7 papers
Gradient boosted multi-population mortality modelling with high-frequency data
Ziting Miao, Han Li, Yuyu Chen
High-frequency mortality data have attracted growing attention, but their use has largely been confined to specific applications rather than general modelling and forecasting. Such…
Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution
Enrique CalderÃn-Ojeda, Yuyu Chen, Soon Wei Tan
Capital allocation is a procedure used to assess the risk contributions of individual risk components to the total risk of a portfolio. While the conditional tail expectation (CTE)…
Understanding Inconsistent State Update Vulnerabilities in Smart Contracts
Lantian Li, Yuyu Chen, Jingwen Wu +2
Smart contracts enable contract terms to be automatically executed and verified on the blockchain, and recent years have witnessed numerous applications of them in areas such as fi…
Fine-Tuned Language Models for Domain-Specific Summarization and Tagging
Jun Wang, Fuming Lin, Yuyu Chen
This paper presents a pipeline integrating fine-tuned large language models (LLMs) with named entity recognition (NER) for efficient domain-specific text summarization and tagging.…
Optimal insurance design with Lambda-Value-at-Risk
Tim J. Boonen, Yuyu Chen, Xia Han +1
This paper explores optimal insurance solutions based on the Lambda-Value-at-Risk ($Î\VaR$). If the expected value premium principle is used, our findings confirm that, similar to…
Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
Yuyu Chen, Seva Shneer
We introduce a new class of heavy-tailed distributions for which any weighted average of independent and identically distributed random variables is larger than one such random var…