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.
Paper identifies bias and strategic behavior in crowdsourced performance assessments.
The high pay packages of U.S. CEOs have raised serious concerns about what would constitute a fair pay.
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
New algorithms ensure fair selection in combinatorial semi-bandit with unrestricted delays.
The study explores machine learning for predicting customer propensity-to-pay uncertainty.
Paper explores how risk-averse individuals' willingness to pay for insurance varies with risk probability.
We have successfully implemented the "Learn to Pay Attention" model of attention mechanism in convolutional neural networks, and have replicated the results of the original paper in the categories of image classification and fine-grained recognition.
Study finds farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
New risk theory for 'Pay-for-Performance' models.
A new data-driven model forecasts electricity prices efficiently.
The paper introduces a new insurance pricing model based on driving mileage.
In the context of a Black-Scholes economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European options on a stock paying a discrete dividend. Setting the option price error below the smallest monetary unity, both bounds coincide, and we obtain the exact value…
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent. By contrast, if poor agents are…
A new method combines MCMC results to avoid failures in parallel computing.
Investors pay for additional asset information based on utility maximization.
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The stochastic factor follows a Levy process. This specification allows us to consider asse…
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…
This paper optimizes ad bids and daily budgets for multiple campaigns in pay-per-click advertising.
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model the occurrence of claims according to a Poisson process. The ruin is achieved wh…
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-…
A new method for imputing missing data using graphical models.
Super Learner combines dynamic predictions from various models to improve survival estimates.
NetDP predicts loan defaults using network data, addressing cold-start issues.
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being available from Basel ratings. Rating transition matrices have gained in importance with the newly adopted IFRS 9 accounting standard. Here,…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for investigating the behaviour of the demographic variable "new entrants" and the influenc…
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off 1, others zero. The agents optimize the expectation value of their discounted fu…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to…
Researchers derive a new equation for valuing American options.
Predicting which players will convert to paying users in video games.
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when t…
A simple formula approximates AUM fees' cumulative costs.
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with the common market practice …
The multi-armed restless bandit problem is studied in the case where the pay-off distributions are stationary -mixing. This version of the problem provides a more realistic model for most real-world applications, but cannot be optimally solved in practice, since it is known to be PSPACE-hard. The objective of …
Language Models (LMs) are important components in several Natural Language Processing systems. Recurrent Neural Network LMs composed of LSTM units, especially those augmented with an external memory, have achieved state-of-the-art results. However, these models still struggle to process long sequences which are more li…
This paper improves bidding price prediction for ancillary services markets, boosting revenues.
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that the protection buyer pays premium at fixed rate when the asset price is above a p…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as …
Novel framework uses synthetic data to quantify uncertainty in complex data.
An on-going debate in the energy economics and power market community has raised the question if energy-only power markets are increasingly failing due to growing feed-in shares from subsidized renewable energy sources (RES). The short answer to this is: No, they are not failing. Energy-based power markets are, however…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected lifetime utility from consumption of risk averse equity investors. We give a comple…
We derive the stress-energy tensor for polyharmonic maps between Riemannian manifolds. Moreover, we employ the stress-energy tensor to characterize polyharmonic maps where we pay special attention to triharmonic maps.
This is a survey article for the forthcoming `A Concise Encyclopedia of Knot Theory.' We focus on the topology of spatial graphs with few vertices and edges, paying particular attention to Brunnian -graphs.
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration policies share a common risk, which is comparable to that of the value premium. …
We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.
Study uses time series analysis to predict player churn and conversion in games.