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

Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…

Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which have simpler submodels at the boundary of their parameter…

Discrete choice models with non-monotonic response functions are important in many areas of application, especially political sciences and marketing. This paper describes a novel unfolding model for binary data that allows for heavy-tailed…

The method of stress-function in elasticity theory is a powerful analytical tool with applications to a wide range of physical systems, including defective crystals, fluctuating membranes, and more. A complex coordinates formulation of…

A spatial avalanche model is introduced, in which avalanches increase stability in the regions where they occur. Instability is driven globally by a driving process that contains shocks. The system is typically subcritical, but the shocks…

Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…

A structural Gaussian mixture vector autoregressive model is introduced. The shocks are identified by combining simultaneous diagonalization of the reduced form error covariance matrices with constraints on the time-varying impact matrix.…

We develop an analytic model of intermittent, three-dimensional, strong, reduced magnetohydrodynamic turbulence with zero cross helicity. We take the fluctuation amplitudes to have a log-Poisson distribution and incorporate into the model a…

Fracture of materials with rate-dependent mechanical behaviour, e.g. polymers, is a highly complex process. For an adequate modelling, the coupling between rate-dependent stiffness, dissipative mechanisms present in the bulk material and…

This paper proposes a unified approach for studying global exponential stability of a general class of switched systems described by time-varying nonlinear functional differential equations. Some new delay-independent criteria of global…

We introduce an energy-based model, which seems especially suited for constrained systems. The proposed model provides an alternative to the popular port-Hamiltonian framework and exhibits similar properties such as energy dissipation as…

We present an one-dimensional particle-in-cell Monte-Carlo model for capacitively coupled radio-frequency discharges in oxygen. The model quantitatively describes the central part of the discharge. For a given voltage and pressure, it…

In a recent feature article in this journal, co-authored by Gert van der Heijden, I described the static-dynamic analogy and its role in understanding the localized post-buckling of shell-like structures, looking exclusively at integrable…

Additive regression models have a long history in multivariate nonparametric regression. They provide a model in which each regression function depends only on a single explanatory variable allowing to obtain estimators at the optimal…

Motivated by disease progression-related studies, we propose an estimation method for fitting general non-homogeneous multi-state Markov models. The proposal can handle many types of multi-state processes, with several states and various…

Numerical simulations and a mean-field analysis of a sandpile model of earthquake aftershocks in 1d, 2d and 3d euclidean lattices determine that the average stress decays in a punctuated fashion after a main shock, with events occurring at…

For many environmental processes, recent studies have shown that the dependence strength is decreasing when quantile levels increase. This implies that the popular max-stable models are inadequate to capture the rate of joint tail decay,…

We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…

Inspired by the Melan equation we propose a model for suspension bridges with two cables linked to a deck, through inextensible hangers. We write the energy of the system and we derive from variational principles two nonlinear and nonlocal…