11 papers
Likelihood-based Spacings Goodness-of-Fit Statistics for Univariate Shape-constrained Densities
Kwun Chuen Gary Chan, Hok Kan Ling, Chuan-Fa Tang +1
A variety of statistics based on sample spacings have been studied for testing goodness-of-fit to parametric distributions. To test the goodness-of-fit to a nonparametric class of…
A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method…
Optimal design of reinsurance contracts with a continuum of risk assessments
Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen +1
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types…
A Variational Approach to Mean Field Type Control
Alain Bensoussan, Ziyu Huang, Sheung Chi Phillip Yam
Variational methods have been used to study stochastic control for long, see Bensoussan (1982) and Bensoussan-Lions (1978) for the early works. More precisely, variational approach…
Mean Field Analysis of Mutual Insurance Market
Bohan Li, Wenyuan Li, Kenneth Tsz Hin Ng +1
A mutual insurance company (MIC) is a type of consumer cooperative owned by its policyholders. By purchasing insurance from an MIC, policyholders effectively become member-owners o…
Generalized Taylor's Law for Dependent and Heterogeneous Heavy-Tailed Data
Pok Him Cheng, Joel E. Cohen, Hok Kan Ling +1
Taylor's law, also known as fluctuation scaling in physics and the power-law variance function in statistics, is an empirical pattern widely observed across fields including ecolog…