Nariankadu D. Shyamalkumar

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The ␣-level value at risk (VaR) and the ␣-level conditional tail expectation (CTE) of a continuous random variable X are defined as its ␣-level quantile (denoted by q ␣) and its conditional expectation given the event {X Ͼ q ␣ }, respectively. VaR is a popular risk measure in the banking sector, for both external and internal reporting purposes, while the(More)
Confronted with high-dimensional data arising from either word-document count, global climate patterns or any one of the myriad other sources, most scientific approaches extract a <i>good</i> low-dimensional summary. This desire to reduce dimensionality may be seen as a consequence of <i>Occam's Razor</i>, and the scientific methodologies we have in mind(More)
CONTEXT Necrotizing fasciitis is an aggressive infection affecting the skin and soft tissue. It has a very high acute mortality. The long-term survival and cause of death of patients who survive an index hospitalization for necrotizing fasciitis are not known. OBJECTIVE To define the long-term survival of patients who survive an index admission for(More)
The ␣-level Conditional Tail Expectation (CTE) of a continuous random variable X is defined as its conditional expectation given the event {X Ͼ q ␣ }, where q ␣ represents its ␣-level quantile. It is well known that the empirical CTE (the average of the n(1 Ϫ ␣) largest order statistics in a sample of size n) is a negatively biased estimator of the CTE.(More)
Suppose that mn observations are made from the distribution R and n − mn from the distribution S. Associate with each pair, x from R and y from S, a nonnegative score φ(x, y). An optimal reading policy is one that yields a sequence mn that maximizes E(M (n)), the expected sum of the (n − mn)mn observed scores, uniformly in n. The alternating policy, which(More)
Should a seller use a multi-unit auction for identical and indivisible units of a good? We show, under specific assumptions on the value distributions of the bidders, that in large markets the multi-unit format generates higher (lower) expected revenue compared to the bundled format when the supply is relatively scarce (abundant). In contrast, a large(More)
To my parents ii ACKNOWLEDGEMENTS First and foremost, I would like to express my deepest gratitude to my advi-sor, Professor Qihe Tang. I really appreciate that I can be involved in many research projects with Professor Tang in the past four years and hence developed strong interests in exploring different subjects of actuarial science. Without his constant(More)
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