arXiv research

Study optimal reinsurance for insurers with a reinsurer's default risk.

The paper examines how background risk affects portfolio selection and optimal reinsurance design.

In the study of investment problem, aside from the investment risk the background risk appears. Both the investment risk and the background risk are probabilistically described by random variables. This paper starts from the hypothesis that the two types of risk can be represented both probabilistically (by random vari…

Investment and insurance decisions are studied in a model with nonlinear portfolio frictions and background risk.

The work deals with the risk assessment theory. An unitary risk algorithm is elaborated. The algorithm is based on parallel curves. The basic curve of risk is a hyperbolic curve, obtained as a multiplication between the probability of occurrence of certain event and its impact. Section 1 contains the problem formulatio…

Study uses copulas and DCC-GARCH for multivariate risk analysis of VaR and CVaR.

In this paper two portfolio choice models are studied: a purely possibilistic model, in which the return of a risky asset is a fuzzy number, and a mixed model in which a probabilistic background risk is added. For the two models an approximate formula of the optimal allocation is computed, with respect to the possibili…

We define risk-free portfolios using three gauge invariant differential operators that require such portfolios to be insensitive to price changes, to be self-financing, and to produce a zero real return so there are no risk-free profits. This definition identifies the risk-free rate as the return of an infinitely diver…

Despite the fact that the Euler allocation principle has been adopted by many financial institutions for their internal capital allocation process, a comprehensive description of Euler allocation seems still to be missing. We try to fill this gap by presenting the theoretical background as well as practical aspects. In…

The paper introduces a new class of multivariate mixtures for actuarial applications.

The paper calculates MES bounds for systemic risk contributions under uncertain dependence.

This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data availability and precision, the transition from firm-centric to system-wide supervision imposes vast data needs. Moreover, except for internal communication as in any orga…

We consider bosonic supersymmetric backgrounds of ten-dimensional conformal supergravity. Up to local conformal isometry, we classify the maximally supersymmetric backgrounds, determine their conformal symmetry superalgebras and show how they arise as near-horizon geometries of certain half-BPS backgrounds or as a plan…

Derives path-integrals for superstrings on curved backgrounds using string geometry theory.

Derives path integrals for perturbative strings on various backgrounds.

This article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number generator (RNG) used. The theoretical background and the main quality criteria for RNGs are explained in detail. To serve as a gauge for RNGs, a…

We describe the construction of a Lie superalgebra associated to an arbitrary supersymmetric M-theory background, and discuss some examples. We prove that for backgrounds with more than 24 supercharges, the bosonic subalgebra acts locally transitively. In particular, we prove that backgrounds with more than 24 supersym…

New framework uses background knowledge to speed up causal discovery.

SRTC model for background/foreground separation with missing pixels.

We extend the Falceto-Zambon version of Marsden-Ratiu Poisson reduction to Poisson quasi-Nijenhuis structures with background on manifolds. We define gauge transformations of Poisson quasi-Nijenhuis structures with background, study some of their properties and show that they are compatible with reduction procedure. We…

Motivated by the search for new gravity duals to M2 branes with $N>4$ supersymmetry --- equivalently, M-theory backgrounds with Killing superalgebra $\mathfrak{osp}(N|4)$ for $N>4$ --- we classify homogeneous M-theory backgrounds with symmetry Lie algebra $\mathfrak{so}(n) \oplus \mathfrak{so}(3,2)$ for $n=5,6,7$. We f…

We explore all warped $AdS_4\times_w M^{D-4}$ backgrounds with the most general allowed fluxes that preserve more than 16 supersymmetries in $D=10$- and $11$-dimensional supergravities. After imposing the assumption that either the internal space $M^{D-4}$ is compact without boundary or the isometry algebra of the back…

Generative Adversarial Networks generate PXD background noise efficiently.

Study predicts risk of true-lumen narrowing after ATAAD surgery using CT data.

We prove that supersymmetry backgrounds of (1,0) and (2,0) six-dimensional supergravity theories preserving more than one half of the supersymmetry are locally homogeneous. As a byproduct we also establish that the Killing spinors of such a background generate a Lie superalgebra.

This note focuses on some properties and uses of filtered deformations in the context of D=11 supergravity. We define the concept of abstract symbol and give a strong version of the Reconstruction Theorem, namely a bijective correspondence from the space of highly supersymmetric supergravity backgrounds to the space of…

In this paper we study homogeneous backgrounds of type IIB supergravity where the underlying geometry is that of a symmetric space. We determine which ten-dimensional lorentzian symmetric spaces (up to local isometry) admit such backgrounds and in about two thirds of the cases we determine fully their moduli space.

Defines Killing spinors and bosonic backgrounds in 5D supergravity.

We present two different families of eleven-dimensional manifolds that admit non-restricted extensions of the isometry algebras to geometric superalgebras. Both families admit points for which the superalgebra extends to a super Lie algebra; on the one hand, a family of $N=1$, $ν={}^3\!/\!_4$ supergravity backgrounds a…

PCA++ improves robustness to background noise in contrastive learning.

Method identifies causal drivers from background features.

New method simplifies causal inference with tiered background knowledge.

Study evaluates saliency maps on artificial data with different backgrounds.

Researchers prove a nonlinear gluing theorem for gravitational fields near static backgrounds.

We construct rigid supersymmetric gauge theories on Riemannian five-manifolds. We follow a holographic approach, realizing the manifold as the conformal boundary of a six-dimensional bulk supergravity solution. This leads to a systematic classification of five-dimensional supersymmetric backgrounds with gravity duals. …

New method estimates insurance risk dependencies.

Paper explores using EEG for better speaker identification, even in noisy environments.

We define the Poisson quasi-Nijenhuis structures with background on Lie algebroids and we prove that to any generalized complex structure on a Courant algebroid which is the double of a Lie algebroid is associated such a structure. We prove that any Lie algebroid with a Poisson quasi-Nijenhuis structure with background…

Practitioners sometimes suggest to use a combination of Sobol sequences and orthonormal polynomials when applying an LSMC algorithm for evaluation of option prices or in the context of risk capital calculation under the Solvency II regime. In this paper, we give a theoretical justification why good implementations of a…

Automatically detecting sound units of humpback whales in complex time-varying background noises is a current challenge for scientists. In this paper, we explore the applicability of Convolution Neural Network (CNN) method for this task. In the evaluation stage, we present 6 bi-class classification experimentations of …

Machine learning models predict depression risk based on various factors.

BIND removes background noise from binary matrices, improving detection accuracy and fairness.

A geometric string solution has background fields in overlapping coordinate patches related by diffeomorphisms and gauge transformations, while for a non-geometric background this is generalised to allow transition functions involving duality transformations. Non-geometric string backgrounds arise from T-duals and mirr…

We describe the geometry of generic heterotic backgrounds preserving minimal supersymmetry in four dimensions using the language of generalised geometry. They are characterised by an $SU(3)\times Spin(6+n)$ structure within $O(6,6+n)\times\mathbb{R}^+$ generalised geometry. Supersymmetry of the background is encoded in…

A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of variable-width basis functions, and the parameters are estimated by a Bayesian method…

Paper characterizes and represents pairwise causal background knowledge for improved causal inference.

CNNs improve signal-background classification in particle physics experiments.

Perceived personality traits attributed to an individual do not have to correspond to their actual personality traits and may be determined in part by the context in which one encounters a person. These apparent traits determine, to a large extent, how other people will behave towards them. Deep neural networks are inc…