Related papers: On Infectious Model for Dependent Defaults
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
We present a model for obligated mutualistic associations, in which two transmissible diseases are allowed to infect just one population. As the general model proves too hard to be fully analytically investigated, some special cases are…
There is currently a focus on statistical methods which can use historical trial information to help accelerate the discovery, development and delivery of medicine. Bayesian methods can be constructed so that the borrowing is "dynamic" in…
The growing number of infectious disease outbreaks, like the one caused by the SARS-CoV-2 virus, underscores the necessity of actuarial models that can adapt to epidemic-driven risks. Traditional life insurance frameworks often rely on…
A general formalism is introduced to allow the steady state of non-Markovian processes on networks to be reduced to equivalent Markovian processes on the same substrates. The example of an epidemic spreading process is considered in detail,…
Tracking the spread of infectious disease during a pandemic has posed a great challenge to the governments and health sectors on a global scale. To facilitate informed public health decision-making, the concerned parties usually rely on…
We propose a Bayesian propensity score-augmented latent factor model for causal inference with time-series cross-sectional data. The framework explicitly models the treatment assignment mechanism by incorporating latent factor loadings,…
The relationship between statistical dependency and causality lies at the heart of all statistical approaches to causal inference. Recent results in the ChaLearn cause-effect pair challenge have shown that causal directionality can be…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…
Deterministic compartmental models are predominantly used in the modeling of infectious diseases, though stochastic models are considered more realistic, yet are complicated to estimate due to missing data. In this paper we present a novel…
In this paper, we develop a node-based approximate model for Markovian contagion dynamics on networks. We prove that our approximate model is exact for SIR (susceptible-infectious-recovered) and SEIR…
In this work, we present two defective regression models for the analysis of interval-censored competing risk data in the presence of cured individuals, viz., defective Gompertz and defective inverse Gaussian regression models. The proposed…
Infectious disease dynamics operate across multiple biological scales, with within-host viral dynamics being a key driver of between-host transmission. However, while models that explicitly link these scales exist, none have been developed…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
Banks and financial institutions all over the world manage portfolios containing tens of thousands of customers. Not all customers are high credit-worthy, and many possess varying degrees of risk to the Bank or financial institutions that…
This work is attached to the BRICS 2013 competition. We propose a two-stage model for dealing with the temporal degradation of credit scoring models. This methodology produced motivating results in a 1-year horizon. We anticipate that it…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an unobserved Markov chain. We develop a quasi-maximum…
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…
There is a growing interest in modeling and analyzing the spread of diseases like the SARS-CoV-2 infection using stochastic models. These models are typically analyzed quantitatively and are not often subject to validation using formal…