相关论文: Ruin probabilities for risk processes in a biparti…

In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…

Resilience characterizes a system's ability to retain its original function when perturbations happen. In the past years our attention mainly focused on small-scale resilience, yet our understanding of resilience in large-scale network…

We consider predictions of the random number and the magnitude of each iid component in a random sum based on its distributional structure, where only a total value of the sum is available and where iid random components are non-negative.…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ In this contribution we derive precise approximations for cumulative Parisian ruin…

In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…

In this paper the class of mixed renewal processes (MRPs for short) with mixing parameter a random vector from \cite{lm6z3} (enlarging Huang's \cite{hu} original class) is replaced by the strictly more comprising class of all extended MRPs…

Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…

Threshold rules of spreading in binary-state networks lead to cascades. We study persistent cascade-recovery dynamics on quasi-robust networks, i.e., networks which are robust against small trigger but may collapse for larger one. It is…

In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{e}vy insurance risk process. For this…

We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…

In this paper, a baseline model termed as random birth-and-death network model (RBDN) is considered, in which at each time step, a new node is added into the network with probability p (0<p <1) connect it with m old nodes uniformly, or an…

Neural networks are becoming increasingly prevalent in software, and it is therefore important to be able to verify their behavior. Because verifying the correctness of neural networks is extremely challenging, it is common to focus on the…

We introduce the hybrid risk process, constructed via a time-change transformation applied to the solution of a hybrid stochastic differential equation. The framework covers several modern ruin settings, incorporating features like…

Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…

We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…

In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…

We study the probability of ruin before time $t$ for the family of tempered stable L\'evy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution…

Here we introduce probabilistic weighted and unweighted multilayer networks as derived from information theoretical correlation measures on large multidimensional datasets. We present the fundamentals of the formal application of…

We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…

Poisson random effect models with a shared random effect have been widely used in actuarial science for analyzing the number of claims. In particular, the random effect is a key factor in a posteriori risk classification. However, the…