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.
Develops geometric BSDEs for modeling dynamic return risk measures.
New formula for portfolio risk management using conditional PDEs.
The paper examines variable annuities pricing and risk management using the Black-Scholes model and identifies key risk drivers.
Improved risk assessment for UBI using telematics data and AdaBoost.
We decompose the squared price-of-risk premium into three components: intervention-stable premium, confounding wedge, and information loss.
New machine learning model identifies key drivers of market troughs.
Paper proposes a risk index combining frequency and severity of abnormal driving patterns.
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) -expectation. We then consider a non-zero-sum game on discrete stopping times with two agents who aim at minimizing their respect…
In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the inf-convolution of drivers G.
Synthetic telematics dataset created from insurance claims data.
CPCMs integrate causal drivers for robust portfolio optimization.
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives and changes the behaviour of the underlying volatility in a nonlinear way. We mod…
Urban traffic systems worldwide are suffering from severe traffic safety problems. Traffic safety is affected by many complex factors, and heavily related to all drivers' behaviors involved in traffic system. Drivers with aggressive driving behaviors increase the risk of traffic accidents. In order to manage the safety…
Optimizes portfolios using neural network approximations of asset sensitivities to common drivers.
Study finds telemetric data not effective for predicting truck accident risk.
Optimizes portfolios by identifying causal drivers of diversification.
Hybrid ML ensemble predicts market risk and generates alpha.
Study dynamic portfolio choice under rotating drivers, revealing a new geometric structure.
This study identifies RwD crash patterns on rural two-lane highways under different lighting conditions.
This study uses ARM to analyze pedestrian crashes under different lighting conditions.
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financia…
Enhances resilience evaluation by using dynamic convex risk measures.
AI helps Vancouver identify where off-street parking saves time and space.
Advanced driver assistance systems (ADAS) can be significantly improved with effective driver action prediction (DAP). Predicting driver actions early and accurately can help mitigate the effects of potentially unsafe driving behaviors and avoid possible accidents. In this paper, we formulate driver action prediction a…
Proposes a new framework for environmental CVA with robust wrong-way risk.
Every time drivers take to the road, and with each mile that they drive, exposes themselves and others to the risk of an accident. Insurance premiums are only weakly linked to mileage, however, and have lump-sum characteristics largely. The result is too much driving, and too many accidents. In this paper, we introduce…
We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the factors determining variance and higher-moment risk premia. This class is the discretisation invariant sub-class of swaps with Neuberger's agg…
Vacant taxi drivers' passenger seeking process in a road network generates additional vehicle miles traveled, adding congestion and pollution into the road network and the environment. This paper aims to employ a Markov Decision Process (MDP) to model idle e-hailing drivers' optimal sequential decisions in passenger-se…
Driver drowsiness increases crash risk, leading to substantial road trauma each year. Drowsiness detection methods have received considerable attention, but few studies have investigated the implementation of a detection approach on a mobile phone. Phone applications reduce the need for specialised hardware and hence, …
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of trading overlap among any two investors in that stock. We investigate the ef…
The potential positive impact of autonomous driving and driver assistance technolo- gies have been a major impetus over the last decade. On the flip side, it has been a challenging problem to analyze the performance of human drivers or autonomous driving agents quantitatively. In this work, we propose a generic method …
Data generated by cars is growing at an unprecedented scale. As cars gradually become part of the Internet of Things (IoT) ecosystem, several stakeholders discover the value of in-vehicle network logs containing the measurements of the multitude of sensors deployed within the car. This wealth of data is also expected t…
We formalize causal separation in portfolio theory, deriving a closed-form projected Markowitz solution.
Route Choice Models predict the route choices of travelers traversing an urban area. Most of the route choice models link route characteristics of alternative routes to those chosen by the drivers. The models play an important role in prediction of traffic levels on different routes and thus assist in development of ef…
Paper develops a model to assess capital requirement for demographic risk using stochastic methods.
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected …
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and uses time-inhomogeneous Lévy processes as risk drivers. Further, we allow for d…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is formulated as a continuous time stochastic optimal control problem aiming at ma…
TNDE quantifies dynamic gene drivers from single-cell snapshots.
Order dispatching and driver repositioning (also known as fleet management) in the face of spatially and temporally varying supply and demand are central to a ride-sharing platform marketplace. Hand-crafting heuristic solutions that account for the dynamics in these resource allocation problems is difficult, and may be…
The paper characterizes dynamic return and star-shaped risk measures via BSDEs.
In this work, we propose a method for learning driver models that account for variables that cannot be observed directly. When trained on a synthetic dataset, our models are able to learn encodings for vehicle trajectories that distinguish between four distinct classes of driver behavior. Such encodings are learned wit…
Paper proposes personalized climate control for driver comfort.
This paper introduces new risk measures for evaluating losses with varying time horizons.
Study on price formation among investors with exponential utility and liabilities.
Driver identification has emerged as a vital research field, where both practitioners and researchers investigate the potential of driver identification to enable a personalized driving experience. Within recent years, a selection of studies have reported that individuals could be perfectly identified based on their dr…
Develops a method to predict stock returns with time-varying risk premia.
Study assesses additional factors for identifying persistent alpha in pension funds.