Related papers: A systemic shock model for too big to fail financi…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
In this paper, a new reliability model has been developed for a single system degrading stochastically which experiences soft and hard failure. Soft failure occurs when the physical deterioration level of the system is greater than a…
This article is a presentation of specific recent results describing scaling limits of individual-based models. Thanks to them, we wish to relate the time-scales typical of demographic dynamics and natural selection to the parameters of the…
We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patterns of exclusion restrictions to identify structural shocks…
A statistical model for describing the scaling of the distribution of inter-event times is described. By considering the diverse region seismicity (natural and induced) at different scale levels the self-similarity of the distribution has…
We introduce a general class of continuous univariate distributions with positive support obtained by transforming the class of two-piece distributions. We show that this class of distributions is very flexible, easy to implement, and…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
We propose a stochastic model for evolution. Births and deaths of species occur with constant probabilities. Each new species is associated with a fitness sampled from the uniform distribution on [0,1]. Every time there is a death event…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
Many researchers have investigated first hitting times as models for survival data. First hitting times arise naturally in many types of stochastic processes, ranging from Wiener processes to Markov chains. In a survival context, the state…
The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I…
We study time continuous branching processes with exponentially distributed lifetimes, with two types of cells that proliferate according to binary fission. A range of possible system dynamics are considered, each of which is characterized…
In biological materials, strong binding despite an applied load force is often based on clusters of dynamic bonds that share the load. Different macroscopic behaviors have been described depending on whether the load is shared locally or…
The aim of this paper, is to define a bivariate exponentiated generalized linear exponential distribution based on Marshall-Olkin shock model. Statistical and reliability properties of this distribution are discussed. This includes…
A wide variety of complex systems exhibit large fluctuations both in space and time that often can be attributed to the presence of some kind of critical phenomena. Under such critical scenario it is well known that the properties of the…
In this study, we consider sequences drawn from time-homogeneous Markov chains and introduce a novel approach for estimating first hitting-time distributions to specified terminal states. Our method- ology is based on the…
Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…
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…