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.
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an information-based approach to the reserving problem, we derive the process of the condition…
SPLICE simulates incurred losses and their revisions.
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian Paid-Incurred-Claims models, combining the claims reserving models of Hertig et al. (198…
We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving data across lines of business, and show that they improve on the predictive accu…
We investigate online classification with paid stochastic experts. Here, before making their prediction, each expert must be paid. The amount that we pay each expert directly influences the accuracy of their prediction through some unknown Lipschitz "productivity" function. In each round, the learner must decide how mu…
Study online linear regression with paid noise reduction.
In real world systems, the predictions of deployed Machine Learned models affect the training data available to build subsequent models. This introduces a bias in the training data that needs to be addressed. Existing solutions to this problem attempt to resolve the problem by either casting this in the reinforcement l…
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore the rate of return on cap…
We describe loss surfaces using topological Betti numbers.
Blockchain markets with paid-priority trading can lead to biased prices and reduced liquidity.
Develops a Bonus-Malus model for cyber risk insurance to incentivize cybersecurity.
The aim of this contribution is to derive a general matrix formula for the net period premium paid in more than one state. For this purpose we propose to combine actuarial technics with the graph optimization methodology. The obtained result is useful for example to more advanced models of dread disease insurances allo…
The paper optimizes insurance strategies for two collaborating business lines.
TPG-DNN predicts user intent using GRU loss and multi-task learning.
We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are declared or paid in a foreign currency. The currency fluctuation is modelled as…
We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax process, the tax rate is a function of the current level of capital, whereas in the latent tax process, the tax rate is…
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to ad…
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend poli…
Those maps of a closed surface to the three-dimensional torus that are homotopic to embeddings are characterized. Particular attention is paid to the somewhat intricate case when the surface is nonorientable.
During the last few years, significant attention has been paid to the stochastic training of artificial neural networks, which is known as an effective regularization approach that helps improve the generalization capability of trained models. In this work, the method of modified equations is applied to show that the r…
Clustering with fast algorithms large samples of high dimensional data is an important challenge in computational statistics. Borrowing ideas from MacQueen (1967) who introduced a sequential version of the -means algorithm, a new class of recursive stochastic gradient algorithms designed for the -medians loss cri…
Recent links between Finsler Geometry and the geometry of spacetimes are briefly revisited, and prospective ideas and results are explained. Special attention is paid to geometric problems with a direct motivation in Relativity and other parts of Physics.
The paper contains a review on the general connection theory on differentiable fibre bundles. Particular attention is paid to (linear) connections on vector bundles. The (local) representations of connections in frames adapted to holonomic and arbitrary frames is considered.
Recently much attention has been paid to deep generative models, since they have been used to great success for variational inference, generation of complex data types, and more. In most all of these settings, the goal has been to find a particular member of that model family: optimized parameters index a distribution …
We translate Penrose's singularity theorem to a Finsler spacetime. To that end, causal concepts in Lorentzian geometry are extended, including definitions and properties of focal points and trapped surfaces, with careful attention paid to the differences that arise in the Finslerian setting.
We consider symplectic Floer homology in the lowest nontrivial dimension, that is to say, for area-preserving diffeomorphisms of surfaces. Particular attention is paid to the quantum cap product; we show that it distinguishes the trivial element of the mapping class group from any nontrivial one.
Study on measuring vulnerability of neural network parameters via corruption.
A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's portfolio depends only on the fu…
This paper maps the insurability of AI risks across various insurance products.
Optimal dividend strategy for insurance company in foreign currency.
We study the problem of prescribing the Paneitz curvature on higher dimensional spheres. Particular attention is paid to the blow-up points, i.e. the critical points at infinity of the corresponding variational problem. Using topological tools and a careful analysis of the gradient flow lines in the neighborhood of suc…
This is a survey of old and new results on the problem when a compatible almost complex structure on a Riemannian manifold is a harmonic section or a harmonic map from the manifold into its twistor space. In this context, a special attention is paid to the Atiyah-Hitchin-Singer and Eells-Salamon almost complex structur…
This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the Europ…
Solves relative isoperimetric problem on polygonal domains, focusing on corners.
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…
Generalized are the investigated in other works of the author transports along paths in fibre bundles to transports along arbitrary maps in them. Their structure and some properties are studied. Special attention is paid to the linear case and the case when the map's domain is a Cartesian product of two sets. Also cons…
Gaussian graphical model is a graphical representation of the dependence structure for a Gaussian random vector. It is recognized as a powerful tool in different applied fields such as bioinformatics, error-control codes, speech language, information retrieval and others. Gaussian graphical model selection is a statist…
One important effect of price shocks in the United States has been increased political attention paid to the structure and performance of oil and natural gas markets, along with some governmental support for energy conservation. This paper describes how price changes helped lead the emergence of a political agenda acco…
This paper analyzes Ethereum's gas fees and their derivatives, providing a comprehensive model.
We study Laplace eigenvalues on Kähler manifolds as functionals on the space of Kähler metrics with cohomologous Kähler forms. We introduce a natural notion of a -extremal Kähler metric and obtain necessary and sufficient conditions for it. A particular attention is paid to the -extremal properties of K…
We characterize when a convex risk measure associated to a law-invariant acceptance set in can be extended to , , preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concre…
New framework shows algorithmic recourse can be harmful.
This study reveals efficient finite-difference computation for gradient regularization in deep learning.
Characterizes Hilbert schemes and their geometric properties.
We examine the local geometry of affine surfaces which are locally symmetric. There are 6 non-isomorphic local geometries. We realize these examples as Type A, Type B, and Type C geometries using a result of Opozda and classify the relevant geometries up to linear isomorphism. We examine the geodesic structures in this…
There is a certain family of conformally invariant first order elliptic operators on Riemannian spin manifold which include Dirac operator as its first and simplest member. Their general definition is given and their basic properties are described. A special attention is paid to the Rarita-Schwinger operator the second…
New Poisson structures found on Higgs bundle moduli spaces.
Necessary and sufficient conditions are investigated for the existence of local bases in which the components of derivations of tensor algebras over differentiable manifold vanish in a neighborhood or only at a single point. The problem when these bases are holonomic or anholonomic is considered. Attention is paid to t…