We consider local level and local linear estimators for estimation and inference in time-varying parameter (TVP) regressions with general stationary covariates. The latter estimator also yields estimates for parameter derivatives that are utilized for the development of time invariance tests for the regression coefficients. Our theoretical framework is general enough to allow for a wide range of stationary regressors, including stationary long memory. We demonstrate that neglecting time variation in the regression parameters has a range of adverse effects in inference, in particular, when regressors exhibit long-range dependence. For instance, parametric tests diverge under the null hypothesis when the memory order is strictly positive. The finite sample performance of the methods developed is investigated with the aid of a simulation experiment. The proposed methods are employed for exploring the predictability of SP500 returns by realized variance. We find evidence of time variability in the intercept as well as episodic predictability when realized variance is utilized as a predictor in TVP specifications.

Deep neural networks have become an important tool for use in actuarial tasks, due to the significant gains in accuracy provided by these techniques compared to traditional methods, but also due to the close connection of these models to the generalized linear models (GLMs) currently used in industry. Although constraining GLM parameters relating to insurance risk factors to be smooth or exhibit monotonicity is trivial, methods to incorporate such constraints into deep neural networks have not yet been developed. This is a barrier for the adoption of neural networks in insurance practice since actuaries often impose these constraints for commercial or statistical reasons. In this work, we present a novel method for enforcing constraints within deep neural network models, and we show how these models can be trained. Moreover, we provide example applications using real-world datasets. We call our proposed method ICEnet to emphasize the close link of our proposal to the individual conditional expectation model interpretability technique.

The deployment of digital technologies in African cities, beyond improving service delivery, raises issues of digital inclusion, digital rights, and increasing spatial and social inequalities. As part of the African Cities Lab Summit 2023, we conducted a workshop with 20 multidisciplinary participants to explore issues related to the deployment of digital technologies in African cities. This research is a policy paper that addresses these issues and provides policy recommendations for local governments. It emphasizes the importance of inclusive digital infrastructure, regulations safeguarding vulnerable sectors, and governance ensuring citizens’ rights in the digital transformation. Focusing on transparency, equity, and collaboration with communities, local governments play a vital role in fostering inclusive digital transformation, essential for equitable and rights-centric smart cities in Africa.

Real-time evaluation (RTE) supports populations (e.g., persons experiencing homelessness (PEH) to engage in evaluation of health interventions who may otherwise be overlooked. The aim of this RTE was to explore the understanding of TB amongst PEH, identify barriers/facilitators to attending screening for PEH alongside suggestions for improving TB-screening events targeting PEH, who have high and complex health needs. This RTE composed of free-text structured one-to-one interviews performed immediately after screening at a single tuberculosis (TB) screening event. Handwritten forms were transcribed for thematic analysis, with codes ascribed to answers that were developed into core themes. All RTE participants (n=15) learned about the screening event on the day it was held. Key concerns amongst screening attendees included: stigma around drug use, not understanding the purpose of TB screening, lack of trusted individuals/services present, too many partner organizations involved, and language barriers. Facilitators to screening included a positive welcome to the event, a satisfactory explanation of screening tests, and sharing of results. A need for improved event promotion alongside communication of the purpose of TB screening amongst PEH was also identified. A lack of trust identified by some participants suggests the range of services present should be reconsidered for future screening events.

In order to clarify and visualize the real state of the structural performances of ships in operation and establish a more optimal, data-driven framework for ship design, construction and operation, an industry-academia joint R&D project on the digital twin for ship structures (DTSS) was conducted in Japan. This paper presents the major achievements of the project. The DTSS aims to grasp the stress responses over the whole ship structure in waves by data assimilation that merges hull monitoring and numerical simulation. Three data assimilation methods, namely, the wave spectrum method, Kalman filter method, and inverse finite element method were used, and their effectiveness was examined through model and full-scale ship measurements. Methods for predicting short-term extreme responses and long-term cumulative fatigue damage were developed for navigation and maintenance support using statistical approaches. In comparison with conventional approaches, response predictions were significantly improved by DTSS using real response data in encountered waves. Utilization scenarios for DTSS in the maritime industry were presented from the viewpoints of navigation support, maintenance support, rule improvement, and product value improvement, together with future research needs for implementation in the maritime industry.

Despite the growing availability of sensing and data in general, we remain unable to fully characterize many in-service engineering systems and structures from a purely data-driven approach. The vast data and resources available to capture human activity are unmatched in our engineered world, and, even in cases where data could be referred to as “big,” they will rarely hold information across operational windows or life spans. This paper pursues the combination of machine learning technology and physics-based reasoning to enhance our ability to make predictive models with limited data. By explicitly linking the physics-based view of stochastic processes with a data-based regression approach, a derivation path for a spectrum of possible Gaussian process models is introduced and used to highlight how and where different levels of expert knowledge of a system is likely best exploited. Each of the models highlighted in the spectrum have been explored in different ways across communities; novel examples in a structural assessment context here demonstrate how these approaches can significantly reduce reliance on expensive data collection. The increased interpretability of the models shown is another important consideration and benefit in this context.

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times, and only during a specific regime. The main objectives are to show that an optimal stopping time exists as a threshold type and to derive expressions for the value functions and the optimal threshold. To this end, we solve the corresponding variational inequality and show that its solution coincides with the value functions. Some numerical results are also introduced. Furthermore, we investigate some asymptotic behaviors.

We consider linear random coefficient regression models, where the regressors are allowed to have a finite support. First, we investigate identification, and show that the means and the variances and covariances of the random coefficients are identified from the first two conditional moments of the response given the covariates if the support of the covariates, excluding the intercept, contains a Cartesian product with at least three points in each coordinate. We also discuss identification of higher-order mixed moments, as well as partial identification in the presence of a binary regressor. Next, we show the variable selection consistency of the adaptive LASSO for the variances and covariances of the random coefficients in finite and moderately high dimensions. This implies that the estimated covariance matrix will actually be positive semidefinite and hence a valid covariance matrix, in contrast to the estimate arising from a simple least squares fit. We illustrate the proposed method in a simulation study.

In this paper, we construct interpretable zero-inflated neural network models for modeling hospital admission counts related to respiratory diseases among a health-insured population and their dependants in the United States. In particular, we exemplify our approach by considering the zero-inflated Poisson neural network (ZIPNN), and we follow the combined actuarial neural network (CANN) approach for developing zero-inflated combined actuarial neural network (ZIPCANN) models for modeling admission rates, which can accommodate the excess zero nature of admission counts data. Furthermore, we adopt the LocalGLMnet approach (Richman & Wüthrich (2023). Scandinavian Actuarial Journal, 2023(1), 71–95.) for interpreting the ZIPNN model results. This facilitates the analysis of the impact of a number of socio-demographic factors on the admission rates related to respiratory disease while benefiting from an improved predictive performance. The real-life utility of the methodologies developed as part of this work lies in the fact that they facilitate accurate rate setting, in addition to offering the potential to inform health interventions.

The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction for the chain ladder predictor. Classical insurance loss models, that is of compound Poisson type, are not consistent with Mack’s distribution-free chain ladder. However, for a sequence of compound Poisson loss models indexed by exposure (e.g., number of contracts), we show that the chain ladder predictor and Mack’s estimator of conditional mean squared error of prediction can be derived by considering large exposure asymptotics. Hence, quantifying chain ladder prediction uncertainty can be done with Mack’s estimator without relying on the validity of the model assumptions of the distribution-free chain ladder.

This article provides a structured description of openly available news topics and forecasts for armed conflict at the national and grid cell level starting January 2010. The news topics, as well as the forecasts, are updated monthly at conflictforecast.org and provide coverage for more than 170 countries and about 65,000 grid cells of size 55 × 55 km worldwide. The forecasts rely on natural language processing (NLP) and machine learning techniques to leverage a large corpus of newspaper text for predicting sudden onsets of violence in peaceful countries. Our goals are a) to support conflict prevention efforts by making our risk forecasts available to practitioners and research teams worldwide, b) to facilitate additional research that can utilize risk forecasts for causal identification, and c) to provide an overview of the news landscape.

This paper explores citizens’ stances toward the use of artificial intelligence (AI) in public services in Norway. Utilizing a social contract perspective, the study analyzes the government–citizen relationship at macro, meso, and micro levels. A prototype of an AI-enabled public welfare service was designed and presented to 20 participants who were interviewed to investigate their stances on the described AI use. We found a generally positive attitude and identified three factors contributing to this: (a) the high level of trust in government (macro level); (b) the balanced value proposition between individual and collective needs (meso level); and (c) the reassurance provided by having humans in the loop and providing transparency into processes, data, and model’s logic (microlevel). The findings provide valuable insights into citizens’ stances for socially responsible AI in public services. These insights can inform policy and guide the design and implementation of AI systems in the public sector by foregrounding the government–citizen relationship.

A survey of Hong Kong residents finds that public support for government technology, as understood through the concept of smart cities, is associated with concept-awareness and official communications. The statistical analysis identifies moderating effects attributable to personal social media use and controls for personal ideological views about scope of government intervention and perceived political legitimacy of smart city policies. The study builds on a growing body of empirical scholarship about public support for government technology, while also addressing a practical trend in urban governance: the growing sophistication of technologies like artificial intelligence and their use in strengthening government capacities. The Hong Kong case exemplifies ambitious investments in technology by governments and, at the time of the survey, relatively high freedom of political expression. The study’s findings help refine theories about state-society relations in the rapidly evolving context of technology for public sector use.

We present a detailed analysis of random motions moving in higher spaces with a natural number of velocities. In the case of the so-called minimal random dynamics, under some broad assumptions, we give the joint distribution of the position of the motion (for both the inner part and the boundary of the support) and the number of displacements performed with each velocity. Explicit results for cyclic and complete motions are derived. We establish useful relationships between motions moving in different spaces, and we derive the form of the distribution of the movements in arbitrary dimension. Finally, we investigate further properties for stochastic motions governed by non-homogeneous Poisson processes.

We consider the problem of obtaining effective representations for the solutions of linear, vector-valued stochastic differential equations (SDEs) driven by non-Gaussian pure-jump Lévy processes, and we show how such representations lead to efficient simulation methods. The processes considered constitute a broad class of models that find application across the physical and biological sciences, mathematics, finance, and engineering. Motivated by important relevant problems in statistical inference, we derive new, generalised shot-noise simulation methods whenever a normal variance-mean (NVM) mixture representation exists for the driving Lévy process, including the generalised hyperbolic, normal-gamma, and normal tempered stable cases. Simple, explicit conditions are identified for the convergence of the residual of a truncated shot-noise representation to a Brownian motion in the case of the pure Lévy process, and to a Brownian-driven SDE in the case of the Lévy-driven SDE. These results provide Gaussian approximations to the small jumps of the process under the NVM representation. The resulting representations are of particular importance in state inference and parameter estimation for Lévy-driven SDE models, since the resulting conditionally Gaussian structures can be readily incorporated into latent variable inference methods such as Markov chain Monte Carlo, expectation-maximisation, and sequential Monte Carlo.

This paper considers the family of invariant measures of Markovian mean-field interacting particle systems on a countably infinite state space and studies its large deviation asymptotics. The Freidlin–Wentzell quasipotential is the usual candidate rate function for the sequence of invariant measures indexed by the number of particles. The paper provides two counterexamples where the quasipotential is not the rate function. The quasipotential arises from finite-horizon considerations. However, there are certain barriers that cannot be surmounted easily in any finite time horizon, but these barriers can be crossed in the stationary regime. Consequently, the quasipotential is infinite at some points where the rate function is finite. After highlighting this phenomenon, the paper studies some sufficient conditions on a class of interacting particle systems under which one can continue to assert that the Freidlin–Wentzell quasipotential is indeed the rate function.

We show that for arrival processes, the ‘harmonic new better than used in expectation’ (HNBUE) (or ‘harmonic new worse than used in expectation’, HNWUE) property is a sufficient condition for inequalities between the time and customer averages of the system if the state of the system between arrival epochs is stochastically decreasing and convex and the lack of anticipation assumption is satisfied. HNB(W)UE is a wider class than NB(W)UE, being the largest of all available classes of distributions with positive (negative) aging properties. Thus, this result represents an important step beyond existing result on inequalities between time and customer averages, which states that for arrival processes, the NB(W)UE property is a sufficient condition for inequalities.

Current World Health Organization (WHO) reports claim a decline in COVID-19 testing and reporting of new infections. To discuss the consequences of ignoring severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) infection, the endemic characteristics of the disease in 2023 with the ones estimated before using 2022 data sets are compared. The accumulated numbers of cases and deaths reported to the WHO by the 10 most infected countries and global figures were used to calculate the average daily numbers of cases DCC and deaths DDC per capita and case fatality rates (CFRs = DDC/DCC) for two periods in 2023. In some countries, the DDC values can be higher than the upper 2022 limit and exceed the seasonal influenza mortality. The increase in CFR in 2023 shows that SARS-CoV-2 infection is still dangerous. The numbers of COVID-19 cases and deaths per capita in 2022 and 2023 do not demonstrate downward trends with the increase in the percentages of fully vaccinated people and boosters. The reasons may be both rapid mutations of the coronavirus, which reduced the effectiveness of vaccines and led to a large number of re-infections, and inappropriate management.

In this paper, we propose two new optimal reinsurance models in which both premium budget constraints and the reinsurer’s risk limits are taken into account. To be precise, we assume that the reinsurance premium has an upper bound, and that the admissible ceded loss functions have a pre-specified upper limit. Moreover, we assume that the reinsurance premium principle is calculated by the expected value premium principle. Under the optimality criteria of minimizing the value at risk and conditional value at risk of the insurer’s total risk exposure, we derive the explicit optimal reinsurance treaties, which are layer reinsurance treaties. A new approach is developed to construct the optimal reinsurance treaties. Comparisons with existing studies are also made. Finally, we provide a numerical study based on real data and an example to illustrate the proposed models and results. Our work provides a novel generalization of several known achievements in the literature.