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Two of the most significant challenges in uncertainty quantification pertain to the high computational cost for simulating complex physical models and the high dimension of the random inputs. In applications of practical interest, both of…
The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and…
Estimating the probability of extreme events involving multiple risk factors is a critical challenge in fields such as finance and climate science. This paper proposes a semi-parametric approach to estimate the probability that a…
Performativity, the phenomenon where outcomes are influenced by predictions, is particularly prevalent in social contexts where individuals strategically respond to a deployed model. In order to preserve the high accuracy of machine…
The Latent Block Model (LBM) is a model-based method to cluster simultaneously the $d$ columns and $n$ rows of a data matrix. Parameter estimation in LBM is a difficult and multifaceted problem. Although various estimation strategies have…
Diffusion models have risen to prominence in time series forecasting, showcasing their robust capability to model complex data distributions. However, their effectiveness in deterministic predictions is often constrained by instability…
Accidental damage is a typical component of motor insurance claim. Modeling of this nature generally involves analysis of past claim history and different characteristics of the insured objects and the policyholders. Generalized linear…
Dynamic prediction of time-to-event outcomes using longitudinal data is highly useful in clinical research and practice. A common strategy is the joint modeling of longitudinal and time-to-event data. The shared random effect model has been…
Model-based safety analysis approaches aim at finding critical failure combinations by analysis of models of the whole system (i.e. software, hardware, failure modes and environment). The advantage of these methods compared to traditional…
The failure of a system can result from the simultaneous effects of multiple causes, where assigning a specific cause may be inappropriate or unavailable. Examples include contributing causes of death in epidemiology and the aetiology of…
The Drift-Diffusion Model (DDM) is widely used in neuropsychological studies to understand the decision process by incorporating both reaction times and subjects' responses. Various models have been developed to estimate DDM parameters,…
This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it has been usually the case in the previous literature of BSDE…
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit-state function, which depends on the solution of a partial…
When assessing risks on a finite-time horizon, the problem can often be reduced to the study of a random sequence $C(N)=(C_1,\ldots,C_N)$ of random length $N$, where $C(N)$ comes from the product of a matrix $A(N)$ of random size $N \times…
This paper describes a method for a model-based analysis of clinical safety data called multivariate Bayesian logistic regression (MBLR). Parallel logistic regression models are fit to a set of medically related issues, or response…
In the competing risks problem, an important role is played by the cumulative incidence function (CIF), whose value at time $t$ is the probability of failure by time $t$ from a particular type of failure in the presence of other risks. In…
A ubiquitous challenge in design space exploration or uncertainty quantification of complex engineering problems is the minimization of computational cost. A useful tool to ease the burden of solving such systems is model reduction. This…
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively, high-frequency features in the data. We derive the…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…
The semiparametric accelerated failure time model is not as widely used as the Cox relative risk model mainly due to computational difficulties. Recent developments in least squares estimation and induced smoothing estimating equations…