Related papers: Transaction time models in multi-state life insura…

In biological and engineering systems, structure, function and dynamics are highly coupled. Such interactions can be naturally and compactly captured via tensor based state space dynamic representations. However, such representations are…

Managing the transactions in real time distributed computing system is not easy, as it has heterogeneously networked computers to solve a single problem. If a transaction runs across some different sites, it may commit at some sites and may…

We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can…

Present bias, the tendency to overvalue immediate rewards while undervaluing future ones, is a well-known barrier to achieving long-term goals. As artificial intelligence and behavioral economics increasingly focus on this phenomenon, the…

There is growing interest in producing estimates of demographic and global health indicators in populations with limited data. Statistical models are needed to combine data from multiple data sources into estimates and projections with…

In this paper we consider pricing of insurance contracts for breast cancer risk based on three multiple state models. Using population data in England and data from the medical literature, we calibrate a collection of semi-Markov and Markov…

Survival models are a popular tool for the analysis of time to event data with applications in medicine, engineering, economics, and many more. Advances like the Cox proportional hazard model have enabled researchers to better describe…

This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…

Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…

We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…

Systems of differential equations with state-dependent delay are considered. The delay dynamically depends on the state i.e. is governed by an additional differential equation. By applying the time transformations we arrive to constant…

Parametric insurance has emerged as a practical way to cover risks that may be difficult to assess. By introducing a parameter that triggers compensation and allows the insurer to determine a payment without estimating the actual loss,…

Multi-state models provide an extension of the usual survival/event-history analysis setting. In the medical domain, multi-state models give the possibility of further investigating intermediate events such as relapse and remission. In this…

Intensity-based multistate models provide a useful framework for characterizing disease processes, the introduction of interventions, loss to follow-up, and other complications arising in the conduct of randomized trials studying complex…

The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as…

Is transparency always beneficial in complex systems such as traffic networks and stock markets? How is transparency defined in multi-agent systems, and what is its optimal degree at which social welfare is highest? We take an agent-based…

State-space models effectively model multivariate time series by updating over time a representation of the system state from which predictions are made. The state representation is usually a vector without any explicit structure.…

Many applications in medical statistics as well as in other fields can be described by transitions between multiple states (e.g. from health to disease) experienced by individuals over time. In this context, multi-state models are a popular…

This paper focuses on modelling surrender time for policyholders in the context of life insurance. In this setup, a large lapse rate at the first months of a contract is often observed, with a decrease in this rate after some months. The…

A major limitation of the classical control theory is the assumption that the state space and its dimension do not change with time. This prevents analyzing and even formalizing the stability and control problems for open multi-agent…