Related papers: Ruin Probabilities for Risk Processes in Stochasti…

The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…

Empirical estimation of critical points at which complex systems abruptly flip from one state to another is among the remaining challenges in network science. However, due to the stochastic nature of critical transitions it is widely…

Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model…

Random Threshold Networks with sparse, asymmetric connections show complex dynamical behavior similar to Random Boolean Networks, with a transition from ordered to chaotic dynamics at a critical average connectivity $K_c$. In this type of…

We develop a framework for studying and quantifying the risk of cascading failures in time-delay consensus networks, motivated by a team of agents attempting temporal rendezvous under stochastic disturbances and communication delays. To…

We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…

In the context of epidemic spreading, many intricate dynamical patterns can emerge due to the cooperation of different types of pathogens or the interaction between the disease spread and other failure propagation mechanism. To unravel such…

In this Letter, we consider a model of dynamical agents coupled through a random connectivity matrix, as introduced in [Sompolinsky et. al, 1988] in the context of random neural networks. It is known that increasing the disorder parameter…

Cascading failures, triggered by a local perturbation, can be catastrophic and cause irreparable damages in a wide area. Hence, blocking the devastating cascades is an important issue in real world networks. One of the ways to control the…

One of the fundamental data transmission mechanisms in Ethernet LAN is broadcasting. Flooding is a direct broadcasting technique used in these networks. A significant drawback of this method is that it can lead to broadcast storms. This…

This work focuses on the problem of distributed optimization in multi-agent cyberphysical systems, where a legitimate agent's iterates are influenced both by the values it receives from potentially malicious neighboring agents, and by its…

We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this…

Many real world complex systems such as infrastructure, communication and transportation networks are embedded in space, where entities of one system may depend on entities of other systems. These systems are subject to geographically…

Many real-world multilayer systems such as critical infrastructure are interdependent and embedded in space with links of a characteristic length. They are also vulnerable to localized attacks or failures, such as terrorist attacks or…

In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance…

This paper addresses the problem of distributed detection in multi-agent networks. Agents receive private signals about an unknown state of the world. The underlying state is globally identifiable, yet informative signals may be dispersed…

In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin…

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…

We consider a network of agents whose objective is for the aggregate of their states to converge to a solution of a linear program in standard form. Each agent has limited information about the problem data and can communicate with other…

External or internal shocks may lead to the collapse of a system consisting of many agents. If the shock hits only one agent initially and causes it to fail, this can induce a cascade of failures among neighoring agents. Several critical…