New method for learning multidimensional CDFs using Archimedean copulas.
problem Learning multidimensional CDFs in high dimensions.
method Generative modeling technique using Archimedean copulas as mixture models with latent variables from neural networks.
result Efficacy and computational efficiency compared to existing methods.
HACSurv models dependencies between competing risks and censoring for improved survival analysis.
problem Inaccurate survival predictions due to ignoring dependencies between competing risks and censoring.
method HACSurv uses hierarchical Archimedean copulas to model dependencies and cause-specific survival functions.
result HACSurv improves accuracy in survival predictions and captures complex risk interactions.
Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J. Nešlehová (2009) showed that the class of Archimedean copulas coincides with the class of multivariate ℓ1-norm symmetric distributions. Building upon their result…
Researchers extend CCVaR to multivariate data using Archimedean copulas.
problem No multivariate extension for CCVaR when dependence is given by Archimedean copulas.
method Derive an almost closed-form expression for CCVaR under an Archimedean copula, examine coherence conditions, and conduct numerical experiments.
result An almost closed-form expression for CCVaR under an Archimedean copula is derived.
A new class of bivariate distributions is introduced that extends the Generalized Marshall-Olkin distributions of Li and Pellerey (2011). Their dependence structure is studied through the analysis of the copula functions that they induce. These copulas, that include as special cases the Generalized Marshall-Olkin copul…
Paper uses a new copula to model risk aggregation and capital allocation.
problem Modeling dependence between risks for risk aggregation and capital allocation.
method Uses a generalized Archimedean copula (mixed Bernstein copula) to define dependence structure and derives closed-form risk measures.
result Closed-form expressions for tail value-at-risk and allocations are derived.
IGNIS uses neural networks to estimate copula parameters robustly.
problem Pathological properties of Archimedean copulas make traditional estimators brittle.
method Unified neural estimation framework with multi-input architecture and softplus output layer.
result Accurate and stable estimates for real-world datasets.
The paper analyzes portfolio credit risk using Archimedean copulas and introduces efficient simulation methods.
problem Analyzing large losses from credit portfolio defaults with Archimedean copulas.
method Derives asymptotic results and develops variance reduction algorithms for Monte Carlo simulations.
result Proposed algorithms significantly enhance classical Monte Carlo methods for estimating portfolio credit risk.
CSD improves goodness-of-fit testing for higher-order dependence.
problem Insensitivity of standard KSDs to higher-order dependence features like tail dependence.
method Introduces Copula-Stein Discrepancy (CSD) that targets dependence geometry directly on copula density.
result CSD is sensitive to differences in tail dependence coefficients and metrizes weak convergence of copula distributions.
We introduce a new functional measure of tail dependence for weakly dependent (asymptotically independent) random vectors, termed weak tail dependence function. The new measure is defined at the level of copulas and we compute it for several copula families such as the Gaussian copula, copulas of a class of Gaussian mi…
New metric reduces estimation error in survival model evaluation.
problem Dependent censoring complicates survival model evaluation.
method Dependent Brier score based on Archimedean copula and Copula-Graphic estimator.
result Reduces estimation error by 12-16% on average.
We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free te…
Paper introduces MTCM to measure multivariate tail dependence.
problem Classical TDC fails to capture non-exchangeable features of multivariate tail dependence.
method Extends bivariate tail copula measure to multivariate case.
result MTCM reveals off-diagonal stress directions and differences in extremal dependence.
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the possibility to sample final multivariate survival in a long time-interval as a sequ…
A2-SBNN models spatial data with copulas for non-Gaussian dependencies.
problem Capturing complex spatial relationships and extreme dependencies in non-Gaussian data.
method Embedding A2 copula into a Bayesian neural network, trained with Wasserstein loss and moment matching.
result A2-SBNN consistently delivers high accuracy across various dependency strengths.
We utilize copulas to constitute a unified framework for constructing and optimizing variational proposals in hierarchical Bayesian models. For models with continuous and non-Gaussian hidden variables, we propose a semiparametric and automated variational Gaussian copula approach, in which the parametric Gaussian copul…
New metric improves clustering in persistent homology.
problem Improving clustering accuracy in persistent homology.
method Defined a new non-archimedean cophenetic metric.
result Cophenetic metric enhances clustering quality and inter-relations.
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of ordering conditions on the spectral measures, which allows for analytical or numerical…
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian Paid-Incurred-Claims models, combining the claims reserving models of Hertig et al. (198…
Identifies interpretable generative model for multivariate data.
problem Black-box architectures of deep generative models are often unidentified and difficult to interpret.
method Introduces Deep Discrete Encoder (DDE) Copula, a hierarchical binary latent variable model inside a copula framework.
result Establishes conditions for identification of DDE copula parameters and proves posterior consistency.
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of d obligors, a set of d idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in …
Metric SYZ conjecture proved using non-archimedean geometry.
problem Proving the metric SYZ conjecture in large generality.
method Using non-archimedean geometry to support the conjecture.
result Metric SYZ conjecture can be proved in large generality.
Study on non-archimedean μ-entropy for toric varieties, proving existence and uniqueness.
problem Exploring non-archimedean μ-entropy for toric varieties and its thermodynamical structure.
method Established a Rellich type compactness result for convex functions on simple polytope, proving existence and uniqueness of optimizer.
result Existence and uniqueness of optimizer for toric non-archimedean μ^λ-entropy for λ ≤ 0.
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate di…
Defines operations in non-Archimedean metrics theory.
problem No specific problem stated; focuses on theory development.
method Defines operations using non-Archimedean metrics theory.
result Establishes the envelope conjecture holds in the theory.
Solves non-Archimedean Calabi-Yau equation on complex log pairs.
problem Non-Archimedean Monge-Ampère equation on Berkovich analytification.
method Solves complex Monge-Ampère equation, then adapts to non-Archimedean setting.
result Non-Archimedean analog of Ricci-flat metric potentials on complex affine varieties.
This paper constructs a non-Archimedean Teichmüller space using tropical geometry.
problem Constructing a non-Archimedean analogue of Teichmüller space.
method Using techniques from tropical and logarithmic geometry.
result The skeleton of non-Archimedean Teichmüller space is the tropical Teichmüller space.
Geodesics in non-Archimedean metrics are continuous.
problem Understanding geodesics in spaces of non-Archimedean metrics.
method Maximal psh segments are geodesics, and continuity of these segments is proven.
result Maximal psh segments joining continuous psh metrics are continuous.
Study of non-Archimedean Hitchin map for SL2(F) characters.
problem Characterizing representations of SL2(F) characters.
method Equivariant harmonic maps into R-trees, Jenkins-Strebel differentials.
result The non-Archimedean Hitchin map is continuous and its image is contained in Jenkins-Strebel differentials.
Non-archimedean SYZ fibration constructed for Calabi-Yau hypersurfaces.
problem Analyzing Calabi-Yau hypersurfaces using non-archimedean geometry.
method Yamamoto's tropical contractions and Li's Fermat degeneration, with toric plurisubharmonic metrics.
result Constant potential along fibers of retraction under discrete symmetry assumption.
The paper proves a Basmajian identity for non-Archimedean local fields.
problem Proving Basmajian's identity over non-Archimedean local fields.
method Projective Anosov representations and Berkovich hyperbolic geometry.
result A signed finite sum series identity for Basmajian's identity.
Authors discuss complex and non-Archimedean geometry, proving a conjecture.
problem Proving a version of the Yau--Tian--Donaldson conjecture for Kähler metrics.
method Relation between complex, analytic, and non-Archimedean geometry.
result Sketch of proof for Yau--Tian--Donaldson conjecture.
This note explores norms beyond ultrametric inequalities in non-Archimedean analysis.
problem Analyzing norms beyond ultrametric inequalities in non-Archimedean analysis.
method Characterization of isometries between finite-dimensional spaces with a specific norm.
result Characterization of isometries between finite-dimensional linear spaces over a valued field.
The ability to adequately model risks is crucial for insurance companies. The method of "Copula-based hierarchical risk aggregation" by Arbenz et al. offers a flexible way in doing so and has attracted much attention recently. We briefly introduce the aggregation tree model as well as the sampling algorithm proposed by…
This paper proposes a new method to improve VI approximations by capturing dependence between blocks using vector copulas.
problem Improving variational inference accuracy for complex models with challenging posteriors.
method Using vector copulas to model dependence between multivariate blocks, with learnable transport maps for flexible marginals.
result The proposed method produces more accurate posterior approximations than existing methods at limited computational cost.
We prove that there are thirteen Archimedean/semiregular polyhedra by using Euler's polyhedral formula.
Lecture notes on using non-Archimedean geometry for complex variety degenerations.
problem Complex algebraic variety degenerations with non-Archimedean Berkovich spaces.
method Hybrid spaces and non-Archimedean pluripotential theory.
result Relation between convergence of psh metrics and Monge-Ampere measures in hybrid spaces.
Study of non-archimedean μ-entropy and its connection to K-stability.
problem Understanding K-stability in non-archimedean settings.
method Introducing non-archimedean μ-entropy and its properties, connecting it to K-semistability.
result Established a criterion for K-semistability without vector ξ, using the non-archimedean μ-entropy.
The benefits of diversifying risks are difficult to estimate quantitatively because of the uncertainties in the dependence structure between the risks. Also, the modelling of multidimensional dependencies is a non-trivial task. This paper focuses on one such technique for portfolio aggregation, namely the aggregation o…
New space for valuations in non-Archimedean setting with duality properties.
problem Developing a non-Archimedean analogue of classical valuation spaces.
method Construction of a new space of valuations with similar structures to classical spaces.
result The new space satisfies Poincaré duality and hard Lefschetz theorem.
Survey on metric SYZ conjecture and non-archimedean geometry.
problem Existence of special Lagrangian fibrations on Calabi-Yau manifolds.
method Pluripotential theory and non-archimedean geometry.
result Subtleties and open questions in the conjectural picture.
Non-Archimedean balanced metrics approximate cscK metrics for totally degenerate abelian varieties
problem Non-Archimedean balanced metrics for polarized abelian varieties
method Non-Archimedean analogue of the cscK metric
result Uniform estimate for Calabi-Yau metrics on fibers
Paper proves all Lagrangians unobstructed if one is, using non-archimedean analytic structure.
problem Proving the existence of bounding cochains for unobstructed Lagrangians.
method Introducing non-archimedean analytic structure and using family Floer techniques.
result All Lagrangians in a connected family are unobstructed if one is.
Introduces non-Archimedean metrics for pseudoeffective classes on Kähler manifolds.
problem Characterizing and approximating non-Archimedean metrics on pseudoeffective classes.
method Extending Ross-Witt Nyström correspondence to relative case, introducing flag configurations.
result Non-Archimedean finite energy metrics are approximable by flag configurations, and very general Ding energies are continuous.
If the face-cycles at all the vertices in a map on a surface are of same type then the map is called semi-equivelar. There are eleven types of Archimedean tilings on the plane. All the Archimedean tilings are semi-equivelar maps. If a map X on the torus is a quotient of an Archimedean tiling on the plane then the map…
In this article we determine, for an infinite family of maps on the plane, the topology of the surface on which the minimal regular covering occurs. This infinite family includes all Archimedean maps.
Theory developed for Hilbert geometry over valued fields, linking real and non-Archimedean geometries.
problem Understanding Hilbert geometry over general valued fields and their limits.
method Developed a theory of Hilbert geometry over general ordered valued fields, proving ultralimit results.
result Ultralimit of rescaled real Hilbert geometries is isometric to a non-Archimedean Hilbert metric space.
Let H be a hypersurface in Rn and let π be an orthogonal projection in Rn restricted to H. We say that H satisfies the Archimedean projection property corresponding to π if there exists a constant C such that Vol(π−1(U))=C⋅Vol(U) for every measurable U in the range…