1,182 research outputs found
Relative entropy and waiting times for continuous-time Markov processes
For discrete-time stochastic processes, there is a close connection between
return/waiting times and entropy. Such a connection cannot be straightforwardly
extended to the continuous-time setting. Contrarily to the discrete-time case
one does need a reference measure and so the natural object is relative entropy
rather than entropy. In this paper we elaborate on this in the case of
continuous-time Markov processes with finite state space. A reference measure
of special interest is the one associated to the time-reversed process. In that
case relative entropy is interpreted as the entropy production rate. The main
results of this paper are: almost-sure convergence to relative entropy of
suitable waiting-times and their fluctuation properties (central limit theorem
and large deviation principle).Comment: 17 page
On approximate pattern matching for a class of Gibbs random fields
We prove an exponential approximation for the law of approximate occurrence
of typical patterns for a class of Gibssian sources on the lattice
, . From this result, we deduce a law of large numbers and
a large deviation result for the waiting time of distorted patterns.Comment: Published at http://dx.doi.org/10.1214/105051605000000827 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
Predicting Scientific Success Based on Coauthorship Networks
We address the question to what extent the success of scientific articles is
due to social influence. Analyzing a data set of over 100000 publications from
the field of Computer Science, we study how centrality in the coauthorship
network differs between authors who have highly cited papers and those who do
not. We further show that a machine learning classifier, based only on
coauthorship network centrality measures at time of publication, is able to
predict with high precision whether an article will be highly cited five years
after publication. By this we provide quantitative insight into the social
dimension of scientific publishing - challenging the perception of citations as
an objective, socially unbiased measure of scientific success.Comment: 21 pages, 2 figures, incl. Supplementary Materia
Empirical studies in corporate credit modelling; liquidity premia, factor portfolios & model uncertainty
Insurers match the cash flows of typically illiquid insurance liabilities, such as
in-force annuities, with government and corporate bonds. As they intend to buy
corporate bonds and hold them to maturity, they can capture the value attached to
liquidity, without running the market liquidity risk that is associated with having
to sell bonds in the open market. During the long consultation period dedicated to
the mark-to-market valuation of insurance assets and liabilities for the Solvency II
regulatory framework, CEIOPS noted the importance of the accurate breakdown of
the credit spread into its components, most notably the credit and non-credit (i.e.
liquidity) components. In this thesis we review many modelling efforts to isolate the
liquidity premium and propose a reduced-form modelling approach that relies on a
new, relative liquidity proxy.
Challenging the status quo when it comes to active and passive investment strategies,
products and funds, Exchange Traded Funds and `smart-beta' products provide
investors with straightforward ways to strategically expose a portfolio to risk drivers,
raising the bar for traditional investment funds and managers. In this thesis, we
investigate how traditional sources of equity outperformance (alpha), such as small
caps, low volatility and value, translate to UK corporate bonds. For automated
trading strategies in corporate bonds, and those with specific factor exposure requirements
in particular, transaction costs, rebalancing and an optimal turnover
strategy are crucial; these aspects of building factor portfolios are explored for the
UK market.
Since the financial crisis, mathematical models used in finance have been subject
to a fair amount of criticism. More than ever has this highlighted the need
of better risk management of financial models themselves, leading to a surge in
`model validation' roles in industry and an increased scrutiny from regulatory bodies.
In this thesis we look at stochastic credit models that are commonly used by
insurers to project forward credit-risky bond portfolios and the model uncertainty
and parameter risk that arises as a result of relying on published credit migration
matrices. Specifically, our investigation focuses on two violations of the Markovian
process that credit transitions are assumed to follow and statistical uncertainty of
the migration matrix
Gobernabilidad de los Sistemas de Innovación en Bolivia: Lecciones para las PolÃticas de Innovación AgrÃcola
Ser capaz de responder y reaccionar ante las demandas de los productores no implica necesariamente que se generen las mejores soluciones técnicas. Generar innovaciones adecuadas requiere de la participación de muchos: lÃderes y otros productores, proveedores de conocimientos y tecnologÃas, asà como también compradores, vendedores de insumos, agencias de financiamiento, servicios de asesorÃa y otros. También se requiere del análisis e identificación de las oportunidades tecnológicas y de mercado. Los diseñadores de polÃticas deberÃan promover un análisis profundo de las demandas de los productores a nivel local a través de organismos descentralizados que ayuden simultáneamente a orientar tales demandas hacia donde se encuentran las mejores oportunidades tecnológicas y de mercado. Esto requiere de mejores capacidades analÃticas y de planificación, asà como de una comunicación intensiva con los productores y con los agentes que disponen de tecnologÃas nuevas y prometedoras." from Authors' AbstractInnovation systems, Innovation networks, Innovation Policy, Governance,
Full-system RANS of the HyShot II scramjet Part 1: Numerics and non-reactive simulations
Predictive Science Academic Alliance Program (PSAAP
Risk equalization in competitive health insurance markets: Identifying healthy individuals on the basis of multiple-year low spending
Renal palliative and supportive care in South Africa – a consensus statement
In South Africa, there is a high burden of end-stage kidney disease (ESKD). This is due to the burgeoning epidemics of communicable diseases like HIV/AIDS and non-communicable diseases, particularly hypertension and diabetes mellitus. One of the most difficult situations encountered by healthcare professionals dealing with patients with ESKD in South Africa is the management of a conservative or palliative care pathway for the many patients who have no other option. Patients with advanced chronic kidney disease (CKD) have a high burden of physical and psychosocial symptoms, poor outcomes, and high costs of care. Many patients are managed in primary healthcare settings and either do not have access to palliative care or are not referred appropriately.Renal supportive and palliative care involves a multidisciplinary approach to managing patients with ESKD, to ensure that symptoms are managed optimally and to provide support during advanced disease. It aims to improve quality of life for patients and their families and must be provided alongside curative medical care. This support should include those unable to gain access to life-saving dialysis and it should also provide care for patients where dialysis is not the best option.The aim of this consensus statement is to assist healthcare providers to improve the management of symptoms and biosocial factors of patients with end-stage kidney disease in a South African context. The document was compiled through consensus building among healthcare professionals across South Africa. The professionals that are represented included nephrologists, palliative care physicians, social workers, nurses, paediatricians and hospital managers. We wish to acknowledge the contribution of Dr Frank Brennan, a leading expert in renal palliative and supportive care, who assisted greatly in the compilation of this document
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