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Assessing Asset-Liability Risk with Neural Networks
Risks, 2020 We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is ...
Patrick Cheridito +2 more
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Estimating Tail Probabilities of Random Sums of Phase-Type Scale Mixture Random Variables
Algorithms, 2022 We consider the problem of estimating tail probabilities of random sums of scale mixture of phase-type distributions—a class of distributions corresponding to random variables which can be represented as a product of a non-negative but otherwise ...
Hui Yao, Thomas Taimre
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Cut-off importance sampling of bole volume.
Silva Fennica, 1997 Cut-off importance sampling (CIS) is introduced as a means of sampling individual trees for the purpose of estimating bole volume. The novel feature of this variant of importance sampling is the establishment on the bole of a cut-off height, H, above ...
Robinson, Andrew +2 more
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Automatic Tempered Posterior Distributions for Bayesian Inversion Problems
Mathematics, 2021 We propose a novel adaptive importance sampling scheme for Bayesian inversion problems where the inference of the variables of interest and the power of the data noise are carried out using distinct (but interacting) methods.
Luca Martino +4 more
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CoRR, 2012 Appears in Proceedings of the Twenty-Fourth Conference on Uncertainty in Artificial Intelligence (UAI2008)
Haohai Yu, Robert van Engelen
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Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
Econometrics, 2016 This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of ...
Nalan Baştürk +3 more
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A Bayesian Spatial Model to Predict Disease Status Using Imaging Data From Various Modalities
Frontiers in Neuroscience, 2018 Relating disease status to imaging data stands to increase the clinical significance of neuroimaging studies. Many neurological and psychiatric disorders involve complex, systems-level alterations that manifest in functional and structural properties of ...
Wenqiong Xue +2 more
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Balancing Gender Bias in Job Advertisements With Text-Level Bias Mitigation
Frontiers in Big Data, 2022 Despite progress toward gender equality in the labor market over the past few decades, gender segregation in labor force composition and labor market outcomes persists.
Shenggang Hu +11 more
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EXACT SIMULATION OF A BOOLEAN MODEL
Image Analysis and Stereology, 2013 A Boolean model is a union of independent objects (compact random subsets) located at Poisson points. Two algorithms are proposed for simulating a Boolean model in a bounded domain. The first one applies only to stationary models.
Christian Lantuéjoul
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Statistics and Computing, 2001 Simulated annealing - moving from a tractable distribution to a distribution of interest via a sequence of intermediate distributions - has traditionally been used as an inexact method of handling isolated modes in Markov chain samplers. Here, it is shown how one can use the Markov chain transitions for such an annealing sequence to define an ...
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