Related papers: A systemic shock model for too big to fail financi…
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some institutions can be amplified dramatically through the…
We consider systems whose lifetime is measured by the time of physical degradation of components, as well as the degree of power each component contributes to the system. The lifetimes of the components of the system are random variables.…
This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…
We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
In this paper we study the iterated birth process of which we examine the first-passage time distributions and the hitting probabilities. Furthermore, linear birth processes, linear and sublinear death processes at Poisson times are…
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
In this paper we derive a statistical law of Life. It governs the probability of death, or complementary of survival, of the living organisms. We have deduced such a law coupling the widely used Weibull statistics, developed for describing…
A new class of probabilistic models for cascading failure propagation in interconnected systems is proposed. The models take into account important characteristics of real systems that are not considered in existing generic approaches.…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior based on the Ausloos-Clippe-Pekalski model is built and investigated. The influence of a discrete time information transfer is investigated.…
This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a…
In this paper, we focus on the hitting times of a stochastic epidemic model presented by \cite{Gray}. Under the help of the auxiliary stopping times, we investigate the asymptotic limits of the hitting times by the variations of calculus…
In this paper, we compare the lifetimes of two series and two parallel systems stochastically where the lifetime of each component follows location-scale (LS) family of distributions. The comparison is carried out under two scenarios: one,…
We show that hyperscaling and finite-size scaling imply that the probability distribution of the order parameter in finite size critical systems exhibit data collapse. We consider the examples of equilibrium critical systems, and a…
Considered a pair of random lifetimes whose dependence is described by a Time Transformed Exponential model, we provide analytical expressions for the distribution of their sum. These expressions are obtained by using a representation of…
A family of non-equilibrium statistical operators is introduced which differ by the system age distribution over which the quasi-equilibrium (relevant) distribution is averaged. To describe the nonequilibrium states of a system we introduce…
Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicity when estimating the constituent parts of a credit loss…
Recently, Chowdhury and Kundu [6] compared two parallel systems of heterogeneous independent log-Lindley distributed components using the concept of vector majorization and related orders. Under the same set-up, this paper derives some…
Aggregate shocks affect most households' and firms' decisions. Using three stylized models we show that inference based on cross-sectional data alone generally fails to correctly account for decision making of rational agents facing…
In this paper, we study a finite population undergoing discrete, nonoverlapping generations, that is structured into $D$ demes, each containing $N$ individuals of two possible types, $A$ and $B$, whose viability coefficients, $s_A$ and…