ORL
2010
12 years 11 months ago
2010
: We analyze the comparative static effects of beneficial changes in the dependence structure between risks. In an insurance model with an insurable loss and dependent background w...
ORL
2010
13 years 3 months ago
2010
Facial reduction algorithm reduces the size of the positive semidefinite cone in SDP. The elimination method for a sparse SOS polynomial ([3]) removes unnecessary monomials for a...
ORL
2010
13 years 3 months ago
2010
ORL
2010
13 years 3 months ago
2010
: We compare capital requirements derived by tail conditional expectation (TCE) with those derived by tail conditional median (TCM) and find that there is no clear-cut relationship...
ORL
2010
13 years 3 months ago
2010
We compute a complete linear description of the bipartite subgraph polytope, for up to seven nodes, and a conjectured complete description for eight nodes. We then show how these ...
ORL
2010
13 years 3 months ago
2010
We use linear programming to provide a sensitivity analysis of Eisenberg and Noe’s one-period model of contagion via direct bilateral links. We provide a formula for the sensiti...
ORL
2010
13 years 3 months ago
2010
Interval-gradient cuts are (nonlinear) valid inequalities for nonconvex NLPs defined for constraints g(x) ≤ 0 with g being continuously differentiable in a box [x, ¯x]. In th...
ORL
2010
13 years 3 months ago
2010
ORL
2010
13 years 3 months ago
2010
ORL
2010
13 years 3 months ago
2010
The Spanning Tree Protocol routes traffic on shortest path trees. If some edges fail, the traffic has to be rerouted consequently, setting up alternative trees. In this paper we d...