Related papers: A Bivariate Compound Dynamic Contagion Process for…
Understanding the interplay between human behavioral phenomena and infectious disease dynamics has been one of the central challenges of mathematical epidemiology. However, socio-cognitive processes critical for the initiation of desired…
Complex contagion adoption dynamics are characterised by a node being more likely to adopt after multiple network neighbours have adopted. We show how to construct multi-type branching processes to approximate complex contagion adoption…
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are…
The objective of the cover location models is covering demand by facilities within a given distance. The gradual (or partial) cover replaces abrupt drop from full cover to no cover by defining gradual decline in cover. In this paper we use…
In this paper we consider large state space continuous time Markov chains (MCs) arising in the field of systems biology. For density dependent families of MCs that represent the interaction of large groups of identical objects, Kurtz has…
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…
The four-parameter generalized beta distribution of the second kind (GBII) has been proposed for modelling insurance losses with heavy-tailed features. The aim of this paper is to present a parametric composite GBII regression modelling by…
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…
We introduce a new type of point process model to describe the incidence of contagious diseases. The model is a variant of the Hawkes self-exciting process and exhibits similar clustering but without the restriction that the component…
The bulk nuclear matter produced in heavy ion collisions carries a multitude of conserved quantum numbers: electric charge, baryon number, and strangeness. Therefore, the diffusion processes associated to these conserved charges cannot…
The contagion dynamics can emerge in social networks when repeated activation is allowed. An interesting example of this phenomenon is retweet cascades where users allow to re-share content posted by other people with public accounts. To…
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation approach to modelling multivariate Poisson processes and…
Social contagion is a ubiquitous and fundamental process that drives individual and social changes. Although social contagion arises as a result of cognitive processes and biases, the integration of cognitive mechanisms with the theory of…
Markov chains play a key role in a vast number of areas, including life insurance mathematics. Standard actuarial quantities as the premium value can be interpreted as compressed, lossy information about the underlying Markov process. We…
Complex behaviour in many systems arises from the stochastic interactions of spatially distributed particles or agents. Stochastic reaction-diffusion processes are widely used to model such behaviour in disciplines ranging from biology to…
In piecewise-deterministic Markov processes (PDMPs) the state of a finite-dimensional system evolves continuously, but the evolutive equation may change randomly as a result of discrete switches. A running cost is integrated along the…
The propagation of information in social, biological and technological systems represents a crucial component in their dynamic behavior. When limited to pairwise interactions, a rather firm grip is available on the relevant parameters and…
Complex contagions describe systems where the probability or rate of contagious transmission is a nonlinear function of the exposure to contagious agents. These models were first studied theoretically but have since been used to capture…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…