In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss function is increasing and the ceded loss function satisfies Vajda condition. Among a general class of reinsurance premium principles that satisfy the properties of risk loading and convex order preserving, the optimal solutions are obtained. Our results show that the optimal ceded loss functions are in the form of five interconnected segments for general reinsurance premium principles, and they can be further simplified to four interconnected segments if more properties are added to reinsurance premium principles. Finally, we derive optimal parameters for the expected value premium principle and give a numerical study to analyze the impact of the weighting factor on the optimal reinsurance.

Erdős asked if, for every pair of positive integers g and k, there exists a graph H having girth (H) = k and the property that every r-colouring of the edges of H yields a monochromatic cycle Ck. The existence of such graphs H was confirmed by the third author and Ruciński.

We consider the related numerical problem of estimating the order of the smallest graph H with this property for given integers r and k. We show that there exists a graph H on R10k2; k15k3 vertices (where R = R(Ck; r) is the r-colour Ramsey number for the cycle Ck) having girth (H) = k and the Ramsey property that every r-colouring of the edges of H yields a monochromatic Ck Two related numerical problems regarding arithmetic progressions in subsets of the integers and cliques in graphs are also considered.

The integration of Artificial Neural Networks (ANNs) and Feature Extraction (FE) in the context of the Sample- Partitioning Adaptive Reduced Chemistry approach was investigated in this work, to increase the on-the-fly classification accuracy for very large thermochemical states. The proposed methodology was firstly compared with an on-the-fly classifier based on the Principal Component Analysis reconstruction error, as well as with a standard ANN (s-ANN) classifier, operating on the full thermochemical space, for the adaptive simulation of a steady laminar flame fed with a nitrogen-diluted stream of n-heptane in air. The numerical simulations were carried out with a kinetic mechanism accounting for 172 species and 6,067 reactions, which includes the chemistry of Polycyclic Aromatic Hydrocarbons (PAHs) up to C$ {}_{20} $. Among all the aforementioned classifiers, the one exploiting the combination of an FE step with ANN proved to be more efficient for the classification of high-dimensional spaces, leading to a higher speed-up factor and a higher accuracy of the adaptive simulation in the description of the PAH and soot-precursor chemistry. Finally, the investigation of the classifier’s performances was also extended to flames with different boundary conditions with respect to the training one, obtained imposing a higher Reynolds number or time-dependent sinusoidal perturbations. Satisfying results were observed on all the test flames.

We present a polynomial-time Markov chain Monte Carlo algorithm for estimating the partition function of the antiferromagnetic Ising model on any line graph. The analysis of the algorithm exploits the ‘winding’ technology devised by McQuillan [CoRR abs/1301.2880 (2013)] and developed by Huang, Lu and Zhang [Proc. 27th Symp. on Disc. Algorithms (SODA16), 514–527]. We show that exact computation of the partition function is #P-hard, even for line graphs, indicating that an approximation algorithm is the best that can be expected. We also show that Glauber dynamics for the Ising model is rapidly mixing on line graphs, an example being the kagome lattice.

We prove that if $A \subseteq [X,\,2X]$ and $B \subseteq [Y,\,2Y]$ are sets of integers such that gcd (a, b) ⩾ D for at least δ|A||B| pairs (a, b) ε A × B then $|A||B|{ \ll _{\rm{\varepsilon }}}{\delta ^{ - 2 - \varepsilon }}XY/{D^2}$. This is a new result even when δ = 1. The proof uses ideas of Koukoulopoulos and Maynard and some additional combinatorial arguments.

Deviations of asset prices from the random walk dynamic imply the predictability of asset returns and thus have important implications for portfolio construction and risk management. This paper proposes a real-time monitoring device for such deviations using intraday high-frequency data. The proposed procedures are based on unit root tests with in-fill asymptotics but extended to take the empirical features of high-frequency financial data (particularly jumps) into consideration. We derive the limiting distributions of the tests under both the null hypothesis of a random walk with jumps and the alternative of mean reversion/explosiveness with jumps. The limiting results show that ignoring the presence of jumps could potentially lead to severe size distortions of both the standard left-sided (against mean reversion) and right-sided (against explosiveness) unit root tests. The simulation results reveal satisfactory performance of the proposed tests even with data from a relatively short time span. As an illustration, we apply the procedure to the Nasdaq composite index at the 10-minute frequency over two periods: around the peak of the dot-com bubble and during the 2015–2106 stock market sell-off. We find strong evidence of explosiveness in asset prices in late 1999 and mean reversion in late 2015. We also show that accounting for jumps when testing the random walk hypothesis on intraday data is empirically relevant and that ignoring jumps can lead to different conclusions.

We consider the adaptive Lasso estimator with componentwise tuning in the framework of a low-dimensional linear regression model. In our setting, at least one of the components is penalized at the rate of consistent model selection and certain components may not be penalized at all. We perform a detailed study of the consistency properties and the asymptotic distribution which includes the effects of componentwise tuning within a so-called moving-parameter framework. These results enable us to explicitly provide a set $\mathcal {M}$ such that every open superset acts as a confidence set with uniform asymptotic coverage equal to 1, whereas removing an arbitrarily small open set along the boundary yields a confidence set with uniform asymptotic coverage equal to 0. The shape of the set $\mathcal {M}$ depends on the regressor matrix as well as the deviations within the componentwise tuning parameters. Our findings can be viewed as a broad generalization of Pötscher and Schneider (2009, Journal of Statistical Planning and Inference 139, 2775–2790; 2010, Electronic Journal of Statistics 4, 334–360), who considered distributional properties and confidence intervals based on components of the adaptive Lasso estimator for the case of orthogonal regressors.