Related papers: Exchangeable exogenous shock models
The decomposable branching processes are relatively less studied objects, particularly in the continuous time framework. In this paper, we consider various variants of decomposable continuous time branching processes. As usual practice in…
We consider a model of socially interacting individuals that make a binary choice in a context of positive additive endogenous externalities. It encompasses as particular cases several models from the sociology and economics literature. We…
We study a generalized family of stochastic orders, semiparametrized by a distortion function H, namely H-distorted stochastic dominance, which may determine a continuum of dominance relations from the first- to the second-order stochastic…
The experimentally measured multiplicity distributions exhibit, after closer inspection, peculiarly enhanced void probability and oscillatory behavior of the modified combinants. We show that both these features can be used as additional…
We define and study the statistical models in exponential family form whose sufficient statistics are the degree distributions and the bi-degree distributions of undirected labelled simple graphs. Graphs that are constrained by the joint…
When passing from the univariate to the multivariate setting, modelling extremes becomes much more intricate. In this introductory exposition, classical multivariate extreme value theory is presented from the point of view of multivariate…
We consider deep multivariate models for heterogeneous collections of random variables. In the context of computer vision, such collections may e.g. consist of images, segmentations, image attributes, and latent variables. When developing…
We study the connections existing between max-infinitely divisible distributions and Poisson processes from the point of view of functional analysis. More precisely, we derive functional identities for the former by using well-known results…
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk+ approach, and as such they formally describe default…
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical…
This paper presents a study of power series distributions (PSD) with prescribed covariance characteristics. Such distributions constitute a fundamental class in probability theory and mathematical statistics, as they generalize a wide range…
Aulbach et al. (2012) introduced the concept of D-norms in the framework of functional extreme value theory (EVT) extending the multivariate case in a natural manner. In particular, the distribution of a standard max-stable process (MSP)…
In certain problems in a variety of applied probability settings (from probabilistic analysis of algorithms to statistical physics), the central requirement is to solve a recursive distributional equation of the form X =^d…
A new two-parameter discrete distribution, namely the PoiG distribution is derived by the convolution of a Poisson variate and an independently distributed geometric random variable. This distribution generalizes both the Poisson and…
Multiplicity distributions exhibit, after closer inspection, peculiarly enhanced void probability and oscillatory behavior of the modified combinants. We discuss the possible sources of these oscillations and their impact on our…
In this paper we study the Exponentiated Hypoexponential Distribution with different parameters. The distribution added a parameter to the n parameters of the Hypoexponenial distribution. We first derive a closed expression of the…
We consider different models of stochastic dissipative equations and theoretically compute the probability distribution functions (actually the associated large deviation functions) of the time averaged injected power required to sustain a…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
Even though strongly correlated systems are abundant, only a few exceptional cases admit analytical solutions. In this paper we present a large class of solvable systems with strong correlations.. We consider a set of $N$ independent and…
The directed preferential attachment model is revisited. A new exact characterization of the limiting in- and out-degree distribution is given by two \emph{independent} pure birth processes that are observed at a common exponentially…