Related papers: A risk model with an observer in a Markov environm…
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…
This text surveys different probabilistic aspects of a model which is used to describe the evolution of an object that falls apart randomly as time passes. Each point of view yields useful techniques to establish properties of such random…
We study the rough asymptotic behaviour of a general economic risk model in a discrete setting. Both financial and insurance risks are taken into account. Loss during the first $n$ years is modelled as a random variable…
We introduce a general framework for measuring risk in the context of Markov control processes with risk maps on general Borel spaces that generalize known concepts of risk measures in mathematical finance, operations research and…
We study the emergence of objective properties in open quantum systems. In our analysis, the environment is promoted from a passive role of reservoir selectively destroying quantum coherence, to an active role of amplifier selectively…
In a bivariate setting, we consider the problem of detecting a sparse contamination or mixture component, where the effect manifests itself as a positive dependence between the variables, which are otherwise independent in the main…
A branching process in a Markovian environment consists of an irreducible Markov chain on a set of "environments" together with an offspring distribution for each environment. At each time step the chain transitions to a new random…
We illustrate a class of conditional models for the analysis of longitudinal data suffering attrition in random effects models framework, where the subject-specific random effects are assumed to be discrete and to follow a time-dependent…
This paper presents some new results on Parisian ruin under Levy insurance risk process, where ruin occurs when the process has gone below a fixed level from the last record maximum, also known as the high-water mark or drawdown, for a…
Searching for evidence of neutrino oscillations is an important problem in particle physics. Suppose that evidence for neutrino oscillations from an LSND experiment reports a significant positive oscillation probability, but that the LSND…
Birth and death Markov processes can model stochastic physical systems from percolation to disease spread and, in particular, wildfires. We introduce and analyze a birth-death-suppression Markov process as a model of controlled culling of…
We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation for the distribution of the occupation time, over a…
We introduce a novel framework to account for sensitivity to rewards uncertainty in sequential decision-making problems. While risk-sensitive formulations for Markov decision processes studied so far focus on the distribution of the…
Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in [6]. We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value…
In survival analysis, cure models have gained much importance due to rapid advancements in medical sciences. More recently, a subset of cure models, called destructive cure models, have been studied extensively under competing risks…
We consider continuous state branching processes that are perturbed by a Brownian motion. These processes are constructed as the unique strong solution of a stochastic differential equation. The long-term extinction and explosion behaviours…
We consider a continuous time Markov process on $\mathbb{N}_0$ which can be interpreted as generalized alternating birth-death process in a non-autonomous random environment. Depending on the status of the environment the process either…
The dynamics of a single microscopic or mesoscopic non quantum system interacting with a macroscopic environment is generally stochastic. In the same way, the reduced density operator of a single quantum system interacting with a…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
We study stochastic extinction for a class of Markov processes motivated by models in ecology and epidemiology. Extinction is often characterized by a boundedness condition and a condition on boundary Lyapunov exponents (invasion rates).…