Related papers: Competing risks within shock models
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the…
This paper deals with the modeling of social competition, possibly resulting in the onset of extreme conflicts. More precisely, we discuss models describing the interplay between individual competition for wealth distribution that, when…
A phase diagram for a one-dimensional fiber bundle model is constructed with a continuous variation in two parameters guiding the dynamics of the model: strength of disorder and range of stress relaxation. When the range of stress…
Extreme shock models have been introduced in Gut and H\"usler (1999) to study systems that at random times are subject to shock of random magnitude. These systems break down when some shock overcomes a given resistance level. In this paper…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
Emergent design failures are ubiquitous in complex systems, and often arise when system elements cluster. Approaches to systematically reduce clustering could improve a design's resilience, but reducing clustering is difficult if it is…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected…
It is known that the competitive exclusion principle holds for a large kind of models involving several species competing for a single resource in an homogeneous environment. Various works indicate that the coexistence is possible in an…
Competition and cooperation are inherent features of any multi-echelon supply chain. The interactions among the agents across the same echelon and that across various echelons influence the percolation of market demand across echelons. The…
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…
The hypothesis that living systems can benefit from operating at the vicinity of critical points has gained momentum in recent years. Criticality may confer an optimal balance between exceedingly ordered and too noisy states. We here…
We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cram\'er-Lundberg model, namely the constant jump intensity of the Poisson process. Due to this…
This paper centers on the comparison of three different models that describe cascading failures of power systems. Specifically, these models are different in characterizing the physical properties of power networks and computing the branch…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Chaos is widely understood as being a consequence of sensitive dependence upon initial conditions. This is the result of an instability in phase space, which separates trajectories exponentially. Here, we demonstrate that this criterion…
We analyze the fate of dynamical systems that consist of two kind of processes. The first type is supposed to perform a certain function by processing information at a required high accuracy, which is, however, limited to less than 100…
We develop methods to analyze clustered competing risks data when the event types are only available in a training dataset and are missing in the main study. We propose to estimate the exposure effects through the cause-specific…
In many cases of attacks or failures, memory effects play a significant role. Therefore, we present a model that not only considers the dependencies between nodes but also incorporates the memory effects of attacks. Our research…
We consider a discrete time competition model. Populations compete for common limited resources but they have different fertilities and mortalities rates. We compare dynamical properties of this model with its continuous counterpart. We…
In this paper, we compare three different model-based risk measures by evaluating their stengths and weaknesses qualitatively and testing them quantitatively on a set of real longitudinal and intersection scenarios. We start with the…