3 citations · 4 across the 6 of their papers we have counts for
7 papers
A new discrimination measure for assessing predictive performance of non-linear survival models
Alfensi Faruk, Jan Palczewski, Georgios Aivaliotis
Non-linear survival models are flexible models in which the proportional hazard assumption is not required. This poses difficulties in their evaluation. We introduce a new discrimi…
Bayesian CART models for aggregate claim modeling
Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis +1
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 g…
Bayesian CART models for insurance claims frequency
Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis +1
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. I…
Automatic model training under restrictive time constraints
Lukas Cironis, Jan Palczewski, Georgios Aivaliotis
We develop a hyperparameter optimisation algorithm, Automated Budget Constrained Training (AutoBCT), which balances the quality of a model with the computational cost required to t…
Dynamic Dependence Modeling in financial time series
Yali Dou, Haiyan Liu, Georgios Aivaliotis
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 a…
On estimation of the effect lag of predictors and prediction in functional linear model
Haiyan Liu, Georgios Aivaliotis, Jeanine Houwing-Duistermaat
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 func…
An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem
Georgios Aivaliotis, Alexander Yu. Veretennikov
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 i…