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.
The paper models the dependence between lifetimes of married couples using copulas.
problem The independence assumption in bivariate lifetime modeling for life insurance products is often violated.
method Copula approach with age difference and gender of the elder partner as arguments of the dependence parameter. Maximum likelihood techniques for parameter estimation.
result The correlation between lifetimes decreases with age difference and is higher when the husband is older.
Optimizes treatment duration to maximize quality-adjusted lifetime.
problem Balancing risks and benefits in clinical decision making.
method Proposes a weighted estimating equation to adjust for confounding and informative censoring, and a nonparametric estimator for mean counterfactual quality-adjusted lifetime.
result Shows the optimal time for percutaneous endoscopic gastrostomy insertion in ALS patients.
New features from early battery cycles predict lifetime with high accuracy.
problem Accurately predicting battery lifetime under varying conditions is challenging due to manufacturing variability and usage-dependent degradation.
method Extracted features from regularly scheduled reference performance tests and used them to predict battery lifetime using a hierarchical Bayesian regression model.
result Demonstrated a lifetime prediction of in-distribution cells with 15.1% mean absolute percentage error using only the first 15% of data.
optHSIC tests independence between covariates and censored lifetimes using optimal transport.
problem Testing independence between a covariate and right-censored lifetimes.
method optHSIC uses optimal transport to transform censored data into uncensored data, then applies a permutation test with a kernel-based dependence measure.
result optHSIC has power against a wider class of alternatives than Cox regression and maintains type 1 error control even when censoring depends on the covariate.
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on the whole path of the wealth process.
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval O in wealth space. To answer this question, we equate the two investment strategies and show that if the indi…
We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and use it in order to find …
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund the…
Study the systemic risk of big banks through a unique common shock model.
problem Analyzing systemic riskiness of systemically important financial institutions.
method Developed a unique common shock model to study lifetimes of financial institutions, analyzing their dependence structure and applying it to European SIFI.
result The model reveals the distributional properties of lifetimes affected by both idiosyncratic and systemic shocks.
Wireless sensor networks are composed of distributed sensors that can be used for signal detection or classification. The likelihood functions of the hypotheses are often not known in advance, and decision rules have to be learned via supervised learning. A specific such algorithm is Fisher discriminant analysis (FDA),…
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a …
We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to minimize her probability of lifetime ruin. Without relying on the dynamic programming…
In this paper, we prove a unique continuation or ``backwards-uniqueness'' theorem for solutions to the Ricci flow. A particular consequence is that the isometry group of a solution cannot expand within the lifetime of the solution.
Paper proposes a simple method for deriving lifetime PD forecasts.
problem Deriving accurate lifetime PD forecasts with minimal data.
method Classical asset-based credit portfolio model with autoregressive process for systematic factor, Bayesian methodology for macroeconomic judgments.
result Endogenous derivation of lifetime PD forecasts without exogenous macroeconomic forecasts.
We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in the drift of the risky asset. Using stochastic control, we characterize the value function as the unique cla…
We define an index of the fermionic signature operator on even-dimensional globally hyperbolic spin manifolds of finite lifetime. The invariance of the index under homotopies is studied. The definition is generalized to causal fermion systems with a chiral grading. We give examples of space-times and Dirac operators th…
Derives equations for capital deepening in a competitive economy without assuming a production function.
problem Understanding capital deepening and firm survival in a competitive economy.
method Derives equations of motion from accounting identities, without assuming a production function. Uses four coupled relaxation equations to govern capital productivity, labor share, and new investment productivity.
result A 1% improvement in new-capital productivity nearly doubles the aggregate growth rate within one capital lifetime.
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it lifetime ruin}. We impose two types of borrowing constraints: First, we do not allow the individual to borrow money to inv…