Related papers: A Bivariate Compound Dynamic Contagion Process for…
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit…
The rate of adoption of new information depends on reinforcement from multiple sources in a way that often cannot be described by simple contagion processes. In such cases, contagion is said to be complex. Complex contagion happens in the…
In this study an exploration of insurance risk transfer is undertaken for the cyber insurance industry in the United States of America, based on the leading industry dataset of cyber events provided by Advisen. We seek to address two core…
In this paper, a novel cyber-insurance model design is proposed based on system risk evaluation with smart technology applications. The cyber insurance policy for power systems is tailored via cyber risk modeling, reliability impact…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
Social contagion has been studied in various contexts. Many instances of social contagion can be modeled as an infection process where a specific state (adoption of product, fad, knowledge, behavior, etc.) spreads from individual to…
Spreading dynamics and complex contagion processes on networks are important mechanisms underlying the emergence of critical transitions, tipping points and other nonlinear phenomena in complex human and natural systems. Increasing amounts…
This two-part paper discusses robustification methodologies for linear-iterative distributed algorithms for consensus and coordination problems in multicomponent systems, in which unreliable communication links may drop packets. We consider…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Uncertainties in renewable energy resources (RES) and load variations can lead to elevated system operational costs. Moreover, the emergence of large-scale distributed threats, such as load-altering attacks (LAAs), can induce substantial…
Multivariate data sources with components of different information value seem to appear frequently in practice. Models in which the components change their homogeneity at different times are of significant importance. The fact whether any…
Recent research on social contagion processes has revealed the limitations of traditional networks, which capture only pairwise relationships, to characterize complex multiparty relationships and group influences properly. Social contagion…
The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences,…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
We present some ideas on how to extend a kinetic type model for crowd dynamics to account for an infectious disease spreading. We focus on a medium size crowd occupying a confined environment where the disease is easily spread. The kinetic…
The Bayesian two-step change point detection method is popular for the Hawkes process due to its simplicity and intuitiveness. However, the non-conjugacy between the point process likelihood and the prior requires most existing Bayesian…
The cyber risk insurance market is at a nascent stage of its development, even as the magnitude of cyber losses is significant and the rate of cyber loss events is increasing. Existing cyber risk insurance products as well as academic…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
In this paper, we analyze the infection spreading dynamics of malware in a population of cyber nodes (i.e., computers or devices). Unlike most prior studies where nodes are reactive to infections, in our setting some nodes are active…
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…