arXiv subjects

Wenyuan Wang

Publications and source records attributed to Wenyuan Wang.

At least 55 records · Page 3Linked to original sources

arXiv2020

Risk Modelling on Liquidations with Lévy Processes

It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world liquidation process. Inspired by Broadie et al. (2007) and Li et al. (2020), this paper uses a three-barrier model to describe the financial stress towards bankruptcy of an insurance company. The financial status of the insurer is divided into solvent, insolvent and liquidated three states, where the insurer's surplus process at the state of solvent and insolvent is modelled by two spectrally negative Lévy processes, which have been taken as good candidates to model insurance risks. We provide a rigorous definition of the time of liquidation ruin in this three-barrier model. By adopting the techniques of excursions in the fluctuation theory, we study the joint distribution of the time of liquidation, the surplus at liquidation and the historical high of the surplus until liquidation, which generalizes the known results on the classical expected discounted penalty function in Gerber and Shiu (1998). The results have semi-explicit expressions in terms of the scale functions and the Lévy triplets associated with the two underlying Lévy processes. The special case when the two underlying Lévy processes coincide with each other is also studied, where our results are expressed compactly via only the scale functions. The corresponding results have good consistency with the existing literatures on Parisian ruin with (or without) a lower barrier in Landriault et al. (2014), Baurdoux et al. (2016) and Frostig and Keren-Pinhasik (2019). Besides, numerical examples are provided to illustrate the underlying features of liquidation ruin.

q-fin.RM↗

arXiv2020

Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cramér-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005), subject to the optimality criteria of maximizing the expected accumulated discounted dividends paid until ruin. To enhance the practical relevance of the optimal dividend and reinsurance problem, non-cheap reinsurance is considered and transaction costs and taxes are imposed on dividends, which converts our optimization problem into a mixed classical-impulse control problem. For the purpose of better mathematical tractability and neat, explicit solutions of our control problem, instead of the Cramér-Lundberg framework we study its approximated diffusion model with two thinly dependent classes of insurance businesses. Using a method of quasi-variational inequalities, we show that the optimal reinsurance follows a two-dimensional excess-of-loss reinsurance strategy, and, the optimal dividend strategy turns out to be an impulse dividend strategy with an upper and a lower barrier, i.e., every thing above the lower barrier is paid as dividends each time the surplus is above the upper barrier, otherwise no dividends are paid. Closed-form expression for the value function associated with the optimal dividend and reinsurance strategy is also given. In addition, some numerical examples are presented to illustrate the optimality results.

math.OC↗

arXiv2020

Selection Bias Tracking and Detailed Subset Comparison for High-Dimensional Data

The collection of large, complex datasets has become common across a wide variety of domains. Visual analytics tools increasingly play a key role in exploring and answering complex questions about these large datasets. However, many visualizations are not designed to concurrently visualize the large number of dimensions present in complex datasets (e.g. tens of thousands of distinct codes in an electronic health record system). This fact, combined with the ability of many visual analytics systems to enable rapid, ad-hoc specification of groups, or cohorts, of individuals based on a small subset of visualized dimensions, leads to the possibility of introducing selection bias--when the user creates a cohort based on a specified set of dimensions, differences across many other unseen dimensions may also be introduced. These unintended side effects may result in the cohort no longer being representative of the larger population intended to be studied, which can negatively affect the validity of subsequent analyses. We present techniques for selection bias tracking and visualization that can be incorporated into high-dimensional exploratory visual analytics systems, with a focus on medical data with existing data hierarchies. These techniques include: (1) tree-based cohort provenance and visualization, with a user-specified baseline cohort that all other cohorts are compared against, and visual encoding of the drift for each cohort, which indicates where selection bias may have occurred, and (2) a set of visualizations, including a novel icicle-plot based visualization, to compare in detail the per-dimension differences between the baseline and a user-specified focus cohort. These techniques are integrated into a medical temporal event sequence visual analytics tool. We present example use cases and report findings from domain expert user interviews.

cs.HC↗

arXiv2020

Parisian excursion with capital injection for draw-down reflected Levy insurance risk process

This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when it drops below a pre-specified function of its last record maximum. The capital is continuously paid to keep the surplus above the draw-down level until either the surplus process goes above the record high or a Parisian type ruin occurs, which is announced at the first instance the surplus process has undergone an excursion below the record for an independent exponential period of time consecutively since the time the capital was first injected. Some distributional identities concerning the excursion are presented. Firstly, we give the Parisian ruin probability and the joint Laplace transform (possibly killed at the first passage time above a fixed level of the surplus process) of the ruin time, surplus position at ruin, and the total capital injection at ruin. Secondly, we obtain the $q$-potential measure of the surplus process killed at Parisian ruin. Finally, we give expected present value of the total discounted capital payments up to the Parisian ruin time. The results are derived using recent developments in fluctuation and excursion theory of spectrally negative Levy process and are presented semi explicitly in terms of the scale function of the Levy process. Some numerical examples are given to facilitate the analysis of the impact of initial surplus and frequency of observation period to the ruin probability and to the expected total capital injection.

q-fin.MF↗

arXiv2020

Adaptive Techniques in Practical Quantum Key Distribution

Quantum Key Distribution (QKD) can provide information-theoretically secure communications and is a strong candidate for the next generation of cryptography. However, in practice, the performance of QKD is limited by "practical imperfections" in realistic sources, channels, and detectors (such as multi-photon components or imperfect encoding from the sources, losses and misalignment in the channels, or dark counts in detectors). Addressing such practical imperfections is a crucial part of implementing QKD protocols with good performance in reality. There are two highly important future directions for QKD: (1) QKD over free space, which can allow secure communications between mobile platforms such as handheld systems, drones, planes, and even satellites, and (2) fibre-based QKD networks, which can simultaneously provide QKD service to numerous users at arbitrary locations. These directions are both highly promising, but so far they are limited by practical imperfections in the channels and devices, which pose huge challenges and limit their performance. In this thesis, we develop adaptive techniques with innovative protocol and algorithm design, as well as novel techniques such as machine learning, to address some of these key challenges, including (a) atmospheric turbulence in channels for free-space QKD, (b) asymmetric losses in channels for QKD network, and (c) efficient parameter optimization in real time, which is important for both free-space QKD and QKD networks. We believe that this work will pave the way to important implementations of free-space QKD and fibre-based QKD networks in the future.

quant-ph↗

arXiv2020

Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative Lévy Risk Processes

For an insurance company with reserve modeled by the spectrally negative Lévy process, we study the optimal impulse dividend maximizing the expected accumulated net dividend payment subtracted by the accumulated cost of injecting capital. In this setting, the beneficiary of the dividends injects capital to ensure a non-negative risk process so that the insurer never goes bankrupt. The optimal impulse dividend and capital injection strategy together with its value function are obtained.

math.OC↗

arXiv2020

Proof-of-principle experimental demonstration of twin-field quantum key distribution over optical channels with asymmetric losses

Twin-field (TF) quantum key distribution (QKD) is highly attractive because it can beat the fundamental limit of secret key rate for point-to-point QKD without quantum repeaters. Many theoretical and experimental studies have shown the superiority of TFQKD in long-distance communication. All previous experimental implementations of TFQKD have been done over optical channels with symmetric losses. But in reality, especially in a network setting, the distances between users and the middle node could be very different. In this paper, we perform a first proof-of-principle experimental demonstration of TFQKD over optical channels with asymmetric losses. We compare two compensation strategies, that are (1) applying asymmetric signal intensities and (2) adding extra losses, and verify that strategy (1) provides much better key rate. Moreover, the higher the loss, the more key rate enhancement it can achieve. By applying asymmetric signal intensities, TFQKD with asymmetric channel losses not only surpasses the fundamental limit of key rate of point-to-point QKD for 50 dB overall loss, but also has key rate as high as $2.918\times10^{-6}$ for 56 dB overall loss. Whereas no keys are obtained with strategy (2) for 56 dB loss. The increased key rate and enlarged distance coverage of TFQKD with asymmetric channel losses guarantee its superiority in long-distance quantum networks.

quant-ph↗

arXiv2019

A draw-down reflected spectrally negative Lévy process

In this paper we study a spectrally negative Lévy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we find the Laplace transform of the upper exiting time and an expression of the associated potential measure. When the reflected process is identified as a risk process with capital injections, the expected total amount of discounted capital injections prior to the exiting time and the Laplace transform of the accumulated capital injections until the exiting time are also obtained. The results are expressed in terms of scale functions for spectrally negative Lévy processes.

math.PR↗

arXiv2019

Prefixed-threshold Real-Time Selection for Free-Space Measurement-Device-Independent Quantum Key Distribution

Measurement-Device-Independent (MDI) QKD eliminates detector side channels in QKD and allows an untrusted relay between two users. A desirable yet highly challenging application is to implement MDI-QKD through free-space channels. One of the major factors that affect the secure key rate in free-space MDI-QKD is atmospheric turbulence. In this work we show two important results: First, the independent fluctuations of transmittances in the two channels can significantly reduce MDI-QKD performance due to turbulence-induced channel asymmetry. Second, we consider the Prefixed Real-Time Selection (P-RTS) method we formerly introduced to BB84 and extend it to MDI-QKD. Users can monitor classical transmittances in their channels and improve performance by post-selecting signals in real-time based on pre-calculated thresholds. We show that we can establish a 2-dimensional threshold between Alice and Bob to post-select signals with both high signal-to-noise ratio and low channel asymmetry in real time, and greatly extend the maximum range of MDI-QKD in the presence of turbulence, which can be an important step towards future free-space MDI-QKD experiments.

quant-ph↗

arXiv2019

Optimal implementation delay of taxation with trade-off for Lévy risk Processes

In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative Lévy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its surplus reaches a certain level $b$ and at the termination time of the business there is a terminal value incurred to the company. The total expected discounted value of tax payments plus the terminal value is maximized to obtain the optimal implementation level $b^*$. In the second case, the company still pays tax subject to an implementation level $a$ but with capital injections to prevent bankruptcy. The total expected discounted value of tax payments minus the capital injection costs is maximized to obtain the optimal implementation level $a^*$. Numerical examples are also given to illustrate the main results in this paper.

q-fin.GN↗

arXiv2019

Mean-Square Performance Analysis of Noise-Robust Normalized Subband Adaptive Filter Algorithm

This paper studies the statistical models of the noise-robust normalized subband adaptive filter (NR-NSAF) algorithm in the mean and mean square deviation senses involving transient-state and steady-state behavior by resorting to the method of the vectorization operation and the Kronecker product. The analysis method does not require the Gaussian input signal. Moreover, the proposed analysis removes the paraunitary assumption imposed on the analysis filter banks as in the existing analyses of subband adaptive algorithms. Simulation results in various conditions demonstrate the effectiveness of our theoretical analysis. For a special form of the algorithm, the proposed steady-state expression is also better accurate than the previous analysis.

eess.SP↗

arXiv2019

Simple Method for Asymmetric Twin-Field Quantum Key Distribution

Twin-Field quantum key distribution (TF-QKD) can beat the linear bound of repeaterless QKD systems. After the proposal of the original protocol, multiple papers have extended the protocol to prove its security. However, these works are limited to the case where the two channels have equal amount of loss (i.e. are symmetric). In a practical network setting, it is very likely that the channels are asymmetric due to e.g. geographical locations. In this paper we extend the "simple TF-QKD" protocol to the scenario with asymmetric channels. We show that by simply adjusting the two signal states of the two users (and not the decoy states) they can effectively compensate for channel asymmetry and consistently obtain an order of magnitude higher key rate than previous symmetric protocol. It also can provide 2-3 times higher key rate than the strategy of deliberately adding fibre to the shorter channel until channels have equal loss (and is more convenient as users only need to optimize their laser intensities and do not need to physically modify the channels). We also perform simulation for a practical case with three decoy states and finite data size, and show that our method works well and has a clear advantage over prior art methods with realistic parameters.

quant-ph↗

arXiv2019

Visual Analysis of High-Dimensional Event Sequence Data via Dynamic Hierarchical Aggregation

Temporal event data are collected across a broad range of domains, and a variety of visual analytics techniques have been developed to empower analysts working with this form of data. These techniques generally display aggregate statistics computed over sets of event sequences that share common patterns. Such techniques are often hindered, however, by the high-dimensionality of many real-world event sequence datasets because the large number of distinct event types within such data prevents effective aggregation. A common coping strategy for this challenge is to group event types together as a pre-process, prior to visualization, so that each group can be represented within an analysis as a single event type. However, computing these event groupings as a pre-process also places significant constraints on the analysis. This paper presents a dynamic hierarchical aggregation technique that leverages a predefined hierarchy of dimensions to computationally quantify the informativeness of alternative levels of grouping within the hierarchy at runtime. This allows users to dynamically explore the hierarchy to select the most appropriate level of grouping to use at any individual step within an analysis. Key contributions include an algorithm for interactively determining the most informative set of event groupings from within a large-scale hierarchy of event types, and a scatter-plus-focus visualization that supports interactive hierarchical exploration. While these contributions are generalizable to other types of problems, we apply them to high-dimensional event sequence analysis using large-scale event type hierarchies from the medical domain. We describe their use within a medical cohort analysis tool called Cadence, demonstrate an example in which the proposed technique supports better views of event sequence data, and report findings from domain expert interviews.

cs.HC↗

arXiv2019

Machine Learning for Optimal Parameter Prediction in Quantum Key Distribution

For a practical quantum key distribution (QKD) system, parameter optimization - the choice of intensities and probabilities of sending them - is a crucial step in gaining optimal performance, especially when one realistically considers finite communication time. With the increasing interest in the field to implement QKD over free-space on moving platforms, such as drones, handheld systems, and even satellites, one needs to perform parameter optimization with low latency and with very limited computing power. Moreover, with the advent of the Internet of Things (IoT), a highly attractive direction of QKD could be a quantum network with multiple devices and numerous connections, which provides a huge computational challenge for the controller that optimizes parameters for a large-scale network. Traditionally, such an optimization relies on brute-force search, or local search algorithms, which are computationally intensive, and will be slow on low-power platforms (which increases latency in the system) or infeasible for even moderately large networks. In this work we present a new method that uses a neural network to directly predict the optimal parameters for QKD systems. We test our machine learning algorithm on hardware devices including a Raspberry Pi 3 single-board-computer (similar devices are commonly used on drones) and a mobile phone, both of which have a power consumption of less than 5 watts, and we find a speedup of up to 100-1000 times when compared to standard local search algorithms. The predicted parameters are highly accurate and can preserve over 95-99% of the optimal secure key rate. Moreover, our approach is highly general and not limited to any specific QKD protocol.

quant-ph↗

arXiv2019

Generalized Expected Discounted Penalty Function at General Drawdown for Lévy Risk Processes

This paper considers an insurance surplus process modeled by a spectrally negative Lévy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown as the risk indicator in this paper. We study the joint distribution of the time of drawdown, the running maximum at drawdown, the last minimum before drawdown, the surplus before drawdown and the surplus at drawdown (may not be deficit in this case), which generalizes the known results on the classical expected discounted penalty function in Gerber and Shiu (1998). The results have semi-explicit expressions in terms of the $q$-scale functions and the Lévy measure associated with the Lévy process. As applications, the obtained result is applied to recover results in the literature and to obtain new results for the Gerber-Shiu function at ruin for risk processes embedded with a loss-carry-forward taxation system or a barrier dividend strategy. Moreover, numerical examples are provided to illustrate the results.

q-fin.PR↗

arXiv2019

Experimental demonstration of high-rate measurement-device-independent quantum key distribution over asymmetric channels

Measurement-device-independent quantum key distribution (MDI-QKD) can eliminate all detector side channels and it is practical with current technology. Previous implementations of MDI-QKD all use two symmetric channels with similar losses. However, the secret key rate is severely limited when different channels have different losses. Here we report the results of the first high-rate MDI-QKD experiment over $asymmetric$ channels. By using the recent 7-intensity optimization approach, we demonstrate $>$10x higher key rate than previous best-known protocols for MDI-QKD in the situation of large channel asymmetry, and extend the secure transmission distance by more than 20-50 km in standard telecom fiber. The results have moved MDI-QKD towards widespread applications in practical network settings, where the channel losses are asymmetric and user nodes could be dynamically added or deleted.

quant-ph↗

arXiv2019

Draw-down Parisian ruin for spectrally negative Lévy process

In this paper we study the draw-down related Parisian ruin problem for spectrally negative Lévy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also obtain an expression of the potential measure for the process killed at the draw-down Parisian time. As applications, new results are obtained for spectrally negative Lévy risk process with dividend barrier and Parisian ruin.

math.PR↗

arXiv2019

Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time

Motivated by Kyprianou and Zhou (2009), Wang and Hu (2012), Avram et al. (2017), Li et al. (2017) and Wang and Zhou (2018), we consider in this paper the problem of maximizing the expected accumulated discounted tax payments of an insurance company, whose reserve process (before taxes are deducted) evolves as a spectrally negative Lévy process with the usual exclusion of negative subordinator or deterministic drift. Tax payments are collected according to the very general loss-carry-forward tax system introduced in Kyprianou and Zhou (2009). To achieve a balance between taxation optimization and solvency, we consider an interesting modified objective function by considering the expected accumulated discounted tax payments of the company until the general draw-down time, instead of until the classical ruin time. The optimal tax return function together with the optimal tax strategy is derived, and some numerical examples are also provided.

q-fin.MF↗