9 citations · 18 across the 13 of their papers we have counts for
13 papers
Asymptotic Analysis of Optimal Diversification in Catastrophe Risk Pooling
Minh Chau Nguyen, Tony S. Wirjanto, Fan Yang
Catastrophe risk has long been recognized to pose a serious threat to the insurance sector. Catastrophe risk pooling offers an effective way to diversify losses arising from catast…
Prospective Multi-Graph Cohesion for Multivariate Time Series Anomaly Detection
Jiazhen Chen, Mingbin Feng, Tony S. Wirjanto
Anomaly detection in high-dimensional time series data is pivotal for numerous industrial applications. Recent advances in multivariate time series anomaly detection (TSAD) have in…
Semi-supervised Anomaly Detection with Extremely Limited Labels in Dynamic Graphs
Jiazhen Chen, Sichao Fu, Zheng Ma +3
Semi-supervised graph anomaly detection (GAD) has recently received increasing attention, which aims to distinguish anomalous patterns from graphs under the guidance of a moderate…
Strategic Investment to Mitigate Transition Risks
Jiayue Zhang, Tony S. Wirjanto, Lysa Porth +1
This paper investigates strategic investments needed to mitigate transition risks, particularly focusing on sectors significantly impacted by the shift to a low-carbon economy. It…
Towards Cross-domain Few-shot Graph Anomaly Detection
Jiazhen Chen, Sichao Fu, Zhibin Zhang +4
Few-shot graph anomaly detection (GAD) has recently garnered increasing attention, which aims to discern anomalous patterns among abundant unlabeled test nodes under the guidance o…
Joint Liability Model with Adaptation to Climate Change
Jiayue Zhang, Ken Seng Tan, Tony S. Wirjanto +1
This paper extends the application of ESG score assessment methodologies from large corporations to individual farmers' production, within the context of climate change. Our propos…
Understanding the Impact of Seasonal Climate Change on Canada's Economy by Region and by Sector
Shiyu He, Trang Bui, Yuying Huang +4
To assess the impact of climate change on the Canadian economy, we investigate the relationship between seasonal climate variables and economic growth across provinces and economic…
Navigating Uncertainty in ESG Investing
Jiayue Zhang, Ken Seng Tan, Tony S. Wirjanto +1
The widespread confusion among investors regarding Environmental, Social, and Governance (ESG) rankings assigned by rating agencies has underscored a critical issue in sustainable…
Harnessing Contrastive Learning and Neural Transformation for Time Series Anomaly Detection
Katrina Chen, Mingbin Feng, Tony S. Wirjanto
Time series anomaly detection (TSAD) plays a vital role in many industrial applications. While contrastive learning has gained momentum in the time series domain for its prowess in…
Multivariate Time Series Anomaly Detection via Dynamic Graph Forecasting
Katrina Chen, Mingbin Feng, Tony S. Wirjanto
Anomalies in univariate time series often refer to abnormal values and deviations from the temporal patterns from majority of historical observations. In multivariate time series,…
Wrong-Way Bounds in Counterparty Credit Risk Management
Amir Memartoluie, David Saunders, Tony Wirjanto
We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when…
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Marius Hofert, Amir Memartoluie, David Saunders +1
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their im…
Stationarity as a Path Property with Applications in Time Series Analysis
Yi Shen, Tony S. Wirjanto
Traditionally stationarity refers to shift invariance of the distribution of a stochastic process. In this paper, we rediscover stationarity as a path property instead of a distrib…