On the nonidentifiability property of Archimedean copula models under dependent censoring

In this paper, we prove a peculiar property shared by the Archimedean copula models, that is, different Archimedean copula models with distinct dependent levels can have the same crude survival functions for dependent censored data. This property directly shows the nonidentifiability property of the Archimedean copula models. The proposed procedure is then demonstrated by two examples.     

Growth conditions, compact perturbations and operator subdecomposability, with applications to generalized Cesàro operators

We adapt recent results of Albrecht and Ricker to obtain conditions under which growth constraints on the left resolvent of a Banach space operator are preserved under suitable perturbations. As an application, we establish Bishop's property (β) for certain generalized Cesàro operators on the classical Hardy spaces Hp, 1<p<∞. Our methods also apply to unilateral weighted shifts whose weight sequence converges sufficiently rapidly as well as to perturbations of restrictions of a class of generalized scalar operators.     

Partition and composition matrices

This paper introduces two matrix analogues for set partitions. A composition matrix on a finite set X is an upper triangular matrix whose entries partition X, and for which there are no rows or columns containing only empty sets. A partition matrix is a composition matrix in which an order is placed on where entries may appear relative to one-another.We show that partition matrices are in one-to-one correspondence with inversion tables. Non-decreasing inversion tables are shown to correspond to partition matrices with a row ordering relation. Partition matrices which are s-diagonal are classified in terms of inversion tables. Bidiagonal partition matrices are enumerated using the transfer-matrix method and are equinumerous with permutations which are sortable by two pop-stacks in parallel.We show that composition matrices on X are in one-to-one correspondence with (2+2)-free posets on X. Also, composition matrices whose rows satisfy a column-ordering relation are shown to be in one-to-one correspondence with parking functions. Finally, we show that pairs of ascent sequences and permutations are in one-to-one correspondence with (2+2)-free posets whose elements are the cycles of a permutation, and use this relation to give an expression for the number of (2+2)-free posets on {1,…,n}.     

Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method

We consider a multiple autoregressive model with non-normal error distributions, the latter being more prevalent in practice than the usually assumed normal distribution. Since the maximum likelihood equations have convergence problems (Puthenpura and Sinha, 1986) [11], we work out modified maximum likelihood equations by expressing the maximum likelihood equations in terms of ordered residuals and linearizing intractable nonlinear functions (Tiku and Suresh, 1992) [8]. The solutions, called modified maximum estimators, are explicit functions of sample observations and therefore easy to compute. They are under some very general regularity conditions asymptotically unbiased and efficient (Vaughan and Tiku, 2000) [4]. We show that for small sample sizes, they have negligible bias and are considerably more efficient than the traditional least squares estimators. We show that our estimators are robust to plausible deviations from an assumed distribution and are therefore enormously advantageous as compared to the least squares estimators. We give a real life example.     

Workshop lecture on products of Fréchet spaces

The general question, “When is the product of Fréchet spaces Fréchet?” really depends on the questions of when a product of α₄ Fréchet spaces (also known as strongly Fréchet or countably bisequential spaces) is α₄, and when it is Fréchet. Two subclasses of the class of strongly Fréchet spaces shed much light on these questions. These are the class of α₃ Fréchet spaces and its subclass of ℵ₀-bisequential spaces. The latter is closed under countable products, the former not even under finite products. A number of fundamental results and open problems are recalled, some further highlighting the difference between being α₃ and Fréchet and being ℵ₀-bisequential.     

Hardness of lazy packing and covering

We prove APX-hardness for the two problems maximum resource bin packing and lazy bin covering. Simple algorithms matching the best absolute bounds under the assumption P≠NP are also derived.     

Group actions and Helly's theorem

We describe a connection between the combinatorics of generators for certain groups and the combinatorics of Helly's 1913 theorem on convex sets. We use this connection to prove fixed point theorems for actions of these groups on nonpositively curved metric spaces. These results are encoded in a property that we introduce called “property FAr”, which reduces to Serre's property FA when r=1. The method applies to S-arithmetic groups in higher Q-rank, to simplex reflection groups (including some nonarithmetic ones), and to higher rank Chevalley groups over polynomial and other rings (for example SLn(Z[x₁,…,xd]), n>2).     

A note on ball-covering property of Banach spaces

By a ball-covering B of a Banach space X, we mean that B is a collection of open (or closed) balls off the origin whose union contains the unit sphere SX of X; and X is said to have the ball-covering property (BCP) provided it admits a ball-covering by countably many balls. In this note we give a natural example showing that the ball-covering property of a Banach space is not inherited by its subspaces; and we present a sharp quantitative version of the recent Fonf and Zanco renorming result saying that if the dual X^∗ of X is w^∗ separable, then for every ε>0 there exist a (1+ε)-equivalent norm on X, and an R>0 such that in this new norm SX admits a ball-covering by countably many balls of radius R. Namely, we show that R=R(ε) can be taken arbitrarily close to (1+ε)/ε, and that for X=?₁[0,1] the corresponding R cannot be equal to 1/ε. This gives the sharp order of magnitude for R(ε) as ε→0.     

On the complexity of the multicut problem in bounded tree-width graphs and digraphs

Given an edge- or vertex-weighted graph or digraph and a list of source-sink pairs, the minimum multicut problem consists in selecting a minimum weight set of edges or vertices whose removal leaves no path from each source to the corresponding sink. This is a classical NP-hard problem, and we show that the edge version becomes tractable in bounded tree-width graphs if the number of source-sink pairs is fixed, but remains NP-hard in directed acyclic graphs and APX-hard in bounded tree-width and bounded degree unweighted digraphs. The vertex version, although tractable in trees, is proved to be NP-hard in unweighted cacti of bounded degree and bounded path-width.     

Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss models and insurance policy scenarios in a multi-period, multiple risk setting. A Loss Distributional Approach (LDA) for modeling of the annual loss process, involving homogeneous compound Poisson processes for the annual losses, with heavy-tailed severity models comprised of α-stable severities is considered. There has been little analysis of such models to date and it is believed insurance models will play more of a role in OpRisk mitigation and capital reduction in future. The first question of interest is when would it be equitable for a bank or financial institution to purchase insurance for heavy-tailed OpRisk losses under different insurance policy scenarios? The second question pertains to Solvency II and addresses quantification of insurer capital for such operational risk scenarios. Considering fundamental insurance policies available, in several two risk scenarios, we can provide both analytic results and extensive simulation studies of insurance mitigation for important basic policies, the intention being to address questions related to VaR reduction under Basel II, SCR under Solvency II and fair insurance premiums in OpRisk for different extreme loss scenarios. In the process we provide closed-form solutions for the distribution of loss processes and claims processes in an LDA structure as well as closed-form analytic solutions for the Expected Shortfall, SCR and MCR under Basel II and Solvency II. We also provide closed-form analytic solutions for the annual loss distribution of multiple risks including insurance mitigation.