Related papers: Modelling corporate defaults: A Markov-switching P…
We consider event-driven clinical trials, where the analysis is performed once a pre-determined number of clinical events has been reached. For example, these events could be progression in oncology or a stroke in cardiovascular trials. At…
In this paper we study the Poisson Hypothesis, which is a device to analyze approximately the behavior of large queueing networks. We prove it in some simple limiting cases. We show in particular that the corresponding dynamical system,…
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes independent connections between banks, whereas…
Motivated by a real failure dataset in a two-dimensional context, this paper presents an extension of the Markov modulated Poisson process (MMPP) to two dimensions. The one-dimensional MMPP has been proposed for the modeling of dependent…
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximations using jump processes that are time-homogeneous Markov,…
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is interpretable and is able to provide a…
We derive strong mixing conditions for many existing discrete-valued time series models that include exogenous covariates in the dynamic. Our main contribution is to study how a mixing condition on the covariate process transfers to a…
Exposure to air pollution is associated with increased morbidity and mortality. Recent technological advancements permit the collection of time-resolved personal exposure data. Such data are often incomplete with missing observations and…
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…
Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…
Rumor and information spreading are natural processes that emerge from human-to-human interaction. Mathematically, this was explored in the popular Maki-Thompson model, where a phase transition was thought to be absent. Here, we show that a…
We develop a new statistical model to analyse time-varying ranking data. The model can be used with a large number of ranked items, accommodates exogenous time-varying covariates and partial rankings, and is estimated via the maximum…
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the…
Competing risks model time to first event and type of first event. An example from hospital epidemiology is the incidence of hospital-acquired infection, which has to account for hospital discharge of non-infected patients as a competing…
This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…
Current understanding holds that financial contagion is driven mainly by the system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted…
A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of…
We propose a hidden Markov model for univariate proportion time series taking values in (0,1), where regime switching captures latent structural changes and the emission distribution belongs to the Beta family. In each latent state, the…
Probabilistic approaches for handling count-valued time sequences have attracted amounts of research attentions because their ability to infer explainable latent structures and to estimate uncertainties, and thus are especially suitable for…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…