Related papers: Mixed fractional Risk Process
This paper proposes a flexible Bayesian approach to multiple imputation using conditional Gaussian mixtures. We introduce novel shrinkage priors for covariate-dependent mixing proportions in the mixture models to automatically select the…
The aim of this article is to analyze data from multiple repairable systems under the presence of dependent competing risks. In order to model this dependence structure, we adopted the well-known shared frailty model. This model provides a…
This paper considers the Cram\'er-Lundberg model, with the additional feature that the number of clients can fluctuate over time. Clients arrive according to a Poisson process, where the times they spend in the system form a sequence of…
Fully-partitioned fixed-priority scheduling (FP-FPS) multiprocessor systems are widely found in real-time applications, where spin-based protocols are often deployed to manage the mutually exclusive access of shared resources.…
The mixed formulation of the classical Poisson problem introduces the flux as an additional variable, leading to a system of coupled equations. Using fractional calculus identities, in this work we explore a mixed formulation of the…
Fractional generalizations of the Poisson process and branching Furry process are considered. The link between characteristics of the processes, fractional differential equations and Levy stable densities are discussed and used for…
Modelling wildfire events has been studied in the literature using the Poisson process, which essentially assumes the independence of wildfire events. In this paper, we use the fractional Poisson process to model the wildfire occurrences in…
This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…
We survey the 'generalized fractional Poisson process' (GFPP). The GFPP is a renewal process generalizing Laskin's fractional Poisson counting process and was first introduced by Cahoy and Polito. The GFPP contains two index parameters with…
We introduce in this paper a new class of distributions which generalizes the linear failure rate (LFR) distribution and is obtained by compounding the LFR distribution and power series (PS) class of distributions. This new class of…
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes. The method can be understood as providing correction…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account \emph{risk}, i.e., increased awareness of events of small probability and high consequences. Accordingly, the…
The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…
We consider vector fixed point (FP) equations in large dimensional spaces involving random variables, and study their realization-wise solutions. We have an underlying directed random graph, that defines the connections between various…
In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance…
Most existing temporal point process models are characterized by conditional intensity function. These models often require numerical approximation methods for likelihood evaluation, which potentially hurts their performance. By directly…
Multivariate functional data are becoming ubiquitous with advances in modern technology and are substantially more complex than univariate functional data. We propose and study a novel model for multivariate functional data where the…