相关论文: Marshall-Olkin exponential shock model covering al…

In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of…

We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…

In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…

In this paper, we introduce a bivariate exponentaited generalized Weibull-Gompertz distribution. The model introduced here is of Marshall-Olkin type. Several properties are studied such as bivariate probability density function and it is…

A load sharing system has several components and the failure of one component can affect the lifetime of the surviving components. Since component failure does not equate to system failure for different system designs, the analysis of the…

In this paper we propose a new family of distribution considering Generalized Marshal-Olkin distribution as the base line distribution in the Beta-G family of Construction. The new family includes Beta-G (Eugene et al. 2002 and Jones, 2004)…

A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods for solving the forward calibration…

We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…

Recently, a growing amount interest is quite evident in modelling dependent competing risks in life time prognosis problem. In this work, we propose to model the dependent competing risks by Marshal-Olkin bivariate exponential distribution.…

Elasto-plastic models are among the most successful ways to study the critical properties of the plastic yielding transition of amorphous solids. Typically these models are studied under a condition of constant transition rates from one…

In this mini-review we summarize the progress of modeling, simulation and analysis of shock responses of heterogeneous materials in our group in recent years. The basic methodology is as below. We first decompose the problem into different…

We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…

In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…

The proportional odds model gives a method of generating new family of distributions by adding a parameter, called tilt parameter, to expand an existing family of distributions. The new family of distributions so obtained is known as…

Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…

We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…

Bivariate imprecise copulas have recently attracted substantial attention. However, the multivariate case seems still to be a "blank slate". It is then natural that this idea be tested first on shock model induced copulas, a family which…

Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In…

Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…

The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…