Related papers: A Bivariate Compound Dynamic Contagion Process for…
Cyber risks are the most common risks encountered by a modern network system. However, it is significantly difficult to assess the joint cyber risk owing to the network topology, risk propagation, and heterogeneities of components. In this…
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a challenging prediction task as losses frequently take years…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
We introduce a model to study the delicate relation between the spreading of information and the formation of opinions in social systems. For this purpose, we propose a two-layer multiplex network model in which consensus dynamics takes…
While the presence of clustering in crime and security event data is well established, the mechanism(s) by which clustering arises is not fully understood. Both contagion models and history independent correlation models are applied, but…
We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…
Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
Cascading chains of events are a salient feature of many real-world social, biological, and financial networks. In social networks, social reciprocity accounts for retaliations in gang interactions, proxy wars in nation-state conflicts, or…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
Cyber insurance is a key component in risk management, intended to transfer risks and support business recovery in the event of a cyber incident. As cyber insurance is still a new concept in practice and research, there are many unanswered…
Many network contagion processes are inherently multiplex in nature, yet are often reduced to processes on uniplex networks in analytic practice. We therefore examine how data modeling choices can affect the predictions of contagion…
This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
Spreading processes are ubiquitous in natural and artificial systems. They can be studied via a plethora of models, depending on the specific details of the phenomena under study. Disease contagion and rumor spreading are among the most…
We study the rate of weak convergence of Markov chains to diffusion processes under suitable but quite general assumptions. We give an example in the financial framework, applying the convergence analysis to a multiple jumps tree…
Joint multivariate longitudinal and time-to-event data are gaining increasing attention in the biomedical sciences where subjects are followed over time to monitor the progress of a disease or medical condition. In the insurance context,…
We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth across several stocks whose growth rates and distress…
Diffusion of innovation can be interpreted as a social spreading phenomena governed by the impact of media and social interactions. Although these mechanisms have been identified by quantitative theories, their role and relative importance…