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Support Recovery of Gaussian Graphical Model with False Discovery Rate Control
This paper focuses on the support recovery of the Gaussian graphical model (GGM) with false discovery rate (FDR) control. The graceful symmetrized...
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The kth Power Expectile Estimation and Testing
This paper develops the theory of the k th power expectile estimation and considers its relevant hypothesis tests for coefficients of linear...
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Confidence Disc and Square for the Cauchy Distributions
We construct a confidence region of parameters for a sample of size N from the Cauchy distributed random variables. Although the Cauchy distribution...
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Is accumulation risk in cyber methodically underestimated?
Many insurers have started to underwrite cyber in recent years. In parallel, they developed their first actuarial models to cope with this new type...
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ON THE DISCRETE DISTRIBUTION GENERATED BY LEVY PROBABILITY
In this paper, we consider one-parameter regularly varying discrete distribution generated by Levy probability (RDLP). Some useful plots of the...
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Revisiting Total Model Errors and Model Validation
The paper contains a discussion of earlier work on Total Model Errors and Model Validation. It is maintained that the recent change of paradigm to...
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Generic error bounds for the generalized Lasso with sub-exponential data
This work performs a non-asymptotic analysis of the generalized Lasso under the assumption of sub-exponential data. Our main results continue recent...
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Modeling and pricing cyber insurance
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the...
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A New Flexible Three-Parameter Compound Chen Distribution: Properties, Copula and Modeling Relief Times and Minimum Flow Data
In this work, a new flexible extension of the Chen distribution is derived and studied. The new density accommodates the "unimodal right skewed",...
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Critical Density for Network Reconstruction
The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most...
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The Two-Sided Exit Problem for Relatively Stable Walks
This chapter is a continuation of Chapter 6. We use the same notation as therein. As in Chapter 6, we shall be primarily concerned with the event
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Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
This paper studies the joint tail behavior of two randomly weighted sums ∑
i =1 m Θ i X i and ∑j =1 n θ j Y j for some m, n ∈ ℕ ∪{∞}, in which the primary... -
Geometry and Adaptive Mesh Update Procedures for Ballistics Simulations
Many engineering problems are characterized as having complex geometry that evolves over time combined with complex physical behaviors. In addition...
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The Estimation Risk in Credit Regulatory Capital
In Internal Rating Based approaches, the regulator indicates a model to determine bank’s credit capital requirements. The main concern is on model’s...
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On Estimating Multi- Stress Strength Reliability for Inverted Kumaraswamy Under Ranked Set Sampling with Application in Engineering
The terrible operating constraints of many real-world events cause systems to malfunction regularly. The failure of systems to perform their intended...
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Recurrence, Transience, Liouville and Speed
In this chapter, we study the behavior of the simple random walk (SRW) on infinite Boltzmann planar maps of the plane under...
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Calibration of P-values for calibration and for deviation of a subpopulation from the full population
The author’s recent research papers, “Cumulative deviation of a subpopulation from the full population” and “A graphical method of cumulative...
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Optimising portfolio diversification and dimensionality
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation...
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A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas
Copulas are multivariate distribution functions which their margins are distributed uniformly. Therefore, copulas are pretty useful for modeling...
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Modeling Air Pollution Data Using a Generalized Birnbaum-Saunders Distribution with Different Estimation Procedures
As the detrimental impact of air pollution becomes more prevalent; it is crucial to accurately model the distribution of air contamination levels. In...