相关论文: Pandemic-type Failures in Multivariate Brownian Ri…
Some risks have extremely high stakes. For example, a worldwide pandemic or asteroid impact could potentially kill more than a billion people. Comfortingly, scientific calculations often put very low probabilities on the occurrence of such…
Modern industrial systems are often subject to multiple failure modes, and their conditions are monitored by multiple sensors, generating multiple time-series signals. Additionally, time-to-failure data are commonly available. Accurately…
Machine learning models are often used to inform real world risk assessment tasks: predicting consumer default risk, predicting whether a person suffers from a serious illness, or predicting a person's risk to appear in court. Given…
In risk management, often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct an estimator for such failure probabilities and analyze its…
The drift diffusion model (DDM) is a model of sequential sampling with diffusion (Brownian) signals, where the decision maker accumulates evidence until the process hits a stopping boundary, and then stops and chooses the alternative that…
In biomedical settings, multitype recurrent events such as stroke and heart failure occur frequently, often concluding with a terminal event such as death. Understanding the links between these recurring and terminal events is fundamental…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
Geometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by non-ergodicity, which can lead to ensemble averages exhibiting exponential…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
Interactions among multiple time series of positive random variables are crucial in diverse financial applications, from spillover effects to volatility interdependence. A popular model in this setting is the vector Multiplicative Error…
The extreme cases of risk measures, when considered within the context of distributional ambiguity, provide significant guidance for practitioners specializing in risk management of quantitative finance and insurance. In contrast to the…
Recent works have demonstrated a double descent phenomenon in over-parameterized learning. Although this phenomenon has been investigated by recent works, it has not been fully understood in theory. In this paper, we investigate the…
In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class imbalance in the data (i.e., very few…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
The sum of $n$ {non-independent} Bernoulli random variables could be modeled in several different ways. One of these is the Multiplicative Binomial Distribution (MBD), introduced by Altham (1978) and revised by Lovison (1998). In this work,…
Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this…
One of the commonly used approaches to capture dependence in multivariate survival data is through the frailty variables. The identifiability issues should be carefully investigated while modeling multivariate survival with or without…
Let $B(t), t\in \mathbb{R}$ be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the following risk process \begin{align}\label{Rudef}…