4 papers
Factorized Tail Volatility Model: Augmenting Excess-over-Threshold Method for High-Dimensional Hevay-Tailed Data
Yifan Hu, Yanxi Hou
Ecess-over-Threshold method is a crucial technique in extreme value analysis, which approximately models larger observations over a threshold using a Generalized Pareto Distributio…
Bootstrap-based Inference for Bivariate Heteroscedastic Extremes with a Changing Tail Copula
Yifan Hu, Yanxi Hou
This paper introduces a copula-based model for independent but non-identically distributed data with heteroscedastic extremes marginal and changing tail dependence structures. We e…
Combining Structural and Unstructured Data: A Topic-based Finite Mixture Model for Insurance Claim Prediction
Yanxi Hou, Xiaolan Xia, Guangyuan Gao
Modeling insurance claim amounts and classifying claims into different risk levels are critical yet challenging tasks. Traditional predictive models for insurance claims often over…
Learning to Simulate: Generative Metamodeling via Quantile Regression
L. Jeff Hong, Yanxi Hou, Qingkai Zhang +1
Stochastic simulation models effectively capture complex system dynamics but are often too slow for real-time decision-making. Traditional metamodeling techniques learn relationshi…