This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily realized volatility from the returns in the first step and use stochastic cusp cata…
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48 results for “catastrophe theory”
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradientscs.LG
The paper tackles catastrophic risk in reinforcement learning using extreme value theory.
problem Mitigating catastrophic risk in sequential decision making with limited observations.
method Developed POTPG, a policy gradient algorithm based on extreme value theory.
result POTPG outperforms common benchmarks in numerical experiments.
A neural network approach to learn Cusp Catastrophe dynamics.
problem Complex behavior and non-convex parameter space in Cusp Catastrophe models.
method Training a deep neural network to learn dynamics without solving generating parameters.
result Demonstrated a neural network approach for the first time in Cusp Catastrophe models.
Overparameterization helps prevent forgetting in sequential learning tasks.
problem Catastrophic forgetting in continual learning systems.
method Analytical study of gradient descent with linear regression model.
result Overparameterization can mitigate forgetting in a two-task setting.
The paper (in French) exemplifies graphically a solution of the heat equation which is a 1-dimensional unfolding of an elliptic umbilic catastrophe. The example is due to James Damon and adapts Thom-Mather's singularity theory to multiscale models of scale-space analysis in image processing.
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of …
Study on reducing forgetting in neural networks using compression theory.
problem Catastrophic forgetting in neural networks.
method Defined forgetting as increased description lengths, compared variational posterior approaches to prequential coding methods.
result Proposed a new continual learning method combining ML plug-in and Bayesian mixture codes.
This paper describes some of the possibilities of artificial neural networks that open up after solving the problem of catastrophic forgetting. A simple model and reinforcement learning applications of existing methods are also proposed.
The paper values reinsurance contracts for dynamic catastrophe claims without arbitrage.
problem Valuation of reinsurance contracts for dynamic catastrophe claims without arbitrage.
method Compound dynamic contagion process, Esscher transform, Monte Carlo simulation.
result Arbitrage-free premiums for catastrophe stop-loss reinsurance contracts.
Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricingq-fin.RM
Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in [6]. We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value theory (EVT), and basing the choice of model on statistical tests and model compa…
Adam optimizer leads to more forgetting in neural networks.
problem Understanding and quantifying catastrophic forgetting in neural networks.
method Comparative analysis of various optimization algorithms and metrics in different learning scenarios.
result Adam optimizer causes more forgetting compared to classical algorithms like SGD.
Bayesian online meta-learning framework tackles catastrophic forgetting in few-shot classification.
problem Catastrophic forgetting in few-shot classification problems.
method Bayesian online learning, meta-learning, Laplace approximation, variational inference.
result Framework effectively achieves goal of overcoming catastrophic forgetting in few-shot classification.
Unified Bayesian framework for CAT bond pricing.
problem Uncertainty in catastrophe occurrences and interest rates in CAT bond markets.
method Bayesian framework based on uncertainty quantification of catastrophes and interest rates.
result Unified asset pricing approach with informative expected risk premia.
Optimizes diversification in catastrophe risk pooling using asymptotic analysis.
problem Maximizing diversification benefit from catastrophic events in insurance pools.
method Asymptotic analysis to solve high-dimensional optimization problem.
result Derives an asymptotically optimal pool that approximates practical optimal pool.
This paper analyzes extreme flooding risks and proposes insurance and bond solutions.
problem Severe rise in magnitude and frequency of floods causing catastrophic losses.
method Extremes analysis using Peaks-Over-Threshold method and Point Process model; Value-at-Risk (VaR) and Conditional VaR (CVaR) estimation; Flood zoning insurance and catastrophic bond design.
result Developed flood risk vulnerability and threat analysis considering geography and economic factors; Proposed flood zoning insurance and catastrophic bond design.
Study shows how task similarity affects forgetting in teacher-student setup.
problem Catastrophic forgetting in continual learning.
method Extended teacher-student setup to multiple teachers, analyzing similarity between tasks.
result Task similarity, whether at readouts or features, influences forgetting and transfer.
Study shows how to balance memory and learning efficiency in continual learning.
problem Balancing memory and learning efficiency in continual learning.
method Structural regularization with Hessian-based regularization.
result Structural regularization improves statistical performance at the cost of increased memory complexity.
Paper tackles catastrophic overfitting in single-step adversarial training.
problem Catastrophic overfitting leads to sudden drop in robust accuracy.
method Proposes a method to prevent overfitting by using all adversarial examples.
result Demonstrates prevention of catastrophic overfitting and improves robustness.
This article focuses on the work of O. Chanel and G. Chichilnisky (2013) on the flaws of expected utility theory while assessing the value of life. Expected utility is a fundamental tool in decision theory. However, it does not fit with the experimental results when it comes to catastrophic outcomes ---see, for example…
New methods improve insurance data quality for catastrophic events.
problem Improving precision and size of insurance data for catastrophic events.
method Bootstrap, bootknife, and GAN algorithms.
result Compared MSE and MAE of simulated outputs, direct algorithm for fuzzy expert opinion.
A random forest based approach for predicting spreads in the primary catastrophe bond marketq-fin.PR
We introduce a random forest approach to enable spreads' prediction in the primary catastrophe bond market. We investigate whether all information provided to investors in the offering circular prior to a new issuance is equally important in predicting its spread. The whole population of non-life catastrophe bonds issu…
Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe bond (CocoCat). We begin with a discussion of its design and compare its relative …
Study analyzes catastrophic forgetting in continual learning using teacher-student networks.
problem Catastrophic forgetting in continuously learning systems.
method Teacher-student learning framework, similarity of input distributions and target functions.
result Network can avoid catastrophic forgetting with small input distribution similarity and large target function similarity.
Artificial neural networks (ANNs) suffer from catastrophic forgetting when trained on a sequence of tasks. While this phenomenon was studied in the past, there is only very limited recent research on this phenomenon. We propose a method for determining the contribution of individual parameters in an ANN to catastrophic…
Interpreting the behaviors of Deep Neural Networks (usually considered as a black box) is critical especially when they are now being widely adopted over diverse aspects of human life. Taking the advancements from Explainable Artificial Intelligent, this paper proposes a novel technique called Auto DeepVis to dissect c…
The paper introduces CoCoCat bonds for multi-region natural catastrophes, accounting for complex dependencies.
problem Valuation of multi-region contingent convertible bonds under complex dependencies.
method Developed a model accounting for inter-regional dependencies using change-of-measure techniques.
result Significant impact of inter-regional dependencies on CoCoCat bond pricing.
New study finds many neural networks are not benignly overfitting.
problem Understanding the behavior of overfitting in neural networks.
method Exploring kernel ridge regression and deep neural networks to identify overfitting behaviors.
result Many interpolating methods, including neural networks, exhibit tempered overfitting rather than benign or catastrophic.
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Riskq-fin.RM
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and div…
Despite huge success, deep networks are unable to learn effectively in sequential multitask learning settings as they forget the past learned tasks after learning new tasks. Inspired from complementary learning systems theory, we address this challenge by learning a generative model that couples the current task to the…
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The as…
Paper tackles catastrophic forgetting in sequential learning.
problem Catastrophic forgetting in sequential learning.
method Regularizes training with sketches of Jacobian matrix of past data.
result Proves overcoming catastrophic forgetting for linear and wide neural networks.
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets. Overall, in this work we developed various metrics associated with catastrophic bifurca…
This work tackles catastrophic forgetting in neural networks by mimicking brain's metaplasticity.
problem Catastrophic forgetting in neural networks, where new tasks erase previously learned ones.
method Interpreting binarized neural networks as metaplastic systems, adjusting their training technique.
result Training technique reduces catastrophic forgetting without needing previously presented data.
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of risk. From an application t…
New analysis shows rational actors will deploy AGI despite negative social value due to catastrophic risk.
problem Rational actors will deploy AGI despite negative social value due to shared catastrophic risk.
method Continuous-time preemption game with shared catastrophic externalities, showing suicide region and welfare distortion.
result The suicide region widens as catastrophic risk grows, and two mechanisms can close it.
In this paper, we show that Generative Adversarial Networks (GANs) suffer from catastrophic forgetting even when they are trained to approximate a single target distribution. We show that GAN training is a continual learning problem in which the sequence of changing model distributions is the sequence of tasks to the d…
The condition number predicts efficient information encoding in neural units, aiding model fine-tuning.
problem Efficient information encoding in neural units for various tasks and input modalities.
method Linking the condition number to the log-volume scaling factor and entropy of the output distribution.
result High condition number indicates efficient encoding, reducing overall information transfer.
Synthetic data helps prevent forgetting when learning sequentially.
problem Catastrophic forgetting in neural networks.
method Generate synthetic data via two-step optimisation process using meta-gradients.
result Training on synthetic data prevents forgetting when learning sequentially.
Study optimal dividend strategies for insurers with natural catastrophe claims.
problem Maximizing dividends for a catastrophe insurer over its lifetime.
method Two-dimensional stochastic control problem, viscosity solutions, numerical approximation.
result Optimal dividend strategies identified for natural catastrophe insurers.
To survive in the dynamically-evolving world, we accumulate knowledge and improve our skills based on experience. In the process, gaining new knowledge does not disrupt our vigilance to external stimuli. In other words, our learning process is 'accumulative' and 'online' without interruption. However, despite the recen…
Catastrophic forgetting/interference is a critical problem for lifelong learning machines, which impedes the agents from maintaining their previously learned knowledge while learning new tasks. Neural networks, in particular, suffer plenty from the catastrophic forgetting phenomenon. Recently there has been several eff…
Developing a climate-aware pricing framework for XL reinsurance and CAT bonds under non-stationary catastrophe risk.
problem Pricing excess-of-loss (XL) reinsurance and catastrophe (CAT) bonds under climate uncertainty.
method Modeling catastrophe arrivals as a Cox process with a temperature-dependent stochastic intensity and aggregate losses following a compound Cox structure.
result Climate dependence materially changes the loss-generation mechanism and affects the valuation of catastrophe-linked contracts.
OGD proves robustness to Catastrophic Forgetting in Continual Learning.
problem Catastrophic Forgetting in Continual Learning with deep neural networks.
method Theoretical framework based on Neural Tangent Kernel for OGD.
result First generalization bound for SGD and OGD in Continual Learning.
Proposes a new method to prevent forgetting in neural networks.
problem Catastrophic forgetting in neural networks.
method Total absolute signal passing through each connection.
result Simpler and closer to brain processes.
Study finds reinforcement learning performance plateaus due to environmental interference.
problem Catastrophic interference hinders sample efficiency in reinforcement learning.
method Empirical study in ALE, controlled experiments, analysis of prediction errors.
result Interference causes performance plateaus and degrades policies used to reach them.
AI learns to learn sequentially without forgetting.
problem Preventing catastrophic forgetting in machine learning models.
method Meta-learning a neuromodulatory activation-gating function to control selective activation in deep neural networks.
result State-of-the-art continual learning performance with 600 classes (9,000 updates).
CPR adds entropy maximization to improve continual learning methods.
problem Catastrophic forgetting in continual learning.
method Classifier-Projection Regularization (CPR) adds an entropy maximization term to existing regularization methods.
result CPR improves accuracy and plasticity in continual learning methods.
The study models and values CAT bonds across multiple regions.
problem Valuation of CAT bonds with dependencies across different regions.
method Developed models for independent, proportional, and arbitrary two-dimensional distribution cases of catastrophe losses in different areas. Applied normal approximation and Wang's transform for pricing.
result Illustrated differences in scenarios and performance of the approximation on real data.