Related papers: Competing risks within shock models
A dynamical model of the natural conflict triad is investigated. The conflict interacting substances of the triad are: some biological population, a living resource, and a negative factor (e.g., infection diseases). We suppose that each…
We consider variable selection in competing risks regression for multi-center data. Our research is motivated by deceased donor kidney transplants, from which recipients would experience graft failure, death with functioning graft (DWFG),…
Localized shocks arising from climate extremes, geopolitical conflicts, and trade protectionism cascade through trade networks, triggering global food crises. Cross-product substitution, a critical response strategy, induces cross-product…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
The ecological invasion problem in which a weaker exotic species invades an ecosystem inhabited by two strongly competing native species is modelled by a three-species competition-diffusion system. It is known that for a certain range of…
Competing risks models for a repairable system subject to several failure modes are discussed. Under minimal repair, it is assumed that each failure mode has a power law intensity. An orthogonal reparametrization is used to obtain an…
In a network, a local disturbance can propagate and eventually cause a substantial part of the system to fail, in cascade events that are easy to conceptualize but extraordinarily difficult to predict. Here, we develop a statistical…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
In science as elsewhere, attention is a limited resource and scientists compete with one another to produce the most exciting, novel and impactful results. We develop a game-theoretic model to explore how such competition influences the…
Electrical power systems are one of the most important infrastructures that support our society. However, their vulnerabilities have raised great concern recently due to several large-scale blackouts around the world. In this paper, we…
Time-to-event modelling, known as survival analysis, differs from standard regression as it addresses censoring in patients who do not experience the event of interest. Despite competitive performances in tackling this problem, machine…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
Constructed facilities should be robust with respect to the loss of load-bearing elements due to abnormal events. Yet, strengthening structures to withstand such damage has a significant impact on construction costs. Strengthening costs…
The networked combat system-of-system (CSOS) is the trend of combat development with the innovation of technology. The achievement of combat effectiveness requires CSOS to have a good ability to deal with external interference. Here we…
We study an impact of a random environment on lifetimes of coherent systems with dependent components. There are two combined sources of this dependence. One results from the dependence of the components of the coherent system operating in…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
In this paper, a repairable multi-component system is studied where all the components can be repaired individually within the system. The whole system is inspected at inspection intervals and the failed components are detected and replaced…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using…
Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aims to find an alternative but plausible model such that under…
The concept of resilience embodies the quest towards the ability to sustain shocks, to suffer from these shocks as little as possible, for the shortest time possible, and to recover with the full functionalities that existed before the…