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We use the illness-death model (IDM) for chronic conditions to derive a new analytical relation between the transition rates between the states of the IDM. The transition rates are the incidence rate (i) and the mortality rates of people…
Consider a system evolving according to an absorbing discrete-time Markov chain with known transition matrix. The state of the system is observed at two points in time, separated by an unknown number of generations. We are interested in…
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is incorporated into the entropic risk formulation by using a…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…
Simple models are preferred over complex models, but over-simplistic models could lead to erroneous interpretations. The classical approach is to start with a simple model, whose shortcomings are assessed in residual-based model…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
Consideration is given to the three different analytical methods for the computation of upper bounds for the rate of convergence to the limiting regime of one specific class of (in)homogeneous continuous-time Markov chains. This class is…
Switching ARMA models greatly enhance the standard linear models to the extent that different ARMA model is allowed in a different regime, and the regime switching is typically assumed a Markov chain on the finite states of potential…
We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option valuation methods. We examine how real option values depend…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
We discuss pretty good state transfer of multiple qubit states and provide a model for considering state transfer of arbitrary states on unmodulated XX-type spin chains. We then provide families of paths and initial states for which we can…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
Autonomous systems are often required to operate in partially observable environments. They must reliably execute a specified objective even with incomplete information about the state of the environment. We propose a methodology to…
We consider a finite-state Discrete-Time Markov Chain (DTMC) source that can be sampled for detecting the events when the DTMC transits to a new state. Our goal is to study the trade-off between sampling frequency and staleness in detecting…
Markov Chain Monte Carlo (MCMC) algorithms ubiquitously employ complex deterministic transformations to generate proposal points that are then filtered by the Metropolis-Hastings-Green (MHG) test. However, the condition of the target…
Intensity-based multistate models provide a useful framework for characterizing disease processes, the introduction of interventions, loss to follow-up, and other complications arising in the conduct of randomized trials studying complex…
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain…
This article contributes to the design and the verification of trusted components and services. The contracts are declined at several levels to cover then different facets, such as component consistency, compatibility or correctness. The…