Related papers: Infectious Default Model with Recovery and Continu…
We extend our BDI (birth-death-immigration) process based stochastic model of an infectious disease to time-nonhomogeneous cases. First, we discuss the deterministic model, and derive the expected value of the infection process. Then as an…
The extended de Finetti theorem characterizes exchangeable infinite random sequences as conditionally i.i.d. and shows that the apparently weaker distributional symmetry of spreadability is equivalent to exchangeability. Our main result is…
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using…
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the…
We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given…
We derive an analytical expression for the critical infection rate r_c of the susceptible-infectious-susceptible (SIS) disease spreading model on random networks. To obtain r_c, we first calculate the probability of reinfection, pi, defined…
We consider in this paper a general SEIRS model describing the dynamics of an infectious disease including latency, waning immunity and infection-induced mortality. We derive an infinite system of differential equations that provides an…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…
In this paper we are concerned with the Susceptible-Infective-Removed model with random transition rates on complete graphs $C_n$ with $n$ vertices. We assign i. i. d. copies of a positive random variable $\xi$ on each vertex as the…
This research investigates the coupled dynamics of behavior and infectious disease using a mathematical model. We integrate a two-state q-voter opinion process with SIS-type infection dynamics, where transmission rates are influenced by the…
Much traditional statistical modelling assumes that the outcome variables of interest are independent of each other when conditioned on the explanatory variables. This assumption is strongly violated in the case of infectious diseases,…
The annual occurrence of many infectious diseases remains a constant burden to public health systems. The seasonal patterns in respiratory disease incidence observed in temperate regions have been attributed to the impact of environmental…
We have derived the governing equations for an SIR model with delay terms in both the infectivity and recovery of the disease. The equations are derived by modelling the dynamics as a continuous time random walk, where individuals move…
We prove that, for Poisson transmission and recovery processes, the classic Susceptible $\to$ Infected $\to$ Recovered (SIR) epidemic model of Kermack and McKendrick provides, for any given time $t>0$, a strict lower bound on the expected…
The Susceptible-Infectious-Recovered (SIR) equations and their extensions comprise a commonly utilized set of models for understanding and predicting the course of an epidemic. In practice, it is of substantial interest to estimate the…
The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the possible models, and a measure of the distance between a…
In many epidemiological models a nonlinear transmission function is used in the form of power law relationship. It is constantly argued that such form reflects population heterogeneities including differences in the mixing pattern,…
Undulation of infection levels, usually called waves, are not well understood. In this paper we propose a mathematical model that exhibits undulation and decay towards a stable state. The model is a re-interpretation of the original…
The Susceptible-Infected-Recovered (SIR) model is the cornerstone of epidemiological models. However, this specification depends on two parameters only, which implies a lack of flexibility and the difficulty to replicate the volatile…