arXiv research

This paper revisits optimal investment strategies for defined contribution pension schemes using forward preferences.

In this paper, a regional knot invariant is constructed. Like the Wirtinger presentation of a knot group, each planar region contributes a generator, and each crossing contributes a relation. The invariant is call a tridle of the link. As in the quandle theory, one can define Alexander quandle and get Alexander polynom…

The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.

Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is possible to determine quantile-based values-at-risk (VaRs) for the portfolio. An o…

This paper introduces Sigma, a domain-specific computational representation for collaboration in large-scale for the field of economics. A computational representation is not a programming language or a software platform. A computational representation is a domain-specific representation system based on three specific …

Study on risk contributions of portfolios using lambda quantile risk measures.

Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.

Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked security, typically a lo…

We study Tikhonov regularization for solving ill--posed operator equations where the solutions are functions defined on surfaces. One contribution of this paper is an error analysis of Tikhonov regularization which takes into account perturbations of the surfaces, in particular when the surfaces are approximated by spl…

Defines a new short rate model and convexity adjustment formulae.

Paper proposes decentralized annuities for better retirement security.

Optimal withdrawal strategy for DC pension plans maximizes total withdrawals while managing risk.

Investigates multi-period portfolio optimization for DC plans using buffered Probability of Exceedance.

Neural networks have proven to be extremely powerful tools for modern artificial intelligence applications, but computational and storage complexity remain limiting factors. This paper presents two compatible contributions towards reducing the time, energy, computational, and storage complexities associated with multil…

We study the contribution of multiple covers of an irreducible rational curve C in a Calabi-Yau threefold Y to the genus 0 Gromov-Witten invariants in the following cases. (1) If the curve C has one node and satisfies a certain genericity condition, we prove that the contribution of multiple covers of degree d is given…

FedCM measures contributions in real-time for federated learning.

Deep neural network optimizes retirement consumption in defined contribution pensions.

A new measure of causal influence quantifies intrinsic contributions in DAGs.

We prove the Riemannian Penrose conjecture, an important case of a conjecture made by Roger Penrose in 1973, by defining a new flow of metrics. This flow of metrics stays inside the class of asymptotically flat Riemannian 3-manifolds with nonnegative scalar curvature which contain minimal spheres. In particular, if we …

Paper defines a jellyfish algorithm for a specific subfactor planar algebra.

India introduces NPS to manage pension liabilities and promote savings.

New CDC scheme avoids intergenerational subsidies, offering better outcomes.

New measure EC assesses node contributions in nonlinear, time-varying systems.

The u-plane integral is the contribution of the Coulomb branch to correlation functions of N=2 gauge theory on a compact four-manifold. We consider the u-plane integral for correlators of point and surface observables of topologically twisted theories with gauge group SU(2), for an arbitrary four-manifold with (b1,b2+)…

Georg de Buquoy, Lord de Vaux, lived in Nove Hrady, Prague and Cerveny Hradek for most of his productive life. From his extensive scientific contributions, both theoretical and experimental, we expand here the discussion of his contributions to mathematical economy. He is mainly celebrated as the first persons to defin…

Kulldorff's (1997) seminal paper on spatial scan statistics (SSS) has led to many methods considering different regions of interest, different statistical models, and different approximations while also having numerous applications in epidemiology, environmental monitoring, and homeland security. SSS provides a way to …

NDDV estimates data point value from a single stochastic trajectory.

We introduce the concepts of a multisymplectic structure and a polysymplectic structure on a general fiber bundle over a general base manifold, define the concept of the symbol of a multisymplectic form, which is a polysymplectic form representing its leading order contribution, and prove Darboux theorems for the exist…

Develops a new method for risk diversification using dynamic risk measures.

New proof for knot state-sum formula using bijection between states.

This paper clarifies deep learning for IS scholars.

There is a growing interest and literature on intrinsic motivations and open-ended learning in both cognitive robotics and machine learning on one side, and in psychology and neuroscience on the other. This paper aims to review some relevant contributions from the two literature threads and to draw links between them. …

This work analyzes how different layers in deep neural networks contribute to generalization error.

Leverage score sampling provides an appealing way to perform approximate computations for large matrices. Indeed, it allows to derive faithful approximations with a complexity adapted to the problem at hand. Yet, performing leverage scores sampling is a challenge in its own right requiring further approximations. In th…

In the paper we consider the theory of elliptic operators acting in subspaces defined by pseudodifferential projections. This theory on closed manifolds is connected with the theory of boundary value problems for operators violating Atiyah-Bott condition. We prove an index formula for elliptic operators in subspaces de…

We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, an annuity or individual fund requires approximately 20\% more initial capital to provide as good an outcome as a collectivised investment fu…

Recent work suggests that some auto-encoder variants do a good job of capturing the local manifold structure of the unknown data generating density. This paper contributes to the mathematical understanding of this phenomenon and helps define better justified sampling algorithms for deep learning based on auto-encoder v…

This paper is devoted to the quantification and analysis of marginal risk contribution of a given single financial institution i to the risk of a financial system s. Our work expands on the CoVaR concept proposed by Adrian and Brunnermeier as a tool for the measurement of marginal systemic risk contribution. We first g…

Study finds actuarial unfairness in China's pension system, proposing income-dependent annuitization rules.

Study quantifies systemic risk in DeFi using network analysis.

Graph Neural Networks (GNN) come in many flavors, but should always be either invariant (permutation of the nodes of the input graph does not affect the output) or equivariant (permutation of the input permutes the output). In this paper, we consider a specific class of invariant and equivariant networks, for which we …

We consider the problem of learning a vector-valued function f in an online learning setting. The function f is assumed to lie in a reproducing Hilbert space of operator-valued kernels. We describe two online algorithms for learning f while taking into account the output structure. A first contribution is an algorithm,…

MOAI evaluates indoor airflow's impact on COVID-19 transmission.

Proposes a Taylor framework to unify and analyze attribution methods.

Stability of Morse index for harmonic maps on degenerating surfaces analyzed.

We define a local Riemann-Roch number for an open symplectic manifold when a complete integrable system without Bohr-Sommerfeld fiber is provided on its end. In particular when a structure of a singular Lagrangian fibration is given on a closed symplectic manifold, its Riemann-Roch number is described as the sum of the…

Let $Γ$ be a discrete finitely generated group. Let $\hat{M}\to T$ be a $Γ$-equivariant fibration, with fibers diffeomorphic to a fixed even dimensional manifold with boundary $Z$. We assume that $Γ\to \hat{M}\to \hat{M}/Γ$ is a Galois covering of a compact manifold with boundary. Let $(D^+ (θ))_{θ\in T}$ be a $Γ$-equi…

In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical frame…