Book of Abstracts
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Friday, October 18 | Day 1
8:15 a.m. | Registration/Breakfast (Rm: STC Lower Atrium)
Conference check-in desk and light refreshments will be available in the STC lower atrium.
9:15 a.m. | Opening Remarks (Rm: STC 0060)
Provided by: Greg Rice, Statistics and Actuarial Science Associate Chair - Graduate Studies
9:30 a.m. | Keynote (Rm: STC 0060)
Chair: Augustine Wigle
By: Aaditya Ramdas, Carnegie Mellon University
Title: A game-theoretic theory of statistical evidence
Abstract: This talk will describe an approach towards testing hypotheses and estimating functionals that is based on games. In short, to test a (possibly composite, nonparametric) hypothesis, we set up a game in which no betting strategy can make money under the null (the wealth is an "e-process" under the null). But if the null is false, then smart betting strategies will have exponentially increasing wealth. Thus, hypotheses are rewritten as constraints in games, the statistician is a gambler, test statistics are betting strategies, and the wealth obtained is directly a measure of evidence which is valid at any data-dependent stopping time (an e-value). The optimal betting strategies are typically Bayesian, but the guarantees are frequentist. This "game perspective" provides new statistically and computationally efficient solutions to many modern problems, like nonparametric independence or two-sample testing by betting, estimating means of bounded random variables, testing exchangeability, and so forth. The talk will summarize work from many papers in the literature.
10:30 a.m. | Coffee Break (Rm: STC Lower Atrium)
Coffee will be served in the STC lower atrium.
11:00 a.m. | Parallel Session 1
Session 1A | STAT (Rm: STC 0060)
Chair: Grace Tompkins
| Biostatistics | |
| Liyuan Zheng | Control the false discovery rate with complex auxiliary information |
| Henan Xu | Gender Disparities in Rehospitalisations after Coronary Artery Bypass Grafting: Evidence from a Functional Causal Mediation Analysis of the MIMIC-IV data |
| Olana Dabi | Diagnostic test accuracy meta-analysis based on exact within-study variance estimation method |
| Diribsa Bedada | An evaluation of the robustness of the generalized linear mixed model for an individual participant data meta-analysis of diagnostic test accuracy studies |
Session 1B | ActSci/Finance (Rm: STC 0040)
Chair: James Huang
| Risk Measures and Risk Management | |
| Qinghua Ren | Counter-monotonic risk allocations and distortion risk measures |
| James Huang | g-monotonicity, additivity and risk aversion |
| Alessandro Mutti | Convex bounds on sums with generalized FGM copula |
| Yimiao Zhao | Catastrophe Risk Pooling |
12:30 p.m. | Lunch (STC Lower Atrium)
Lunch will be served in the STC lower atrium.
1:30 p.m. | Parallel Session 2
Session 2A | STAT (Rm: STC 0060)
Chair: Madison Cranstone
| Theoretical Statistics | |
| Zhaoqi Yang | On Retrieving Bivariate Data Sets from Their Moments |
| Pengqi Liu | Regularization in finite mixture of sparse GLMs with ultra-high dimensionality |
| Alysha Cooper | Dominating hyperplane regularization for sparse multivariate count regression |
| Qinyu Wu | On Generalization and Regularization via Wasserstein Distributionally Robust Optimization |
Session 2B | ActSci/Finance (Rm: STC 0040)
Chair: Yixin Ding
| Actuarial Science: Theory and Application | |
| Benjamin Côté | Centrality and topology properties in a tree-structured Markov random field |
| André Orelien Chuisseu Tchuisseu | Actuarial fire-spreading model based on tree-structured Markov Random Fields, with insurance applications |
| Emma Kroell | Model Ambiguity in Risk Sharing with Monotone Mean-Variance Criteria |
| Sebastian Calcetero Vanegas | A population sampling framework for claim reserving in general insurance |
3:00 p.m. | Coffee Break (Rm: STC Lower Atrium)
Coffee will be served in the STC lower atrium.
3:30 p.m. | Session 3 | STAT (Rm: STC 0060)
Chair: Bryn Crandles
| Machine learning | |
| Tiancheng Yang | exKidneyBERT: a language model for kidney transplant pathology reports and the crucial role of extended vocabulaires |
| Julie Wojtiw-Quo | Evaluating air quality using isolation forests - Clearing the air on pollution hotspots |
| Ambrose Emmett-Iwaniw | Enhancing neural autoregressive distribution estimators with low-discrepancy orderings |
| Gradon Nicholls | Model-assisted double-coding of open-ended survey questions with large language models |
| Argho Das | Social Unrest in Bangladesh: A Sentiment and Emotion Analysis of Public Opinion During the 2024 Student Quota Protests |
5:30 p.m. | Reception (Rm: M3 Atrium)
The reception will take place in the M3 Atrium from 5:30 p.m. - 8:00 p.m.
Saturday, October 19
9:00 a.m. | Breakfast (Rm: STC Lower Atrium)
9:30 a.m. | Keynote (Rm: STC 0060)
Chair: Zachary Van Oosten
By: Etienne Marceau, Université Laval
Title: Tree-Structured Ising models: Mean parameterization, efficient computation methods and stochastic ordering
Abstract: High-dimensional multivariate Bernoulli distributions are essential in the modeling of binary data in actuarial contexts. Tree-structured Ising models, a class of undirected graphical models for binary data, have been proven to be useful in a variety of applications in machine learning. We assess advantages of expressing tree-based Ising models via their mean parameterization rather than their commonly chosen canonical parameterization. This includes fixed marginal distributions, often convenient for dependence modeling, and the dispelling of the intractable normalizing constant otherwise plaguing Ising models. We derive an analytic expression for the joint probability generating function of mean-parameterized tree-structured Ising models. The latter is used to build efficient computation methods for the sum of its constituent random variables. Similarly, we derive an analytic expression of their ordinary generating function of expected allocations, providing means for exact computations in the context of risk allocations. We examine the dependence properties of the tree-structured Ising models and their applications in actuarial science.
10:30 a.m. | Coffee Break (Rm: STC Lower Atrium)
Coffee will be served in the STC lower atrium.
11:00 a.m. | Parallel Session 4
Session 4A | STAT (Rm: STC 0060)
Chair: Laura Bumbulis
| Methods for Inference and Improving Efficiency | |
| Laura Bumbulis | Robustness and Efficiency Considerations when Testing Process Reliability with a Limit of Detection |
| Victor Malinowski | Investigating the Performance of Direct and Indirect Causal Effect Estimators under Partial Interference and Structured Nearest Neighbour Interference |
| Kyu Min Shim | Leveraging Counterfactual Estimation for Effective Variance Reduction in Online Controlled Experiments |
| Matteo Gasparin | Combining exchangeable p-values |
Session 4B | ActSci/Finance (Rm: STC 0040)
Chair: Alexandra Mossman
| Quantitative Finance | |
| Wei Li Fan | A new type of CEV model. Properties, comparison and application to portfolio optimization |
| Chenxin Lyu | Numerical Fourier method and Multi-dimensional Second-order Taylor scheme for Stochastic Differential Equations |
| Xize Ye | Affine Generalized Autoregressive Conditionally Stochastic Heteroskedasticity (GARCSH): Motivation and Applications |
| Xipeng Huang | Would a two-benchmark regime be better? |
12:30 p.m. | Lunch (Rm: STC Lower Atrium)
Lunch will be served in the STC lower atrium.
1:30 p.m. | Parallel Session 5
Session 5A | STAT (Rm: STC 0060)
Chair: Sijie Chen
| Computational statistics and change point detection | |
| Mohan Wu | Variational Inference for Stochastic Differential Equations |
| Mingwei Xu | A bayesian collocation integral method for system identification of ordinary differential equations |
| Jeremy VanderDoes | Change point analysis for functional data using empirical characteristic functionals |
| Ahmed Mozaffari | Non-parametric multiple change point detection for manifold data |
Session 5B | ActSci/Finance (Rm: STC 0040)
Chair: Henan Xu
| Portfolio Management | |
| Zhiqiao Song | Worst-case downside risk measures under a reward-penalty framework with applications to robust portfolio selection |
| Hamidreza Masoumi | Outperforming Buy-and-Hold: A market Timing Model Using Analysts' Forecasts |
| Agassi Iu | A study on dollar cost averaging |
| Rhoda Dadzie-Dennis | Empirical Analysis of Climate-Smart Investing |