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Groups of enterprises can serve as guarantees for one another and form complex networks when obtaining loans from commercial banks. During economic slowdowns, corporate default may spread like a virus and lead to large-scale defaults or…
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by…
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is however not perfect and the gap risk must…
Cyber risk classifications are widely used in the modeling of cyber event distributions, yet their effectiveness in out of sample forecasting performance remains underexplored. In this paper, we analyse the most commonly used…
Continuous-time Markov process models of contagions are widely studied, not least because of their utility in predicting the evolution of real-world contagions and in formulating control measures. It is often the case, however, that…
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
Contagion processes on networks, including disease spreading, information diffusion, or social behaviors propagation, can be modeled as simple contagion, i.e. involving one connection at a time, or as complex contagion, in which multiple…
We introduce the bivariate jump-diffusion process, comprising two-dimensional diffusion and two-dimensional jumps, that can be coupled to one another. We present a data-driven, non-parametric estimation procedure of higher-order (up to 8)…
As climate change poses new and more unpredictable challenges to society, insurance is an essential avenue to protect against loss caused by extreme events. Traditional insurance risk models employ statistical analyses that are inaccurate…
The Langevin dynamics is a diffusion process extensively used, in particular in molecular dynamics simulations, to sample Gibbs measures. Some alternatives based on (piecewise deterministic) kinetic velocity jump processes have gained…
Cyber risk has become a critical financial threat in today's interconnected digital economy. This paper introduces a cyber-risk management framework for networked digital systems that combines the strategic behavior of players with…
We present the mathematical analysis of generalized complex contagions in clustered multiplex networks for susceptible-infected-recovered (SIR)-like dynamics. The model is intended to understand diffusion of influence, or any other…
This paper presents an option pricing model that incorporates clustered jumps using a bivariate Hawkes process. The process captures both self- and cross-excitation of positive and negative jumps, enabling the model to generate return…
In this paper, we present a computational modeling approach for the dynamics of human crowds, where the spreading of an emotion (specifically fear) has an influence on the pedestrians' behavior. Our approach is based on the methods of the…
Survival analysis has become a standard approach for modelling time to default by time-varying covariates in credit risk. Unlike most existing methods that implicitly assume a stationary data-generating process, in practise, mortgage…
Joint modelling of longitudinal and time-to-event data is usually described by a joint model which uses shared or correlated latent effects to capture associations between the two processes. Under this framework, the joint distribution of…
In this paper, we study the distributionally robust joint chance constrained Markov decision process. {Utilizing the logarithmic transformation technique,} we derive its deterministic reformulation with bi-convex terms under the…
The collective behaviour of people adopting an innovation, product or online service is commonly interpreted as a spreading phenomenon throughout the fabric of society. This process is arguably driven by social influence, social learning…
Point processes in time have a wide range of applications that include the claims arrival process in insurance or the analysis of queues in operations research. Due to advances in technology, such samples of point processes are increasingly…
We study the competition of two spreading entities, for example innovations, in complex contagion processes in complex networks. We develop an analytical framework and examine the role of dual users, i.e. agents using both technologies.…