1 citations · 2 across the 6 of their papers we have counts for
6 papers
Robust Optimal Portfolio in a Mixture Setting with Partial Ambiguity
N. D. Shyamalkumar, Tianrun Wang
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mix…
On a Class of Optimal Reinsurance Problems
N. D. Shyamalkumar, Tianrun Wang
De Finetti's optimal reinsurance is a set of contracts, one for each risk in a portfolio, that caps the retained aggregate variance to a pre-specified level while minimizing total…
An Algorithm for Distributed Bayesian Inference in Generalized Linear Models
Nariankadu D. Shyamalkumar, Sanvesh Srivastava
Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however,…
On a Tail Bound for Root-Finding in Randomly Growing Trees
Sam Justice, N. D. Shyamalkumar
We re-examine a lower-tail upper bound for the random variable where …
On Tail Dependence Matrices -- The Realization Problem for Parametric Families
Nariankadu D. Shyamalkumar, Siyang Tao
Among bivariate tail dependence measures, the tail dependence coefficient has emerged as the popular choice. Akin to the correlation matrix, a multivariate dependence measure is co…
Reading policies for joins: An asymptotic analysis
Ralph P. Russo, Nariankadu D. Shyamalkumar
Suppose that observations are made from the distribution and from the distribution . Associate with each pair, from and $…