arXiv research

A neural-network model clusters subjects based on their lifetime distributions.

The paper models the dependence between lifetimes of married couples using copulas.

Paper uses RNN to predict SaaS user lifetime value.

We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increasing function of (running) wealth. Thus, the lower wealth falls and the longer wealth stays low, the greater the penalty. This paper general…

New features from early battery cycles predict lifetime with high accuracy.

A new model for lifetime maximization with reneging in heterogeneous outcomes.

Optimizes treatment duration to maximize quality-adjusted lifetime.

Deep neural networks outperform parametric models in predicting customer lifetime value in video games.

Study the systemic risk of big banks through a unique common shock model.

This report is concerned with the Mondrian process and its applications in machine learning. The Mondrian process is a guillotine-partition-valued stochastic process that possesses an elegant self-consistency property. The first part of the report uses simple concepts from applied probability to define the Mondrian pro…

The paper stabilizes PD term structures under forecast uncertainty using a Kalman filter with an anchored observation model.

The study improves CLV predictions in retail banking with machine learning.

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),…

New approach models individual vitality for better mortality predictions.

Machine learning speeds up FLIM analysis in biomedical research.

The study examines Cox models for lifetime loan default risk, addressing biased estimates by incorporating recurrent events.

ASOS uses embeddings to predict customer lifetime value.

optHSIC tests independence between covariates and censored lifetimes using optimal transport.

Predict player lifetime value based on engagement metrics.

Study uses Open Banking data to estimate customer value, showing potential 21% increase.

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.

Paper tackles lifetime ruin with hedge funds and high-watermark fees, considering drift uncertainty.

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 …

Two stochastic representations help prove infinite lifetime and bound gradients on sub-Riemannian manifolds.

Paper proposes decentralized annuities for better retirement security.

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…

Greedy algorithm optimizes consumption habits with power utility.

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 …

Automates RL for LTV in recommender systems.

We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes to minimize the expected time that her wealth spends in drawdown during her lifetime. Drawdown occurs when wealth is less than some fixed pro…

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…

SAGA predicts multi-year earnings with adaptive intervals, improving forecast accuracy.

We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probabi…

Develops algorithms to optimize machine replacement schedules using operational data.

Proposes a method to predict RUL with domain adaptation for PHM.

This research improves asset life prediction by integrating deep learning with mixture distributions.

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…

Introduces TSI, a variance-based measure for persistence barcodes.

The paper optimizes retirement spending considering habit formation and pension income.

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.

We have developed a model for a life insurance policy. In this model the net gain is calculated by computer simulation for a particular type of lifetime distribution function. We observed that the net gain becomes maximum for a particular value of upper age of last premium. This paper is dedicated to Professor Dietrich…

Automating the customer analytics process is crucial for companies that manage distinct customer bases. In such data-rich and dynamic environments, visualization plays a key role in understanding events of interest. These ideas have led to the popularity of analytics dashboards, yet academic research has paid scant att…

Improved Mondrian Forests achieve optimal rate for online classification.

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…

Improves A/B testing for long-term outcomes in dynamic systems.

Study improves loan default risk estimation using advanced regression models.

This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs required are the current and future Through-the-Cycle PDs of the obligors, their last known default rates, and a measurement of the systematic …