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.
BERT learns claim descriptions to identify patent novelty.
It is proved that the set of geodesic circles in two dimensions may be given a variational description and the explicit form of it is presented. In the limit case of the Euclidean geometry a certain claim of uniqueness of such description is proved. A formal notion of 'spin' force is discovered as a by-product of the v…
Proposes indifference pricing to estimate weak information value.
We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling framework for a financial market with interacting Ito and point processes, such PDEs are shown to provide a natural description for the solution of hedging and valuatio…
In this essay, I attempt to provide supporting evidence as well as some balance for the thesis on `Transforming socio-economics with a new epistemology' presented by Hollingworth and Mueller (2008). First, I review a personal highlight of my own scientific path that illustrates the power of interdisciplinarity as well …
We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales and self-financing hedging strategies and price claims (options). This model is a…
FCDD improves image anomaly detection without post-hoc explainers.
Grid diagrams encode useful geometric information about knots in S^3. In particular, they can be used to combinatorially define the knot Floer homology of a knot K in S^3, and they have a straightforward connection to Legendrian representatives of K in (S^3, ξ_\st), where ξ_\st is the standard, tight contact structure.…
We use the supergeometric formalism, more precisely, the so-called "big bracket" (for which brackets and anchors are encoded by functions on some graded symplectic manifold) to address the theory of Jacobi algebroids and bialgebroids (following mainly Iglesias-Marrero and Grabowski-Marmo as a guideline). This formalism…
Is it true that patients with similar conditions get similar diagnoses? In this paper we show NLP methods and a unique corpus of documents to validate this claim. We (1) introduce a method for representation of medical visits based on free-text descriptions recorded by doctors, (2) introduce a new method for clustering…
Reinforcement learning improves insurance claims reserving by learning from all claim trajectories.
The study analyzes how bonus-malus systems and delayed claims settlement affect insurance companies' financial stability.
Deep Claim predicts payer responses from claims data using deep learning.
New method for individual claims reserving using machine learning.
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a portfolio is the sum of a …
Two machine learning models detect anomalies in ER claims, saving up to 40% in improper payments.
Optimizes insurance processing capacity to minimize costs.
New model bridges pricing and reserving for insurance claims.
This study compares the largest claims from two insurance portfolios using stochastic orderings.
Model detects insurance fraud using social network analysis.
We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process--the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A properly maximal claim i…
Investor maximizes utility from an unknown claim using robust optimization.
Model predicts individual insurance claim reserves using activation patterns.
Insurance companies must manage millions of claims per year. While most of these claims are non-fraudulent, fraud detection is core for insurance companies. The ultimate goal is a predictive model to single out the fraudulent claims and pay out the non-fraudulent ones immediately. Modern machine learning methods are we…
Paper introduces EEMs for pricing contingent claim returns.
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected during a claim's development over time. We present the hierarchical reserving mod…
A new method for modeling insurance claim frequencies using random proportions.
In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous Doob decomposition onto the case of superm…
The paper introduces BCART models for aggregate claim amount, improving frequency-severity and joint modeling.
In this work, we focus on fine-tuning an OpenAI GPT-2 pre-trained model for generating patent claims. GPT-2 has demonstrated impressive efficacy of pre-trained language models on various tasks, particularly coherent text generation. Patent claim language itself has rarely been explored in the past and poses a unique ch…
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the numéraire portfolio. According to the so-called benchmark approach, we investigate the (benchmarked) risk-minimizing strategy in…
FiNCAT tool automatically identifies financial numerals in documents.
LLMs help automate extraction of actuarial variables from unstructured claims data.
New method simplifies individual claims reserving.
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time Markov process. As a result of this representation, along with a short-time asymptot…
This paper corrects errors in UMAP's derivation and explains its properties.
Study tackles imbalanced data in car insurance claims prediction.
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process…
Time-aware fact-checking improves veracity predictions for time-sensitive claims.
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to establish a diffusion approximation …
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a …
Unified methods for hedging impermanent loss in decentralized exchanges.
Wojciech Kamiński disproved a spiral claim for conformal geodesics.
Audit shows risk claims from distributional reinforcement learning agents are often false.
Discrete Morse theory simplifies Khovanov homology calculations.
Study uses SVM to predict weather-induced home insurance claims and losses.
Paper proposes deep learning for fake claim detection on social media.
The paper deals with bonus-malus systems with different claim types and varying deductibles. The premium relativities are softened for the policyholders who are in the malus zone and these policyholders are subject to per claim deductibles depending on their levels in the bonus-malus scale and the types of the reported…