We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We prop…
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48 results for “two-step procedure”
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuationq-fin.PR
Paper introduces new actuarial-consistent valuations for insurance liabilities.
problem Valuation of insurance liabilities considering both financial and actuarial risks.
method Proposes two-step actuarial valuations and actuarial-consistent procedures.
result Actuarial-consistent valuations are equivalent to two-step actuarial valuations under coherence.
We address the problem of estimating the difference between two probability densities. A naive approach is a two-step procedure of first estimating two densities separately and then computing their difference. However, such a two-step procedure does not necessarily work well because the first step is performed without …
We consider the problem of sparse estimation in a factor analysis model. A traditional estimation procedure in use is the following two-step approach: the model is estimated by maximum likelihood method and then a rotation technique is utilized to find sparse factor loadings. However, the maximum likelihood estimates c…
The paper studies the asymptotic behavior of adversarial training under -perturbation.
problem Theoretical guarantees for sparsity-recovery in adversarial training.
method Investigation of the asymptotic distribution of the adversarial training estimator in generalized linear models.
result The asymptotic distribution of the adversarial training estimator under -perturbation could have a positive probability mass at 0 when the true parameter is 0.
A new two-step MH method for Bayesian EL computation.
problem Complex likelihood support in Bayesian EL.
method Hierarchical Metropolis Hastings with reversible jump MCMC.
result Improved sampling from BayesEL posteriors.
The paper develops a method for optimal projection selection in high-dimensional classification.
problem High-dimensional classification with latent variable structure.
method Formulates a latent-variable model and proposes a computationally efficient classifier.
result Explicit rates of convergence for excess risk of the proposed classifier are derived and shown to be optimal.
Study on reducing dimensionality in high-dimensional regression with kernel methods and stability analysis.
problem Analyzing errors in high-dimensional regression with dimensionality reduction and kernel regression.
method Derive a stability result for kernel regression with Wasserstein distance and apply it to PCA to deduce convergence rates.
result Two-step procedure yields useful convergence rates in semi-supervised settings.
The paper decouples shrinkage and selection in Bayesian Quantile Regression.
problem Improving prediction accuracy in high-dimensional Bayesian Quantile Regression.
method Two-step procedure: shrinkage through continuous priors, sparsification through SAVS.
result The method reduces bias and provides interpretable variable selection.
The paper tackles manifold overfitting in deep generative models.
problem Manifold overfitting occurs when generative models learn the manifold itself instead of the distribution on it.
method The authors propose a two-step procedure: dimensionality reduction followed by maximum-likelihood density estimation.
result The two-step procedure avoids manifold overfitting and enables density estimation on learned manifolds.
Spatial econometric research typically relies on the assumption that the spatial dependence structure is known in advance and is represented by a deterministic spatial weights matrix. Contrary to classical approaches, we investigate the estimation of sparse spatial dependence structures for regular lattice data. In par…
Training a Generative Adversarial Networks (GAN) for a new domain from scratch requires an enormous amount of training data and days of training time. To this end, we propose DAWSON, a Domain Adaptive FewShot Generation FrameworkFor GANs based on meta-learning. A major challenge of applying meta-learning GANs is to obt…
This paper tackles discontinuous neural networks for better approximation of piecewise continuous functions.
problem Limitation of neural networks in approximating piecewise continuous functions due to discontinuities.
method Proposes a decoupled two-step procedure to train a discontinuous deep neural network model.
result Provides approximation guarantees for the proposed model in piecewise continuous function spaces.
New method for insurance valuation combining hedging and risk minimization.
problem Current insurance valuation methods do not reflect regulatory risk measures.
method Two-step hedging procedure using generalised regression.
result The method produces portfolios neutral to risk measures like VaR or expectiles.
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step procedure is adopted. The first step is the conditional inference on the autoregressi…
The paper develops methods for causal function estimation and inference with multiway clustered data.
problem Estimation and inference for causal functions under multiway clustering.
method Two-step procedure using machine learning for nuisance parameters and projection onto basis functions.
result Rejects the null hypothesis of uniformly zero effects and reveals heterogeneous treatment effects.
Paper reduces nonholonomic systems with symmetries.
problem Nonholonomic systems with symmetries and conserved quantities.
method Two-step reduction procedure: first results in Chaplygin system, second in almost symplectic structure.
result Almost symplectic manifolds coincide with reduced nonholonomic brackets.
In this paper, we propose a two-step training procedure for source separation via a deep neural network. In the first step we learn a transform (and it's inverse) to a latent space where masking-based separation performance using oracles is optimal. For the second step, we train a separation module that operates on the…
In this note, we introduce a new algorithm to deal with finite dimensional clustering with errors in variables. The design of this algorithm is based on recent theoretical advances (see Loustau (2013a,b)) in statistical learning with errors in variables. As the previous mentioned papers, the algorithm mixes different t…
The paper develops a neural network-based method for detecting change points in large-scale time-evolving data.
problem Detecting and locating change points in multivariate time-evolving data.
method Two-step procedure involving neural network training and test error function calibration over moving windows.
result Consistent estimates for the number and locations of change points under temporal dependence.
For massive data, the family of subsampling algorithms is popular to downsize the data volume and reduce computational burden. Existing studies focus on approximating the ordinary least squares estimate in linear regression, where statistical leverage scores are often used to define subsampling probabilities. In this p…
A new method for accurately reconstructing signals without knowing the kernel or signal regularity.
problem Recovering signals from noisy measurements without prior knowledge of the convolution kernel or signal regularity.
method Parametrizing the convolution kernel and prior length-scales, jointly estimated in the inversion procedure.
result Accurate reconstructions of signals with varying regularity and unknown kernel size.
The paper extends two-step homogeneous geodesics to homogeneous Finsler spaces.
problem Extending two-step homogeneous geodesics to Finsler spaces.
method Providing sufficient conditions for spaces and decomposable cubic spaces to have two-step Finsler geodesic orbit spaces.
result Presented examples of two-step Finsler geodesic orbit spaces.
Two-step solvable SKT shearsmath.DG
Classifies two-step solvable Lie groups with SKT structures.
problem Classifying Lie groups with SKT structures.
method Shear construction and analysis of SKT shear data on Abelian Lie algebras.
result Large part of the classification for two-step solvable SKT algebras of dimension six.
We consider a method popular in the literature of associating a two-step nilpotent Lie algebra with a finite simple graph. We prove that the two-step nilpotent Lie algebras associated with two graphs are Lie isomorphic if and only if the graphs from which they arise are isomorphic.
We consider selection of random predictors for high-dimensional regression problem with binary response for a general loss function. Important special case is when the binary model is semiparametric and the response function is misspecified under parametric model fit. Selection for such a scenario aims at recovering th…
We consider the least-square linear regression problem with regularization by the -norm, a problem usually referred to as the Lasso. In this paper, we first present a detailed asymptotic analysis of model consistency of the Lasso in low-dimensional settings. For various decays of the regularization parameter, w…
A robust implementation of a Dupire type local volatility model is an important issue for every option trading floor. Typically, this (inverse) problem is solved in a two step procedure : (i) a smooth parametrization of the implied volatility surface; (ii) computation of the local volatility based on the resulting call…
Paper estimates optimal ROC curve arc length and AUC, improving classification performance.
problem Estimating optimal ROC curve arc length and AUC in imbalanced binary classification.
method Expresses arc length and AUC as variational objectives, estimating using positive and negative samples.
result Proposed classification procedure maximizes an approximate lower bound of maximal AUC.
Proves conjecture about compatible SKT and balanced metrics on compact solvmanifolds.
problem Compact complex manifolds with both SKT and balanced metrics.
method Shear construction and classification of two-step solvable Lie algebras.
result Proves conjecture for compact two-step solvmanifolds with invariant complex structures.
Proposes a method to estimate treatment effects using instruments.
problem Estimating treatment effects from observational data is challenging when unconfoundedness is violated.
method Leverages instruments to estimate bounds on conditional average treatment effect (CATE) through a mapping to a discrete representation space and a two-step procedure.
result Demonstrates theoretical validity and reduced estimation variance in finite-sample settings.
We prove that two-step analytic sub-Riemannian structures on a compact analytic manifold equipped with a smooth measure and Lipschitz Carnot groups satisfy measure contraction properties.
Develops a new framework for joint portfolio risk forecasting.
problem Joint portfolio risk forecasting, especially for Value-at-Risk and Expected Shortfall.
method Semi-parametric multivariate framework with dynamic conditional correlation modeling.
result The proposed model outperforms existing approaches in risk forecasting.
A Riemannian Einstein solvmanifold (possibly, any noncompact homogeneous Einstein space) is almost completely determined by the nilradical of its Lie algebra. A nilpotent Lie algebra, which can serve as the nilradical of an Einstein metric solvable Lie algebra, is called an Einstein nilradical. Despite a substantial pr…
In this work we introduce a category of discrete Lagrange--Poincare systems LP_d and study some of its properties. In particular, we show that the discrete mechanical systems and the discrete mechanical systems obtained by the Lagrangian reduction of symmetric discrete mechanical systems are objects in LP_d. We introdu…
We propose a novel Bayesian approach to solve stochastic optimization problems that involve finding extrema of noisy, nonlinear functions. Previous work has focused on representing possible functions explicitly, which leads to a two-step procedure of first, doing inference over the function space and second, finding th…
Basis adaptation in Homogeneous Chaos spaces rely on a suitable rotation of the underlying Gaussian germ. Several rotations have been proposed in the literature resulting in adaptations with different convergence properties. In this paper we present a new adaptation mechanism that builds on compressive sensing algorith…
Proposes FarmHazard model for hazard regression with correlated covariates.
problem Model selection challenges in high-dimensional data with correlated covariates.
method Factor-Augmented Regularized Model for Hazard Regression (FarmHazard) that learns latent factors and idiosyncratic components.
result Proves model selection and estimation consistency under mild conditions.
A great deal of interest has recently focused on conducting inference on the parameters in a high-dimensional linear model. In this paper, we consider a simple and very naïve two-step procedure for this task, in which we (i) fit a lasso model in order to obtain a subset of the variables, and (ii) fit a least squares mo…
Paper verifies RNNs using automata learning and model checking.
problem Verifying the correctness of RNNs is challenging.
method Learn a deterministic finite automaton from RNN, use model checking for verification.
result Can discover and generalize counterexamples to faulty flows.
Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancementq-fin.PM
The paper optimizes asset selection for index trackers and enhanced trackers with varying cardinality constraints.
problem Optimizing asset selection for index trackers and enhanced trackers with cardinality constraints.
method Divided into two steps: asset pre-selection and asset weight estimation. Used eight pre-selection procedures with different combinations of selection methods and regression types.
result Out-of-sample tracking errors are roughly proportional to 1/sqrt(cardinality). OLS is more effective than LAD, BE marginally more effective than FS, and (n) marginally more effective than (c).
Estimates variance function using aggregation methods in regression models.
problem Estimating variance function in regression models.
method Two-step procedure involving model selection or convex aggregation, using two independent samples.
result Consistency of the proposed method in L2 error for MS and C aggregations.
We address a practical problem ubiquitous in modern marketing campaigns, in which a central agent tries to learn a policy for allocating strategic financial incentives to customers and observes only bandit feedback. In contrast to traditional policy optimization frameworks, we take into account the additional reward st…
Study homogenizes equations on parallelizable manifolds using tensor localization and periodicity.
problem Homogenizing oscillating linear elliptic equations on parallelizable manifolds.
method Two-scale convergence through localization and periodicity induced by geometry.
result Explicit cell formulae for the homogenization limit and a theory of two-scale convergence of tensors.
We associate a two-step nilpotent Lie algebra to an arbitrary Schreier graph. We then use properties of the Schreier graph to determine necessary and sufficient conditions for this Lie algebra to extend to a three-step nilpotent Lie algebra. As an application, if we start with pairs of non-isomorphic Schreier graphs co…
A two-step nonparametric method estimates financial systemic risk.
problem Estimating CoVaR due to unobservability of multivariate-quantiles.
method Two-step nonparametric approach using Monte-Carlo simulation and kernel method.
result Consistency and asymptotic normality of the two-step estimator established.
This paper is concerned with the problems of interaction screening and nonlinear classification in a high-dimensional setting. We propose a two-step procedure, IIS-SQDA, where in the first step an innovated interaction screening (IIS) approach based on transforming the original -dimensional feature vector is propose…
A conjugate Bayesian method detects change points in Hawkes processes efficiently.
problem Non-conjugacy between Hawkes process likelihood and prior causes inefficiency in change point detection.
method Data augmentation to propose a conjugate Bayesian two-step change point detection method.
result The conjugate method is more accurate and efficient than non-conjugate methods.