Bart P. G. Van Parys

collaborators

4 papers

math.ST2026

Decision-Centric Large Deviations for Data-Driven Capital Buffers in Ruin Models

Yf Henkes, Bart P. G. van Parys, Bert Zwart

We consider an insurance risk model with a random walk structure in which the underlying probability law is unknown. A decision maker observes a statistic $Q_{n}$ computed from $n$ h…

math.ST2026

Optimal Estimators for Heavy-Tailed Mean Estimation via Convex Analysis

Bart P. G. van Parys, Bert Zwart

We study optimal estimation of the location parameter of a distribution known only to lie in a symmetric moment class $C_{0}$ : the mean-zero distributions with bounded momen…

math.OC2026

Robust Mean Estimation for Optimization: The Impact of Heavy Tails

Bart P. G. van Parys, Bert Zwart

We consider the problem of constructing a least conservative estimator of the expected value $I^¼$ of a non-negative heavy-tailed random variable. We require that the probability of…

math.OC2026

Stochastic Optimization with Optimal Importance Sampling

Liviu Aolaritei, Bart P. G. Van Parys, Henry Lam +1

Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applic…