Related papers: Left-truncated discrete lifespans: The AFiD enterp…
In Part 1, we introduced a stochastic model of an infectious disease, based on the BDI (birth and death with immigration) process. We showed that random processes defined by this model can capture the essence of the stochastic, often…
Suppose an initial state is coupled to a continuum of energy states. The population of the initial state is expected to decrease with time, but is the decrease monotonic? The occupation probability of the initial state is the survival…
Diverse analysis approaches have been proposed to distinguish data missing due to death from nonresponse, and to summarize trajectories of longitudinal data truncated by death. We demonstrate how these analysis approaches arise from…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
Split conformal prediction provides finite-sample marginal coverage under exchangeability, but this guarantee averages over the random calibration sample. We study instead the law of the calibration-conditional coverage induced by a…
This study proposes a stochastic model for loss-given-default (LGD) which provides the LGD distribution based on credit market and company-specific financial conditions. The model utilizes last passage time of a linear diffusion…
Motivated by the growing proliferation of federated learning (FL) in edge environments, we present the first systematic characterization of transport-layer breaking points in FL systems operating under conditions of highly constrained…
Patients with breast cancer tend to die from other diseases, so for studies that focus on breast cancer, a competing risks model is more appropriate. Considering subdistribution hazard ratio, which is used often, limited to model…
Empirical-likelihood-based confidence intervals for a mean were introduced by Owen [Biometrika 75 (1988) 237-249], where at least a finite second moment is required. This excludes some important distributions, for example, those in the…
The mean residual life function is a key functional for a survival distribution. It has a practically useful interpretation as the expected remaining lifetime given survival up to a particular time point, and it also characterizes the…
This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The FMMDE makes it possible to retrieve a transformation of the original…
We have developed a model for a life insurance policy. In this model the net gain is calculated by computer simulation for a particular type of lifetime distribution function. We observed that the net gain becomes maximum for a particular…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
Recent microbial experiments suggest that enhanced genetic drift at the frontier of a two-dimensional range expansion can cause genetic sectoring patterns with fractal domain boundaries. Here, we propose and analyze a simple model of…
Forecasting is usually framed as a problem of model choice. This paper starts earlier, asking how much predictive information is available at each horizon. Under logarithmic loss, the answer is exact: the mutual information between the…
A survival model is derived from the exponential function using the concept of fractional differentiation. The hazard function of the proposed model generates various shapes of curves including increasing, increasing-constant-increasing,…
Rare long distance dispersal events are thought to have a disproportionate impact on the spread of invasive species. Modelling using integrodifference equations suggests that, when long distance contacts are represented by a fat-tailed…
We study mechanisms for reopening economic activities that explore the trade off between containing the spread of COVID-19 and maximizing economic impact. This is of current importance as many organizations, cities, and states are…
Retrospectively ascertained survival time may be subject to recall error. An example of discrete survival time with such recall error is time-to-pregnancy (TTP), the number of months non-contracepting couples require to get pregnant which…
Using methods of statistical physics, we present rigorous theoretical calculations of Eigen's quasispecies theory with the truncated fitness landscape which dramatically limits the available sequence space of a reproducing quasispecies.…