a p…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…