Related papers: Dynamics of multivariate default system in random …
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of…
The environment in which a population evolves can have a crucial impact on selection. We study evolutionary dynamics in finite populations of fixed size in a changing environment. The population dynamics are driven by birth and death…
Environmental changes greatly influence the evolution of populations. Here, we study the dynamics of a population of two strains, one growing slightly faster than the other, competing for resources in a time-varying binary environment…
Most population models assume that individuals within a given population are identical, that is, the fundamental role of variation is ignored. Here we develop a general approach to modeling heterogeneous populations with discrete…
The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, to introduce buffered environmental contours. Classical environmental contours are used in structural design in order to…
Notwithstanding the usefulness of system dynamics in analyzing complex policy problems, policy design is far from straightforward and in many instances trial-and-error driven. To address this challenge, we propose to combine system dynamics…
In spite of the large amount of existing neural models in the literature, there is a lack of a systematic review of the possible effect of choosing different initial conditions on the dynamic evolution of neural systems. In this short…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Uncertainty, characterised by randomness and stochasticity, is ubiquitous in applications of evolutionary game theory across various fields, including biology, economics and social sciences. The uncertainty may arise from various sources…
We are living in an uncertain and dynamically changing world, where optimal decision-making under uncertainty is directly linked to the survival of species. However, evolutionary selection pressures that shape value-based decision-making…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
The emergent dynamics of complex systems often arise from the internal dynamical interactions among different elements and hence is to be modeled using multiple variables that represent the different dynamical processes. When such systems…
In a news recommender system, a reader's preferences change over time. Some preferences drift quite abruptly (short-term preferences), while others change over a longer period of time (long-term preferences). Although the existing news…
The multivariate normal linear model is one of the most widely employed models for statistical inference in applied research. Special cases include (multivariate) t testing, (M)AN(C)OVA, (multivariate) multiple regression, and repeated…
We examine the switching dynamics of a stochastic population subjected to a deterministically time-varying environment. Our approach is demonstrated in the realm of ecology on a problem of population establishment. Here, by assuming a…
We develop a rigorous theory of external influences on finite discrete dynamical systems, going beyond the perturbation paradigm, in that the external influence need not be a small contribution. Indeed, the covariance condition can be…
Time-varying covariates are often available in survival studies and estimation of the hazard function needs to be updated as new information becomes available. In this paper, we investigate several different easy-to-implement ways that…
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after the occurrence of credit events. Using…
We consider a model for a population in a heterogeneous environment, with logistic type local population dynamics, under the assumption that individuals can switch between two different nonzero rates of diffusion. Such switching behavior…