Related papers: Generalized extreme shock models with a possibly i…
The paper is concerned with common shock models of claim triangles. These are usually constructed as a linear combinations of shock components and idiosyncratic components. Previous literature has discussed the unbalanced property of such…
External or internal shocks may lead to the collapse of a system consisting of many agents. If the shock hits only one agent initially and causes it to fail, this can induce a cascade of failures among neighoring agents. Several critical…
Understanding and measuring model risk is important to financial practitioners. However, there lacks a non-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory…
The task of modeling claim severities is addressed when data is not consistent with the classical regression assumptions. This framework is common in several lines of business within insurance and reinsurance, where catastrophic losses or…
This work performs a non-asymptotic analysis of the generalized Lasso under the assumption of sub-exponential data. Our main results continue recent research on the benchmark case of (sub-)Gaussian sample distributions and thereby explore…
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses over a vector of high thresholds follow a multivariate…
The survival probability measures the probability that a system taken out of equilibrium has not yet moved out from its initial state. Inspired by the generalized entropies used to analyze nonergodic states, we introduce a generalized…
The semiparametric accelerated failure time model is not as widely used as the Cox relative risk model mainly due to computational difficulties. Recent developments in least squares estimation and induced smoothing estimating equations…
Inspired by reliability issues in electric transmission networks, we use a probabilistic approach to study the occurrence of large failures in a stylized cascading failure model. In this model, lines have random capacities that initially…
Modelling multivariate extreme events is essential when extrapolating beyond the range of observed data. Parametric models that are suitable for real-world extremes must be flexible -- particularly in their ability to capture asymmetric…
Some bouncing models are investigated in the framework of an extended theory of gravity. The extended gravity model is a simple extension of the General Relativity where an additional matter geometry coupling is introduced to account for…
The collapse of man-made and natural structures is a complex phenomenon that has been studied for centuries. We propose a new approach to understanding catastrophic instabilities, based on the idea that they do not occur at the critical…
In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which evaluate hypothetical scenarios up to the worst-case event,…
This paper introduces a new generalization of the power generalized Weibull distribution called the generalized power generalized Weibull distribution. This distribution can also be considered as a generalization of Weibull distribution.…
We present models where $\gamma_+$ and $\gamma_-$, the exponents of the susceptibility in the high and low temperature phases, are generically different. In these models, continuous symmetries are explicitly broken down by discrete…
Highly optimized tolerance is a model of optimization in engineered systems, which gives rise to power-law distributions of failure events in such systems. The archetypal example is the highly optimized forest fire model. Here we give an…
Securing the power system from catastrophic natural disasters is a rising problem in power system operation and planning. This paper particularly considers earthquake and aims to evaluate and improve the resilience of power distribution…
The generalised linear model (GLM) is a very important tool for analysing real data in biology, sociology, agriculture, engineering and many other application domain where the relationship between the response and explanatory variables may…
With a changing climate, the frequency and intensity of extreme weather events are likely to increase, posing a threat to infrastructure systems' resilience. The response of infrastructure systems to localised failures depends on whether…
Spontaneous collapse models, which are phenomenological mechanisms introduced and designed to account for dynamical wavepacket reduction, are attracting a growing interest from the community interested in the characterisation of the…