Related papers: Competing risks within shock models
We give a construction of the Hawkes process as a piecewise competing risks model. We argue that the most natural interpretation of the self-excitation kernel is the hazard function of a defective random variable. This establishes a link…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
Chase-escape is a competitive growth process in which red particles spread to adjacent empty sites according to a rate-$\lambda$ Poisson process while being chased and consumed by blue particles according to a rate-$1$ Poisson process.…
We investigate models in which blocking can interrupt a particulate flow process at any time. Filtration, and flow in micro/nano-channels and traffic flow are examples of such processes. We first consider concurrent flow models where…
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…
Arthur [1,2] provided a model to explain the circumstances that lead to technological lock-in into a specific trajectory. We contribute substantially to this area of research by investigating the circumstances under which technological…
Competing risks occur in survival analysis when multiple causes of death are present. They play a prominent role in several domains extending beyond biostatistics to encompass epidemiology, actuarial sciences, and reliability theory. This…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
The emergence and evolution of real-world systems have been extensively studied in the last few years. However, equally important phenomena are related to the dynamics of systems' collapse, which has been less explored, especially when they…
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical…
When data are right-censored, i.e. some outcomes are missing due to a limited period of observation, survival analysis can compute the "time to event". Multiple classes of outcomes lead to a classification variant: predicting the most…
Existing models for the analysis of concurrent processes tend to focus on fail-stop failures, where processes are either working or permanently stopped, and their state (working/stopped) is known. In fact, systems are often affected by grey…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
Competitive interactions represent one of the driving forces behind evolution and natural selection in biological and sociological systems. For example, animals in an ecosystem may vie for food or mates; in a market economy, firms may…
We develop a systemic risk framework to explore cascading systemic failures in networked control systems. A time-delayed version of the vehicle platooning problem is used as a benchmark to study the interplay among network connectivity,…
One of the commonly used approaches to capture dependence in multivariate survival data is through the frailty variables. The identifiability issues should be carefully investigated while modeling multivariate survival with or without…
We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
Under adaptive progressive Type-II censoring schemes, order restricted inference based on competing risks data is discussed in this article. The latent failure lifetimes for the competing causes are assumed to follow Weibull distributions,…
When dealing with right-censored data, where some outcomes are missing due to a limited observation period, survival analysis -- known as time-to-event analysis -- focuses on predicting the time until an event of interest occurs. Multiple…