Related papers: Canonical insurance models: stochastic equations a…
Competing risks occur in survival analysis when multiple causes of death are present. They play a prominent role in several domains extending beyond biostatistics to encompass epidemiology, actuarial sciences, and reliability theory. This…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
Ordinary differential equations (ODEs) are foundational in modeling intricate dynamics across a gamut of scientific disciplines. Yet, a possibility to represent a single phenomenon through multiple ODE models, driven by different…
Boundary problem for linear partial differential algebraic equations system with multiple characteristic curves is considered. It is supposed that matrix-functions pencil of the system under consideration is smoothly equivalent to special…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
We derive the continuous canonical distribution only by requiring the extensivity of the mean energy and the multiplicative probabilistic composition rule. The derivation is independent of the thermodynamic limit and moreover it does not…
A predictive model makes outcome predictions based on some given features, i.e., it estimates the conditional probability of the outcome given a feature vector. In general, a predictive model cannot estimate the causal effect of a feature…
Clustered observations are ubiquitous in controlled and observational studies and arise naturally in multi-centre trials or longitudinal surveys. We present a novel model for the analysis of clustered observations where the marginal…
Prior probabilities of clinical hypotheses are not systematically used for clinical trial design yet, due to a concern that poor priors may lead to poor decisions. To address this concern, a conservative approach to Bayesian trial design is…
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…
In this paper, a delay differential equations (DDEs) model of leukemia is introduced and its dynamical properties are investigated in comparison with the modified fractional-order system where the Caputo's derivative is used. The model…
This work extends causal inference with stochastic confounders. We propose a new approach to variational estimation for causal inference based on a representer theorem with a random input space. We estimate causal effects involving latent…
Inspired by applications in sports where the skill of players or teams competing against each other varies over time, we propose a probabilistic model of pairwise-comparison outcomes that can capture a wide range of time dynamics. We…
We derive a consistent differential representation for the dynamics of a self-financing portfolio for different hedging strategies. In the basis of the derivation there is the so called "retarded action principle", which represents the…
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…
Cartesian differential categories are categories equipped with a differential combinator which axiomatizes the directional derivative. Important models of Cartesian differential categories include classical differential calculus of smooth…
A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the…