Ricardas Zitikis

Western University

1151 Richmond Street

Suite 2

London, Ontario N6A 5B8

Canada

SCHOLARLY PAPERS

54

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SSRN CITATIONS
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Top 9,628

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111

CROSSREF CITATIONS

58

Scholarly Papers (54)

1.

An Axiomatic Foundation for the Expected Shortfall

Management Science, Forthcoming
Number of pages: 38 Posted: 22 Jul 2019 Last Revised: 17 Mar 2020
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 361 (153,417)
Citation 30

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risk measure, Expected Shortfall, risk concentration, diversification, risk aggregation

2.

Prospect Theory, Indifference Curves, and Hedging Risks

Number of pages: 13 Posted: 12 Jun 2010
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la RepublicaUniversity of Montevideo, Western University and Asia University, Department of Finance
Downloads 277 (203,131)
Citation 18

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Prospect theory, mean-variance model, indifference curve, production output, price uncertainty, hedging, contango, backwardation

3.

Weighted Premium Calculation Principles

Insurance: Mathematics and Economics, Vol. 42, No. 1, pp. 459 - 465
Number of pages: 17 Posted: 18 Jul 2007 Last Revised: 02 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 270 (208,410)
Citation 1

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weighted transform, weighted distribution, weighted premium calculation principle, loaded premium, distorted premium, Esscher's premium, Kamps's premium, conditional tail expectation, tail variance premium, stochastic ordering

4.

Weighted Risk Capital Allocations

Insurance: Mathematics and Economics, Vol. 43, No. 2, pp. 263-270
Number of pages: 23 Posted: 05 Mar 2008 Last Revised: 24 Mar 2009
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 263 (213,914)
Citation 5

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Weighted distributions, weighted premiums, weighted allocations, Stein's lemma, general covariance decomposition, regression function

5.

Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks

Number of pages: 32 Posted: 11 Sep 2016
Edward Furman, Ruodu Wang and Ricardas Zitikis
York University - Department of Mathematics and Statistics, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 259 (217,210)
Citation 9

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risk measure, variability measure, Gini shortfall, Gini capital allocation, Choquet integral.

6.

Background Risk Models and Stepwise Portfolio Construction

Methodology and Computing in Applied Probability, 2016, 18(3), 805-827.
Number of pages: 27 Posted: 04 Oct 2013 Last Revised: 10 Aug 2016
Alexandru Vali Asimit, Raluca Vernic and Ricardas Zitikis
City University London - The Business School, Ovidius University of Constanta and Western University
Downloads 255 (220,606)
Citation 1

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Portfolio construction, Background risk, Systemic risk, Laplace transform, Risk management, Capital allocation

7.

General Stein-Type Covariance Decompositions with Applications to Insurance and Finance

ASTIN: Bulletin, Vol. 40, No. 1, pp. 369-375
Number of pages: 7 Posted: 10 Mar 2008 Last Revised: 08 Jun 2010
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 244 (230,428)
Citation 1

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Capital Asset Pricing Model, CAPM, Beta, Stein's Lemma, Covariance Decomposition, Linear Regression

8.

Do Investors Like to Diversify? A Study of Markowitz Preferences

Number of pages: 16 Posted: 06 Feb 2009 Last Revised: 23 May 2011
Universidad de la RepublicaUniversity of Montevideo, University of Lleida, Asia University, Department of Finance and Western University
Downloads 238 (236,037)
Citation 5

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Diversification, stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function

9.

Paths and Indices of Maximal Tail Dependence

ASTIN Bulletin: The Journal of the International Actuarial Association, Forthcoming
Number of pages: 20 Posted: 06 May 2014 Last Revised: 17 Jul 2016
Edward Furman, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, Purdue University - Department of Statistics and Western University
Downloads 234 (239,964)
Citation 5

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multivariate distribution; copula; tail dependence; maximal dependence; fatal shock; multivariate Pareto; enterprise risk management.

10.

Prospect Theory and Hedging Risks

Dresden Discussion Paper in Economics No. 5/10
Number of pages: 24 Posted: 12 Jun 2010
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la RepublicaUniversity of Montevideo, Asia University, Department of Finance and Western University
Downloads 174 (314,755)
Citation 4

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Prospect theory, mean-variance model, indifference curve, price uncertainty, hedging

11.

Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Risks, 2013, Volume 1, Issue 1, p.14-33
Number of pages: 23 Posted: 13 Jan 2013 Last Revised: 17 Nov 2014
Alexandru Vali Asimit, Raluca Vernic and Ricardas Zitikis
City University London - The Business School, Ovidius University of Constanta and Western University
Downloads 134 (390,146)
Citation 1

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distortion risk measure, weighted premium, weighted allocation, tail value at risk, conditional tail expectation, multivariate Pareto distribution

12.

Measuring the Lack of Monotonicity in Functions

Mathematical Scientist. 2014, Vol. 39 Issue 2, p107-117. 11p.
Number of pages: 23 Posted: 25 Mar 2014 Last Revised: 23 Aug 2019
Danang Qoyyimi and Ricardas Zitikis
Department of Statistical and Actuarial Sciences University of Western Ontario and Western University
Downloads 132 (394,758)
Citation 3

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monotonicity, monotone rearrangement, convex rearrangement, comonotonicity, monotone likelihood ratio test, likelihood ratio ordering, hazard rate ordering, weighted insurance premiums

13.

Tail Dependence of the Gaussian Copula Revisited

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 21 Posted: 02 Feb 2015 Last Revised: 17 Jul 2016
Edward Furman, Alexey Kuznetsov, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, York University, Purdue University - Department of Statistics and Western University
Downloads 118 (429,732)

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Gaussian copula, tail dependence, maximal dependence path

14.

Coupled Risk Measures and Their Empirical Estimation When Losses Follow Heavy-Tailed Distributions

Number of pages: 28 Posted: 30 May 2011 Last Revised: 02 Jun 2011
Abdelhakim Necir and Ricardas Zitikis
University Mohamed Khider - Laboratory of Applied Mathematics and Western University
Downloads 112 (446,747)
Citation 1

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Risk measure, Heavy-tailed distribution, Distortion risk measure, Weighted risk measure, Proportional hazards transform, Conditional tail expectation, Premium calculation principle, Index of economic inequality, Statistical inference

15.

Gruss-Type Bounds for the Covariance of Transformed Random Variables

Number of pages: 12 Posted: 24 Mar 2010
Universidad de la RepublicaUniversity of Montevideo, University of Lleida, Asia University, Department of Finance and Western University
Downloads 107 (461,983)
Citation 3

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Gruss-type Bounds, Covariance, Transformed Random Variables, decision making, uncertainty

16.

Trends in Disguise

Annals of Actuarial Science, 9(1), 58-71, 2015
Number of pages: 18 Posted: 26 Mar 2014 Last Revised: 07 May 2015
Vytaras Brazauskas, Bruce L. Jones and Ricardas Zitikis
University of Wisconsin - Milwaukee, University of Western Ontario - Department of Statistical and Actuarial Sciences and Western University
Downloads 105 (468,296)

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Deductible; Deflation; Inflation rate; Insurance claims; Polynomial Pareto distribution

17.

Weighted Pricing Functionals

Number of pages: 31 Posted: 29 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 105 (468,296)

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Weighted distributions, weighted premiums, pri ing functionals, actuarial premium calculation principles, economic premium calculation principles, capital asset pricing model, CAPM, weighted insurance pricing model, WIPM

18.

Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken into Account

Number of pages: 29 Posted: 21 Sep 2016
Wenjun Jiang, Jiandong Ren and Ricardas Zitikis
University of Calgary, University of Western Ontario and Western University
Downloads 98 (491,058)
Citation 2

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optimal reinsurance

19.

Revisiting Grüss’s Inequality: Covariance Bounds, QDE but not QD Copulas, and Central Moments

Number of pages: 27 Posted: 26 Oct 2010
University of Montevideo - Department of Economics, University of Coruña, Asia University, Department of Finance and Western University
Downloads 93 (507,939)

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Grüss’s Inequality, Covariance Bound, Hoeffding Representation, Cuadras Representation, Quadrant Dependence, Quadrant Dependence in Expectation, Copula, Convex Combination, Archimedean Copula, Fréchet Copula, Farlie-Gumbel-Morgenstern Copula, Central Moments, Edmundson-Madansky Bound

20.

Tail maximal dependence in bivariate models: estimation and applications

Mathematical Methods of Statistics
Number of pages: 40 Posted: 14 Jul 2020 Last Revised: 12 Sep 2022
Ning Sun, Chen Yang and Ricardas Zitikis
Agri-Food Analytics Lab, Icahn School of Medicine at Mount Sinai and Western University
Downloads 92 (511,480)

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extreme co-movement, maximal tail dependence, financial instrument, statistical hypothesis

21.

Detecting Systematic Anomalies Affecting Systems When Inputs Are Stationary Time Series

Applied Stochastic Models in Business and Industry
Number of pages: 54 Posted: 09 Jan 2021 Last Revised: 11 Sep 2022
Ning Sun, Chen Yang and Ricardas Zitikis
Agri-Food Analytics Lab, Wuhan University and Western University
Downloads 90 (518,596)
Citation 2

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Control systems, anomaly detection, systematic errors, time series.

22.

A Statistical Methodology for Assessing the Maximal Strength of Tail Dependence

Number of pages: 29 Posted: 23 Mar 2020 Last Revised: 20 Mar 2023
Ning Sun, Chen Yang and Ricardas Zitikis
Agri-Food Analytics Lab, Wuhan University and Western University
Downloads 89 (522,239)
Citation 1

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copula, maximal tail dependence, statistical estimation, Kendall's distribution

23.

Estimating the VaR-Induced Euler Allocation Rule

Number of pages: 24 Posted: 19 Sep 2022
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 83 (544,981)

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capital allocations, conditional mean risk sharing, quantile regression, order statistics, concomitants

24.

Prospect Performance Evaluation: Making a Case for a Non-Asymptotic UMPU Test

Number of pages: 31 Posted: 16 Dec 2011
Wing-Keung Wong, Ricardas Zitikis, Zhidong Bai and Yongchang Hui
Asia University, Department of Finance, Western University, Northeast Normal University and affiliation not provided to SSRN
Downloads 83 (544,981)
Citation 5

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25.

Zenga’s New Index of Economic Inequality, Its Estimation, and an Analysis of Incomes in Italy

Number of pages: 26 Posted: 04 Sep 2009 Last Revised: 01 Aug 2015
Francesca Greselin, Leo Pasquazzi and Ricardas Zitikis
Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods, Università degli Studi di Milano Bicocca and Western University
Downloads 82 (548,946)

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Zenga index, lower conditional expectation, upper conditional expectation, confidence interval, Bonferroni curve, Lorenz curve, Vervaat process

26.

Risk Measures Induced by Efficient Insurance Contracts

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 06 Oct 2021 Last Revised: 10 Jan 2022
Qiuqi Wang, Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 78 (565,243)
Citation 1

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Optimal insurance, Expected Shortfall, Pareto optimality, deductible, concentration

27.

Log-Supermodularity of Weight Functions and the Loading Monotonicity of Weighted Insurance Premiums

Number of pages: 17 Posted: 20 Aug 2010
Hristo Sendov, Ying Wang and Ricardas Zitikis
University of Western Ontario - Department of Statistical and Actuarial Sciences, University of Western Ontario - Department of Applied Mathematics and Western University
Downloads 78 (565,243)
Citation 1

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Insurance premium, Weighted premium, Weighted distribution, Log-supermodularity, Supermodularity, Submodularity, Monotonicity, Esscher premium, Conditional tail expectation, Kamps premium, Wang premium, Distortion premium, Chebyshev's inequality, Decision under uncertainty

28.

Beyond the Pearson Correlation: Heavy-Tailed Risks, Weighted Gini Correlations, and a Gini-Type Weighted Insurance Pricing Model

Number of pages: 21 Posted: 09 Jul 2016 Last Revised: 12 Jul 2016
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and Western University
Downloads 77 (569,427)

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Pearson correlation, weighted Gini correlation, capital asset pricing model, weighted insurance pricing model, bivariate distributions.

29.

Weighted Risk Capital Allocations in the Presence of Systematic Risk

Number of pages: 19 Posted: 19 Sep 2017
Edward Furman, Alexey Kuznetsov and Ricardas Zitikis
York University - Department of Mathematics and Statistics, York University and Western University
Downloads 76 (573,821)
Citation 1

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Weighted risk measures, weighted risk capital allocations, systematic risk

30.

Alternative ways to initiate students' intuition, and hence internalization, of why zero factorial is equal to one

Number of pages: 18 Posted: 18 Mar 2021 Last Revised: 07 Sep 2023
Munir Mahmood, Lori Murray, Ricardas Zitikis and Ibtihal Mahmood
Mathematics and Statistics Education Australia, King's University College, Western University, Western University and University of Melbourne
Downloads 72 (591,354)

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factorial, bound, limit, squeeze theorem

31.

The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions

Computational Economics
Number of pages: 40 Posted: 18 Mar 2021 Last Revised: 08 Mar 2022
Martín Egozcue, Luis Fuentes García and Ricardas Zitikis
University of Montevideo - Department of Economics, University of Coruña and Western University
Downloads 72 (591,354)

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behavioural economics, probability weighting function, subadditivity, likelihood insensitivity, probabilistic insensitivity

32.

A Text Analysis for Operational Risk Loss Descriptions

Journal of Operational Risk
Number of pages: 25 Posted: 14 Dec 2022 Last Revised: 16 May 2023
UniCredit S.p.A., Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods, UniCredit S.p.A. and Western University
Downloads 69 (605,342)

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clustering, natural language processing, operational risk, text analysis

33.

Robust Fitting of Claim Severity Distributions and the Method of Trimmed Moments

Journal of Statistical Planning and Inference, 139(6), 2028-2043, 2009
Number of pages: 30 Posted: 08 Jun 2014 Last Revised: 18 Jun 2014
Vytaras Brazauskas, Bruce L. Jones and Ricardas Zitikis
University of Wisconsin - Milwaukee, University of Western Ontario - Department of Statistical and Actuarial Sciences and Western University
Downloads 68 (609,909)

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34.

Should We Opt for the Black Friday Discounted Price or Wait Until the Boxing Day?

The Mathematical Scientist (Forthcoming), 2017
Number of pages: 16 Posted: 19 Dec 2016
Jiang Wu and Ricardas Zitikis
Central University of Finance and Economics (CUFE) and Western University
Downloads 66 (619,471)

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decision theory, two-period economy, price discrimination, strategy, game theory, conditional probability, statistical modelling

35.

Measuring Economic Inequality and Risk: A Unifying Approach Based on Personal Gambles, Societal Preferences and References

Number of pages: 29 Posted: 02 Aug 2015
Francesca Greselin and Ricardas Zitikis
Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods and Western University
Downloads 64 (629,558)
Citation 2

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economic inequality, reference measure, personal gamble, inequality index, risk measure, relativity.

36.

An Optimal Strategy for Maximizing the Expected Real-Estate Selling Price: Accept or Reject an Offer?

Number of pages: 17 Posted: 15 Aug 2012
Universidad de la RepublicaUniversity of Montevideo, University of Coruña and Western University
Downloads 64 (629,558)
Citation 2

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Real estate, Optimal strategy, Decision theory, Uncertainty, Two-envelope problem

37.

Weak Comonotonicity

Forthcoming, European Journal of Operational Research
Number of pages: 32 Posted: 28 Dec 2018 Last Revised: 13 Sep 2019
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 63 (634,483)
Citation 4

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Assessing the Difference between Integrated Quantiles and Integrated Cumulative Distribution Functions

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 05 Nov 2022 Last Revised: 14 Jun 2023
Yunran Wei and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 33 (850,832)

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quantile, Value-at-Risk, integrated Value-at-Risk, Expected Shortfall

Assessing the Difference Between Integrated Quantiles and Integrated Cumulative Distribution Functions

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 09 Nov 2022 Last Revised: 25 Apr 2023
Yunran Wei and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 23 (943,761)

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quantile, Value-at-Risk, integrated Value-at-Risk, Expected Shortfall

39.

Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 48 Posted: 28 Mar 2022 Last Revised: 03 Sep 2022
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 53 (688,923)

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capital allocations, marginal expected shortfall, compound sums, order statistics, concomitants

40.

Measuring Association via Lack of Co-Monotonicity: The LOC Index and a Problem of Educational Assessment

Number of pages: 22 Posted: 26 Feb 2015 Last Revised: 06 Jun 2015
Danang Qoyyimi and Ricardas Zitikis
Department of Statistical and Actuarial Sciences University of Western Ontario and Western University
Downloads 53 (688,923)
Citation 1

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association, co-monotonicity, Liebscher coefficient, LOC index, education, performance evaluation.

41.

Empirical Tail Conditional Allocation and Its Consistency under Minimal Assumptions

Annals of the Institute of Statistical Mathematics
Number of pages: 26 Posted: 13 Aug 2021 Last Revised: 19 Oct 2021
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 51 (700,874)
Citation 2

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tail conditional allocation, marginal expected shortfall, inference, order statistic, concomitant

42.

Measuring Income Inequality via Percentile Relativities

Number of pages: 48 Posted: 07 Aug 2023 Last Revised: 22 Jan 2024
Vytaras Brazauskas, Francesca Greselin and Ricardas Zitikis
University of Wisconsin - Milwaukee, Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods and Western University
Downloads 49 (713,469)

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measures of inequality, heavy-tailed distributions, income transfers

43.

Examining the Distributional Effects of Military Service on Earnings: A Test of Initial Dominance

Number of pages: 37 Posted: 26 Jun 2012
Christopher Joseph Bennett and Ricardas Zitikis
Vanderbilt University and Western University
Downloads 49 (713,469)
Citation 1

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Treatment effect, Potential outcome, Earnings, Hypothesis test, Stochastic dominance, Initial dominance, Crossing point, Causal effect

44.

Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses

North American Actuarial Journal
Number of pages: 25 Posted: 17 Apr 2023 Last Revised: 13 Nov 2023
Daoping Yu, Vytaras Brazauskas and Ricardas Zitikis
University of Wisconsin - Milwaukee, University of Wisconsin - Milwaukee and Western University
Downloads 39 (781,223)

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Bootstrap, Claim Counts, Smoothed Quantiles, Value-at-Risk, Truncated Distributions

45.

NLP-Based Detection of Systematic Anomalies Among the Narratives of Consumer Complaints

Journal of Operational Risk
Number of pages: 29 Posted: 28 Aug 2023 Last Revised: 26 Mar 2024
Peiheng Gao, Ning Sun, Xuefeng Wang, Chen Yang and Ricardas Zitikis
Western University, Canada, Agri-Food Analytics Lab, Western University, Canada, Icahn School of Medicine at Mount Sinai and Western University
Downloads 38 (795,990)

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consumer complaints, anomaly detection, classification, sentiment scores, Cobb-Douglas function, natural language processing

46.

Quantifying and Analyzing Nonlinear Relationships With a Fresh Look at a Classical Dataset of Student Scores

Number of pages: 26 Posted: 24 Aug 2019 Last Revised: 25 Feb 2020
Lingzhi Chen and Ricardas Zitikis
University of Western Ontario and Western University
Downloads 36 (803,635)

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educational assessment, statistical analysis, association, curriculum development

47.

Bivariate Compound Tail Probabilities and Their Bounds for the Assessment of Required Capital

Number of pages: 27 Posted: 22 Sep 2022
Ang Li, Jiandong Ren and Ricardas Zitikis
Western University, Canada, University of Western Ontario and Western University
Downloads 28 (869,009)

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bivariate distribution, compound sum, required capital, joint tail probability, value at risk, estimates

48.

Assessing the Coverage Probabilities of Fixed-Margin Confidence Intervals for the Tail Conditional Allocation

Annals of the Institute of Statistical Mathematics, Forthcoming
Number of pages: 36 Posted: 10 Nov 2022 Last Revised: 05 Mar 2024
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 16 (983,983)

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tail conditional allocation, order statistics, concomitants, resampling, coverage probability

49.

Functional Correlations in the Pursuit of Performance Assessment of Classifiers

International Journal of Pattern Recognition and Artificial Intelligence, 34 (13), Article 2051013 (15 December, 2020) https://doi.org/10.1142/S0218001420510131
Number of pages: 26 Posted: 07 Dec 2022
Nadezhda Gribkova and Ricardas Zitikis
Saint Petersburg State University and Western University
Downloads 12 (1,024,148)

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Functional Correlation, Classifier, Rater, Confusion Matrix, Weighted Kappa

50.

Assessing Monotonicity: An Approach Based on Transformed Order Statistics

Number of pages: 25 Posted: 29 Feb 2024
Aleksandr Chen, Nadezhda Gribkova and Ricardas Zitikis
Western University, Saint Petersburg State University and Western University
Downloads 8 (1,061,163)

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monotonicity, function, index of increase, order statistic

51.

Online supplementary material for ``NLP-based detection of systematic anomalies among the narratives of consumer complaints''

Journal of Operational Risk
Number of pages: 7
Peiheng Gao, Ning Sun, Xuefeng Wang, Chen Yang and Ricardas Zitikis
Western University, Canada, Agri-Food Analytics Lab, Western University, Canada, Icahn School of Medicine at Mount Sinai and Western University
Downloads 1

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Consumer complaints, anomaly detection, classification, sentiment scores, Cobb-Douglas function, Natural Language Processing

52.

A Text Analysis of Operational Risk Loss Descriptions

Journal of Operational Risk, Vol. 18, No. 1, 2023
Number of pages: 28 Posted: 04 Oct 2023
UniCredit S.p.A., Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods, UniCredit S.p.A. and Western University
Downloads 0 (1,123,761)
Citation 1
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clustering natural language processing, operational risk, text analysis, dimensionality reduction

53.

Aggregate Claims When Their Sizes and Arrival Times are Dependent and Governed by a General Point Process

Posted: 25 Apr 2011 Last Revised: 26 Apr 2011
Kristina Paskova Sendova and Ricardas Zitikis
University of Western Ontario and Western University

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Aggregate Claims, Point Process, Order Statistic, Order Statistic Point Process, OS-Point Process, Claim Frequency, Claim Severity

54.

Testing Hypotheses About Absolute Concentration Curves and Marginal Conditional Stochastic Dominance

Economic Theory, Vol. 24, No. 4, pp. 1044-1062
Posted: 03 May 2006 Last Revised: 03 Apr 2009
Ben-Gurion University of the Negev - Department of Industrial Engineering and Management, Department of Industrial Management, Sapir Academic College, Hebrew University of Jerusalem - Department of Economics and Western University

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Absolute concentration curve, Lorenz curve, marginal conditional stochastic dominance, consistency, convergence in distribution, bootstrap