Related papers: Infectious Default Model with Recovery and Continu…
We propose a mathematical model to analyze the effects of anti-infection behavior on the equilibrium states of an infectious disease. The anti-infection behavior is incorporated into a classical epidemiological SIR model, by considering the…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…
Two factors that are often ignored but could play a crucial role in the progression of an infectious disease are the distributions of inherent susceptibility ($\sigma_{inh}$) and external infectivity ($\iota_{ext}$), in a given population.…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
The fundamental models of epidemiology describe the progression of an infectious disease through a population using compartmentalized differential equations, but do not incorporate population-level heterogeneity in infection susceptibility.…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…
In this paper we consider a stochastic SEIQR (susceptible-exposed-infected-quarantined-recovered) epidemic model with a generalized incidence function. Using the Lyapunov method, we establish the existence and uniqueness of a global…
This work examines the discrete-time networked SIR (susceptible-infected-recovered) epidemic model, where the infection and recovery parameters may be time-varying. We provide a sufficient condition for the SIR model to converge to the set…
We develop a stochastic two-patch epidemic model with nonlinear recidivism to investigate infectious disease dynamics in heterogeneous populations. Extending a deterministic framework, we introduce stochasticity to account for random…
We propose a model of the immunity to a cyclical epidemic disease taking account not only of seasonal boosts during the infectious season, but also of residual immunity remaining from one season to the next. The focus is on the exponential…
In this paper, we introduce a new extension of the generalized linear failure rate distributions. It includes some well-known lifetime distributions such as extension of generalized exponential and generalized linear failure rate…
We consider the spread of a Susceptible-Infected-Recovered (SIR) disease through finite populations and derive an expression for the final size distribution. Our derivation allows arbitrary distributions of the number of transmissions…
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Markov setting, the indicator function of…
Albeit epidemic models have evolved into powerful predictive tools for the spread of diseases and opinions, most assume memoryless agents and independent transmission channels. We develop an infection mechanism that is endowed with memory…
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
We consider an epidemiological model that includes waning and boosting of immunity. Assuming that repeated exposure to the pathogen fully restores immunity, we derive an SIRS-type model with discrete and distributed delays. First we prove…
A statistical model assuming a preferential attachment network, which is generated by adding nodes sequentially according to a few simple rules, usually describes real-life networks better than a model assuming, for example, a Bernoulli…
The quasi-deterministic limit of the generic extinction transition is considered within the framework of standard epidemiological models. The susceptible-infected-susceptible (SIS) model is known to exhibit a transition from extinction to…
We have designed a computational model of a virus spread near the outbreak threshold. Using computer simulation we studied the Susceptible - Infected - Recovered (SIR) process where in consequence of a force of habit that is manifested by…
This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed (iid), we assume that they follow a regime switching…