Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Aivaliotis, Georgios"'
This paper proposes three types of Bayesian CART (or BCART) models for aggregate claim amount, namely, frequency-severity models, sequential models and joint models. We propose a general framework for the BCART models applicable to data with multivar
Externí odkaz:
http://arxiv.org/abs/2409.01908
Accuracy and interpretability of a (non-life) insurance pricing model are essential qualities to ensure fair and transparent premiums for policy-holders, that reflect their risk. In recent years, the classification and regression trees (CARTs) and th
Externí odkaz:
http://arxiv.org/abs/2303.01923
We develop a hyperparameter optimisation algorithm, Automated Budget Constrained Training (AutoBCT), which balances the quality of a model with the computational cost required to tune it. The relationship between hyperparameters, model quality and co
Externí odkaz:
http://arxiv.org/abs/2104.10746
Publikováno v:
In Insurance Mathematics and Economics January 2024 114:108-131
This paper explores the dependence modeling of financial assets in a dynamic way and its critical role in measuring risk. Two new methods, called Accelerated Moving Window method and Bottom-up method are proposed to detect the change of copula. The p
Externí odkaz:
http://arxiv.org/abs/1908.05130
We propose a functional linear model to predict a response using multiple functional and longitudinal predictors and to estimate the effect lags of predictors. The coefficient functions are written as the expansion of a basis system (e.g. functional
Externí odkaz:
http://arxiv.org/abs/1907.09808
Publikováno v:
Random Operators and Stochastic Equations, 2018, v.26, no.4, 225-234. https://doi.org/10.1515/rose-2018-0020
A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic optimizat
Externí odkaz:
http://arxiv.org/abs/1508.05835
Publikováno v:
Statistics in Biosciences; Apr2024, Vol. 16 Issue 1, p1-24, 24p
Autor:
Aivaliotis, Georgios1,2,3, Palczewski, Jan1,2, Atkinson, Rebecca2, Cade, Janet E.4, Morris, Michelle A.2,3,5 M.Morris@leeds.ac.uk
Publikováno v:
Scientific Reports. 7/7/2021, Vol. 11 Issue 1, p1-9. 9p.