Related papers: Hybrid Risk Processes: A Versatile Framework for M…
Process capability indices such as $C_{pk}$ are widely used for manufacturing decisions, yet are typically applied via deterministic thresholding of finite-sample estimates, ignoring uncertainty and leading to unstable outcomes near the…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
The safety and resilience of civil infrastructure systems are increasingly threatened by compounded risks from various hazard events and structural deterioration due to environmental stressors. This study presents a comprehensive…
Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…
We extend the definition of a Stochastic Hybrid Automaton (SHA) to overcome limitations that make it difficult to use for on-line control. Since guard sets do not specify the exact event causing a transition, we introduce a clock structure…
In this work, we derive a complete characterization of all ruin-inducing probability measures that preserve the structure of a given compound renewal process in terms of suitable pairs of functions $(\gamma,\delta)$. This result allows us…
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local,…
Simulation-based problems involving mixed-variable inputs frequently feature domains that are hierarchical, conditional, heterogeneous, or tree-structured. These characteristics pose challenges for data representation, modeling, and…
A new approach to defining the effective fracture toughness for heterogeneous materials is proposed. This temporal averaging approach is process-dependent, incorporating the crack velocity and material toughness. The effectiveness of the…
In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also…
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…
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,…
Learning processes by exploiting restricted domain knowledge is an important task across a plethora of scientific areas, with more and more hybrid training methods additively combining data-driven and model-based approaches. Although the…
When optimizing real-time systems, designers often face a challenging problem where the schedulability constraints are non-convex, non-continuous, or lack an analytical form to understand their properties. Although the optimization…
Inspired by widely-used techniques of causal modelling in risk, failure, and accident analysis, this work discusses a compositional framework for risk modelling. Risk models capture fragments of the space of risky events likely to occur…
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…
A fundamental theoretical limitation undermines current disaster risk models: existing approaches suffer from two critical constraints. First, conventional damage prediction models remain predominantly deterministic, relying on fixed…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent discovery and success of rough volatility…
Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to running an expensive-to-evaluate…