4 papers
Diachronic Sample Integration: Robust Tail-Risk Estimation with Generative Models
Shuning Zhao, Patrick Wong, Leran Zhang +1
Deep generative models are increasingly used as simulators for downstream decision-making under data scarcity, but in risk-sensitive applications their usefulness depends on rare a…
Joint survival annuity derivative valuation in the linear-rational Wishart mortality model
Jose Da Fonseca, Patrick Wong
This study proposes a linear-rational joint survival mortality model based on the Wishart process. The Wishart process, which is a stochastic continuous matrix affine process, allo…
Wishart conditional tail risk measures: An analytic approach
Jose Da Fonseca, Patrick Wong
This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of po…
A Study of Data-driven Methods for Inventory Optimization
Lee Yeung Ping, Patrick Wong, Tan Cheng Han
This paper shows a comprehensive analysis of three algorithms (Time Series, Random Forest (RF) and Deep Reinforcement Learning) into three inventory models (the Lost Sales, Dual-So…