3 papers
math.ST2026
Decision-Centric Large Deviations for Data-Driven Capital Buffers in Ruin Models
Yf Henkes, Bart P. G. van Parys, Bert Zwart
We consider an insurance risk model with a random walk structure in which the underlying probability law is unknown. A decision maker observes a statistic computed from h…
math.OC2025
Stochastic Optimization with Optimal Importance Sampling
Liviu Aolaritei, Bart P. G. Van Parys, Henry Lam +1
Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applic…
math.OC2025
Robust Mean Estimation for Optimization: The Impact of Heavy Tails
Bart P. G. van Parys, Bert Zwart
We consider the problem of constructing a least conservative estimator of the expected value of a non-negative heavy-tailed random variable. We require that the probability of…