Related papers: Competing risks within shock models
The assumption of hazard rates being proportional in covariates is widely made in empirical research and extensive research has been done to develop tests of its validity. This paper does not contribute on this end. Instead, it gives new…
The modeling of cascading failure in power systems is difficult because of the many different mechanisms involved; no single model captures all of these mechanisms. Understanding the relative importance of these different mechanisms is an…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
In this paper, we propose a flexible cure rate model with frailty term in latent risk, which is obtained by incorporating a frailty term in risk function of latent competing causes. The number of competing causes of the event of interest…
Integrated cyber-physical systems (CPSs), such as the smart grid, are increasingly becoming the underpinning technology for major industries. A major concern regarding such systems are the seemingly unexpected large-scale failures, which…
The failure of a system can result from the simultaneous effects of multiple causes, where assigning a specific cause may be inappropriate or unavailable. Examples include contributing causes of death in epidemiology and the aetiology of…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
Real systems are usually composed by units or nodes whose activity can be interrupted and restored intermittently due to complex interactions not only with the environment, but also with the same system. Majdand\v{z}i\'c $et\;al.$ [Nature…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
A trivariate Weibull survival model using competing risks concept is applied on studying recidivism of committing 3 types of crimes - sex, violent and others. The assumption of independence of time to commit each type of crimes is relaxed…
Many researchers have investigated first hitting times as models for survival data. First hitting times arise naturally in many types of stochastic processes, ranging from Wiener processes to Markov chains. In a survival context, the state…
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…
Certain systems with slow driving and avalanche-like dissipation events are naturally close to a critical point when the ratio of two energy scales is large. The first energy scale is the threshold above which an avalanche is triggered, the…
We present an extension of the continuous damage fiber bundle model to describe the gradual degradation of highly heterogeneous materials under an increasing external load. Breaking of a fiber in the model is preceded by a sequence of…
The present study supposes a single unit and investigates cumulative damage and catastrophic failure models for the unit, in situations where the interarrival times between the shocks, and the magnitudes of the shocks, involve two different…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
A dynamic model for failures in biological organisms is proposed and studied both analytically and numerically. Each cell in the organism becomes dead under sufficiently strong stress, and is then allowed to be healed with some probability.…
We consider a bivariate first hitting-time model in which durations are the crossing times of dependent compound Poisson processes with fixed thresholds. The identifiability of the model is discussed, and likelihood estimators of the model…
Banks routinely use neural networks to make decisions. While these models offer higher accuracy, they are susceptible to adversarial attacks, a risk often overlooked in the context of event sequences, particularly sequences of financial…
Survival analysis deals with modeling the time until an event occurs, and accurate probability estimates are crucial for decision-making, particularly in the competing-risks setting where multiple events are possible. While recent work has…