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Jianxi Su

Publications and source records attributed to Jianxi Su.

12 recordsLinked to original sources

Coreset-Induced Conditional Velocity Flow Matching

We propose Coreset-Induced Conditional Velocity Flow Matching (CCVFM), a generative model that augments hierarchical rectified flow with a data-informed source distribution. Hierarchical flow matching models the full conditional velocity law in velocity space, but its inner flow is asked to transport isotropic Gaussian noise to a multimodal target velocity distribution from scratch. Our key observation is that this inner source can be replaced by a closed-form surrogate built from a coreset of the target. CCVFM first compresses the target into weighted atoms using an entropic Sinkhorn coreset and lifts them to a Gaussian mixture. The induced conditional velocity law is then a closed-form Gaussian mixture that can be sampled without a learned neural sampler. A lightweight correction flow, trained from this exact surrogate source, then refines the remaining surrogate-to-target residual rather than learning an entire noise-to-data map. We prove that the surrogate transport cost equals the target--surrogate Wasserstein gap under an explicit compression assumption, whereas the noise-source analogue has a dimension-scale lower bound. We further characterize the conditional second moment of the direct surrogate-source training target and show that its source-dependent excess is small when the surrogate conditional law is close to the true conditional velocity law in mean and covariance. Empirically, on MNIST, CIFAR-10, ImageNet-32, and CelebA-HQ, the proposed method reaches competitive few-step generation under matched architectures.

stat.ML

Asymptotic Expansion and Bounds for the Bias of Empirical Tail Value-at-Risk

Tail Value-at-Risk (TVaR) is a widely adopted risk measure playing a critically important role in both academic research and industry practice in insurance. In data applications, TVaR is often estimated using the empirical method, owing to its simplicity and nonparametric nature. The empirical TVaR has been explicitly advocated by regulatory authorities as a standard approach for computing TVaR. However, prior literature has pointed out that the empirical TVaR estimator is negatively biased, which can lead to a systemic underestimation of risk in finite-sample applications. This paper aims to deepen the understanding of the bias of the empirical TVaR estimator in two dimensions: its magnitude as well as the key distributional and structural determinants driving the severity of the bias. To this end, we derive a leading-term approximation for the bias based on its asymptotic expansion. The closed-form expression associated with the leading-term approximation enables us to obtain analytical insights into the structural properties governing the bias of the empirical TVaR estimator. To account for the discrepancy between the leading-term approximation and the true bias, we further derive an explicit upper bound for the bias. We validate the proposed bias analysis framework via simulations and demonstrate its practical relevance using real data.

math.ST

State Space Modeling of Mortgage Default Rates under Natural Hazard Shocks

Mortgage default rates, on the one hand, serve as a measure of economic health to support decision-making by insurance companies, and on the other hand, is a key risk factor in the asset-liability management (ALM) practice, as mortgage related assets constitute a significant proportion of insurers' investment portfolios. This paper studies the relationship between economic losses due to natural hazards and mortgage default rates. The topic is greatly relevant to the insurance industry, as excessive insurance losses from natural hazards can lead to a surge in mortgage defaults, creating compounded challenges for insurers. To this end, we apply a state-space modeling approach to decouple the effect of natural hazard losses on mortgage default rates after controlling for other economic determinants through the inclusion of latent variables. Moreover, we consider a sliced variant of the classical SSM to capture the subtle relationship that only emerges when natural hazard losses are sufficiently high. Our model verifies the significance of this relationship and provides insights into how natural hazard losses manifest as increased mortgage default rates.

stat.ME

Non-Steepness and Maximum Likelihood Estimation Properties of the Truncated Multivariate Normal Distributions

This article considers exponential families of truncated multivariate normal distributions with one-sided truncation for some or all coordinates. We observe that if all components are one-sided truncated then this family is not full. The family of truncated multivariate normal distributions is extended to a full family, and the extended family is investigated in detail. We identify the canonical parameter space of the extended family and establish that the family is not regular and not even steep. We also consider maximum likelihood estimation for the location vector parameter and the positive definite (symmetric) matrix dispersion parameter of a truncated non-singular multivariate normal distribution. It is shown that if the sample size is sufficiently large then, almost surely, the maximizer of the likelihood function is unique, provided that it exists. It is also shown that each solution to the score equations for the location and dispersion parameters satisfies the method-of-moments equations. Finally, it is observed that similar results arise in the case of an arbitrary number of truncated components.

math.ST

A Framework for Digital Asset Risks with Insurance Applications

The remarkable growth of digital assets, starting from the inception of Bitcoin in 2009 into a 1 trillion market in 2024, underscores the momentum behind disruptive technologies and the global appetite for digital assets. This paper develops a framework to enhance actuaries' understanding of the cyber risks associated with the developing digital asset ecosystem, as well as their measurement methods in the context of digital asset insurance. By integrating actuarial perspectives, we aim to enhance understanding and modeling of cyber risks at both the micro and systemic levels. The qualitative examination sheds light on blockchain technology and its associated risks, while our quantitative framework offers a rigorous approach to modeling cyber risks in digital asset insurance portfolios. This multifaceted approach serves three primary objectives: i) offer a clear and accessible education on the evolving digital asset ecosystem and the diverse spectrum of cyber risks it entails; ii) develop a scientifically rigorous framework for quantifying cyber risks in the digital asset ecosystem; iii) provide practical applications, including pricing strategies and tail risk management. Particularly, we develop frequency-severity models based on real loss data for pricing cyber risks in digit assets and utilize Monte Carlo simulation to estimate the tail risks, offering practical insights for risk management strategies. As digital assets continue to reshape finance, our work serves as a foundational step towards safeguarding the integrity and stability of this rapidly evolving landscape.

stat.AP

Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA has been living in the shadow of another, closely related notion, of risk measure (RM) in the sense that the latter notion often shapes the fashion in which the former notion is implemented. In fact, as the majority of the RCAs known nowadays are induced by RMs, the popularity of the two are apparently very much correlated. As a result, it is the RCA that is induced by the Conditional Tail Expectation (CTE) RM that has arguably prevailed in scholarly literature and applications. Admittedly, the CTE RM is a sound mathematical object and an important regulatory RM, but its appropriateness is controversial in, e.g., profitability analysis and pricing. In this paper, we address the question as to whether or not the RCA induced by the CTE RM may concur with alternatives that arise from the context of profit maximization. More specifically, we provide exhaustive description of all those probabilistic model settings, in which the mathematical and regulatory CTE RM may also reflect the risk perception of a profit-maximizing insurer.

q-fin.RM

Independence Properties of the Truncated Multivariate Elliptical Distributions

Truncated multivariate distributions arise extensively in econometric modelling when non-negative random variables are intrinsic to the data-generation process. More broadly, truncated multivariate distributions have appeared in censored and truncated regression models, simultaneous equations modelling, multivariate regression, and applications going back to the now-classic papers of Amemiya (1974) and Heckman (1976). In some applications of truncated multivariate distributions, there arises the problem of characterizing the distribution through correlation and independence properties of sub-vectors. In this paper, we characterize the truncated multivariate normal random vectors for which two complementary sub-vectors are mutually independent. Further, we characterize the multivariate truncated elliptical distributions, proving that if two complementary sub-vectors are mutually independent then the distribution of the joint vector is truncated multivariate normal, as is the distribution of each sub-vector. As an application, we apply the independence criterion to test the hypothesis of independence of the entrance examination scores and subsequent course averages achieved by a sample of university students; to do so, we verify the regularity conditions underpinning a classical theorem of Wilks on the asymptotic null distribution of the likelihood ratio test statistic.

math.ST

Multiple risk factor dependence structures: Copulas and related properties

Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the `right' copula is not an easy task, and the temptation to prefer a tractable rather than a meaningful candidate from the encompassing copulas toolbox is strong. The ubiquitous applications of the Gaussian copula is just one illuminating example. Speaking generally, a `good' copula should conform to the problem at hand, allow for asymmetry in the domain of definition and exhibit some extent of tail dependence. In this paper we introduce and study a new class of Multiple Risk Factor (MRF) copula functions, which we show are exactly such. Namely, the MRF copulas (1) arise from a number of meaningful default risk specification with stochastic default barriers, (2) are in general non-exchangeable and (3) possess a variety of tail dependences. That being said, the MRF copulas turn out to be surprisingly tractable analytically.

q-fin.RM

Paths and indices of maximal tail dependence

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management. This phenomenon holds in the context of both symmetric and asymmetric copulas with and without singularities. As a remedy, we introduce a notion of paths of maximal (tail) dependence and utilize it to propose several new indices of tail dependence. The suggested new indices are conservative, conform with the basic concepts of modern quantitative risk management, and are able to distinguish between distinct risky positions in situations when the existing indices fail to do so.

math.PR

Tail dependence of the Gaussian copula revisited

Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.When it comes to quantifying the extent of tail dependence, it is generally agreed that measures of tail dependence must be independent of the marginal distributions of the risks but rather solely copula-dependent. Indeed, all classical measures of tail dependence are such, but they investigate the amount of tail dependence along the main diagonal of copulas, which has often little in common with the concentration of extremes in the copulas' domain of definition.In this paper we urge that the classical measures of tail dependence may underestimate the level of tail dependence in copulas. For the Gaussian copula, however, we prove that the classical measures are maximal. The implication of the result is two-fold: On the one hand, it means that in the Gaussian case, the (weak) measures of tail dependence that have been reported and used are of utmost prudence, which must be a reassuring news for practitioners. On the other hand, it further encourages substitution of the Gaussian copula with other copulas that are more tail dependent.

stat.AP

A form of multivariate Pareto distribution with applications to financial risk measurement

A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a multivariate Pareto distribution. Insurance: Mathematics and Economics 46(2), 308-316], the structure in this paper is absolutely continuous with respect to the corresponding Lebesgue measure. The distribution is of importance to actuaries through its connections to the popular frailty models, as well as because of the capacity to describe dependent heavy-tailed risks. The genesis of the new distribution is linked to a number of existing probability models, and useful characteristic results are proved. Expressions for, e.g., the decumulative distribution and probability density functions, (joint) moments and regressions are developed. The distributions of minima and maxima, as well as, some weighted risk measures are employed to exemplify possible applications of the distribution in insurance.

q-fin.RM

Multiple risk factor dependence structures: Distributional properties

We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk+ approach, and as such they formally describe default risk portfolios exposed to an arbitrary number of fatal risk factors with conditionally exponential and dependent hitting (or occurrence) times. On the other hand, the MRF structures can be seen as an encompassing family of multivariate probability distributions with univariate margins distributed Pareto of the 2nd kind, and in this role they can be used to model insurance risk portfolios of dependent and heavy tailed risk components.

q-fin.RM