Data breaches: Goodness of fit,pricing, and risk measurement

Some research on cyber risk has been conducted in the field of information technology, but virtually no research exists in the actuarial domain. As a first step toward a more profound actuarial discussion, we use multidimensional scaling and goodness-of-fit tests to analyze the distribution of data breach information. Our results show that different types of data breaches need to be modeled as distinct risk categories. For severity modeling, the log-skew-normal distribution provides promising results. The findings add to the recent discussion on the use of skewed distributions in actuarial modeling (Vernic, 2006; Bolancé et al., 2008; Eling, 2012). Moreover, they provide useful insights for actuaries working on the implementation of cyber insurance policies. We illustrate the usefulness of our results in two applications on risk measurement and pricing.     

A potential integration method for Birkhoffian system

This paper is intended to apply the potential integration method to the differential equations of the Birkhoffian system. The method is that, for a given Birkhoffian system, its differential equations are first rewritten as 2n first-order differential equations. Secondly, the corresponding partial differential equations are obtained by potential integration method and the solution is expressed as a complete integral. Finally, the integral of the system is obtained.     

Small Ball Probabilities of Fractional Brownian Sheets via Fractional Integration Operators

We investigate the small ball problem for d-dimensional fractional Brownian sheets by functional analytic methods. For this reason we show that integration operators of Riemann–Liouville and Weyl type are very close in the sense of their approximation properties, i.e., the Kolmogorov and entropy numbers of their difference tend to zero exponentially. This allows us to carry over properties of the Weyl operator to the Riemann–Liouville one, leading to sharp small ball estimates for some fractional Brownian sheets. In particular, we extend Talagrand's estimate for the 2-dimensional Brownian sheet to the fractional case. When passing from dimension 1 to dimension d2, we use a quite general estimate for the Kolmogorov numbers of the tensor products of linear operators.     

Exact Gaussian expansions of Slater-type atomic orbitals

Three exact Slater-type function (STO) integral transforms are presented. The STO-NG basis set can then be developed using either only 1s Gaussian functions, the same Gaussian exponents for each shell, or using the first Gaussian of each symmetry. The use of any of these three alternatives depends only on appropriate numerical integration techniques.     

On some multivariate density estimates and empirical Bayes problems

This paper consider estimates of multidimensional density functions and their derivatives. The asymptotic unbiasedness and the convergence properties of these estimates are established.Some applications to empirical Bayes problems are considered.     

On a modification of the Clenshaw-Curtis quadrature formula

In this paper we discuss a modification of the Clenshaw-Curtis quadrature formula. It is shown that for integrals, where the integrand may be expanded in a sufficiently rapid convergent Chebyshev series, we may split the sequence of calculated approximations into two sequences, one which approximates the integral from above and one which approximates it from below. Thus, at any step during the calculation we obtain both upper and lower bounds for the true value of the integral.Work performed while the author was working as a visiting scientist at CERN/Geneve.     

Experiments with a symbolic programming system for complex analysis

The paper reports the results of work on the construction of LISP programs for various symbolic operations in complex analysis, including the evaluation of integrals around closed contours by the use of Cauchy's Theorem. It is concluded that the only difficulty in the way of the preparation of programs for all of the important and useful textbook calculations in complex analysis is that large amounts of fast storage in the computer are needed.     

An evaluation of the radial part of numerical integration commonly used in DFT

Recently, Gill and Chien introduced a new radial quadrature for multiexponential integrands (MultiExp grid) to deal with the radial part of the numerical integration. In this article, the MultiExp grid is studied and used to integrate the charge density. The MultiExp grid, along with an optimal pruning scheme, performed very well both in terms of accuracy and efficiency compared to other radial mappings commonly used in Density Functional Theory.