Related papers: On the central management of risk networks
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…
Redundancy mechanisms such as triple modular redundancy protect safety-critical components by replication and thus improve systems fault tolerance. However, the gained fault tolerance comes along with costs to be invested, e.g., increasing…
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…
Branch and bound algorithms have been developed for reliability analysis of coherent systems. They exhibit a set of advantages; in particular, they can find a computationally efficient representation of a system failure or survival event,…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
Continuous-time Bayesian networks (CTBNs) are graphical representations of multi-component continuous-time Markov processes as directed graphs. The edges in the network represent direct influences among components. The joint rate matrix of…
Random networks are a powerful tool in the analytical modeling of complex networks as they allow us to write approximate mathematical models for diverse properties and behaviors of networks. One notable shortcoming of these models is that…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Damage scenarios for large networks are considered. The cascade scenario is described by means of powers of adjacency matrix. More difficult probabilistic variants of the large network damage are modeling by Markov chains. For reliability…
Barrage relays networks (BRNs) are ad hoc networks built on a rapid cooperative flooding primitive as opposed to the traditional point-to-point link abstraction. Controlled barrage regions (CBRs) can be used to contain this flooding…
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world…
Once critical substations are compromised, attack agents can coordinate among their peers to plot for maximizing disruption using local control devices. For defenders, it is critical to enumerate and identify all digital relays to determine…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
The matrix contextual bandit (CB), as an extension of the well-known multi-armed bandit, is a powerful framework that has been widely applied in sequential decision-making scenarios involving low-rank structure. In many real-world…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout…