相关论文: On risk models with dependence
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…
We study four different approaches to model time-dependent extremal behavior: dynamics introduced by (a) a state-space model (SSM), (b) a shot-noise-type process with GPD marginals, (c) a copula-based autoregressive model with GPD…
Dependency functions of dependent variables are relevant for i) performing uncertainty quantification and sensitivity analysis in presence of dependent variables and/or correlated variables, and ii) simulating random dependent variables. In…
In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…
Max-stable random fields can be constructed according to Schlather (2002) with a random function or a stationary process and a kind of random event magnitude. These are applied for the modelling of natural hazards. We simply extend these…
Accurate prediction of remaining useful life under creep conditions is essential for the structural reliability of high-temperature components in critical engineering systems. Traditional approaches based on deterministic parametric models…
We introduce new estimates and tests of independence in copula models with unknown margins using $\phi$-divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the…
In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component…
Despite their impressive performance, large language models (LLMs) such as ChatGPT are known to pose important risks. One such set of risks arises from misplaced confidence, whether over-confidence or under-confidence, that the models have…
An extension of the latent class model is presented for clustering categorical data by relaxing the classical "class conditional independence assumption" of variables. This model consists in grouping the variables into inter-independent and…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
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…
Longitudinal and survival sub-models are two building blocks for joint modelling of longitudinal and time to event data. Extensive research indicates separate analysis of these two processes could result in biased outputs due to their…
In many studies multivariate event time data are generated from clusters having a possibly complex association pattern. Flexible models are needed to capture this dependence. Vine copulas serve this purpose. Inference methods for vine…
The aim of this article is to analyze data from multiple repairable systems under the presence of dependent competing risks. In order to model this dependence structure, we adopted the well-known shared frailty model. This model provides a…
The present article studies survival analytic aspects of semiparametric copula dependence models with arbitrary univariate marginals. The underlying survival functions admit a representation via exponent measures which have an…
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the…
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the…
The number of recurrent events before a terminating event is often of interest. For instance, death terminates an individual's process of rehospitalizations and the number of rehospitalizations is an important indicator of economic cost. We…
We propose a resilience-based framework for computing feasible assume-guarantee contracts that ensure the satisfaction of temporal specifications in interconnected discrete-time systems. Interconnection effects are modeled as structured…