Related papers: Dynamic Term Structure Modelling with Default and …
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
Marginal models involve restrictions on the conditional and marginal association structure of a set of categorical variables. They generalize log-linear models for contingency tables, which are the fundamental tools for modelling the…
Maintaining the predictive performance of pricing models is challenging when insurance portfolios and data-generating mechanisms evolve over time. Focusing on non-life insurance, we adopt the concept-drift terminology from machine learning…
We investigate the existence of affine realizations for L\'{e}vy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For…
A general nonlinear logistic equation has been proposed to model long-time saturation in industrial growth. An integral solution of this equation has been derived for any arbitrary degree of nonlinearity. A time scale for the onset of…
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…
Acquisition of data is a difficult task in many applications of machine learning, and it is only natural that one hopes and expects the population risk to decrease (better performance) monotonically with increasing data points. It turns…
First, we systemize ealier results the uniform persistence for discrete model $A_{n+1}=A_nF(A_{n-m})$ of population growth, where $F:(0,\infty)\to(0,\infty)$ is continuous and strictly decreasing. Second, we investigation the effect of…
Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some…
The information dynamics in finance and insurance applications is usually modeled by a filtration. This paper looks at situations where information restrictions apply such that the information dynamics may become non-monotone. A fundamental…
Disordered systems theory provides powerful tools to analyze the generic behaviors of highdimensional systems, such as species-rich ecological communities or neural networks. By assuming randomness in their interactions, universality…
An important issue in survival analysis is the investigation and the modeling of hazard rates. Within a Bayesian nonparametric framework, a natural and popular approach is to model hazard rates as kernel mixtures with respect to a…
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with…
Classical sufficient conditions for ensuring the robust stability of a dynamical system in feedback with a nonlinearity include passivity, small gain, circle, and conicity theorems. We present a generalized version of these results for…
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
Long, elastic filaments cross-linked and deformed by active molecular motors occur in various natural settings. The overall macroscopic mechanical response of such a composite network depends on the coupling between the active and the…