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In many biomedical research, recurrent events such as myocardial infraction, stroke, and heart failure often result in a terminal outcome such as death. Understanding the relationship among the multi-type recurrent events and terminal event…
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events inherently have a systemic component; we consider situations…
The increasing vulnerability of power systems has heightened the need for operating reserves to manage contingencies such as generator outages, line failures, and sudden load variations. Unlike energy costs, driven by consumer demand,…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
The paper addresses the design of an event-triggering mechanism for a partial differential wave equation posed in a bounded domain. The wave equation is supposed to be controlled through a first order time derivative term distributed in the…
Flood risk is correlated in space and time, challenging insurance systems that rely on diversification across assets. Financial instruments governing flood coverage are typically structured as 1 to 5-year contracts, exposing portfolios to…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
We study the dynamic pricing problem faced by a broker seeking to learn prices for a large number of credit market securities, such as corporate bonds, government bonds, loans, and other credit-related securities. A major challenge in…
Transition risk can be defined as the business-risk related to the enactment of green policies, aimed at driving the society towards a sustainable and low-carbon economy. In particular, the value of certain firms' assets can be lower…
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…
Catastrophes of all kinds can be roughly defined as short duration-large amplitude events following and followed by long periods of "ripening". Major earthquakes surely belong to the class of 'catastrophic' events. Because of the space-time…
Cascading blackouts typically occur when nearly simultaneous outages occur in k out of N components in a power system, triggering subsequent failures that propagate through the network and cause significant load shedding. While large…
This paper proposes an event-triggered add-on safety mechanism to adjust the control parameters for timely braking in a networked vehicular system while maintaining maneuverability. Passenger vehicle maneuverability is significantly…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
Insurance companies often operate across multiple interrelated lines of business (LOBs), and accounting for dependencies between them is essential for accurate reserve estimation and risk capital determination. In our previous work on the…
The escalating frequency and severity of disasters routinely overwhelm traditional response capabilities, exposing critical vulnerability in disaster management. Current practices are hindered by fragmented data streams, siloed…
Incorporating renewable energy sources (RESs) into manufacturing systems has been an active research area in order to address many challenges originating from the unpredictable nature of RESs such as photovoltaics.In the energy-aware…
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…
Event datasets in the financial domain are often constructed based on actual application scenarios, and their event types are weakly reusable due to scenario constraints; at the same time, the massive and diverse new financial big data…