相关论文: Iterated Poisson Processes for Catastrophic Risk M…

Tipping points have been shown to be ubiquitous, both in models and empirically in a range of physical and biological systems. The question of how tipping points cascade through systems has been less well studied and is an important one. A…

Multiple systems estimation using a Poisson loglinear model is a standard approach to quantifying hidden populations where data sources are based on lists of known cases. Information criteria are often used for selecting between the large…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

Creep rupture of heterogeneous materials occurring under constant sub-critical external loads is responsible for the collapse of engineering constructions and for natural catastrophes. Acoustic monitoring of crackling bursts provides…

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…

In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…

Expansion planning problems refer to the monetary and unit investment needed for energy production or storage. An inherent element in these problems is the element of stochasticity in various aspects, such as the generation output of the…

We study a new technique for the asymptotic analysis of heavy-tailed systems conditioned on large deviations events. We illustrate our approach in the context of ruin events of multidimensional regularly varying random walks. Our approach…

Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximations using jump processes that are time-homogeneous Markov,…

Many probabilistic inference problems such as stochastic filtering or the computation of rare event probabilities require model analysis under initial and terminal constraints. We propose a solution to this bridging problem for the widely…

The misanthrope process is a class of stochastic interacting particle systems, generalizing the simple exclusion process. It allows each site of the lattice to accommodate more than one particle. We consider a special case of the one…

We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…

In this paper, we study a generalized version of the Poisson-type process by time-changing it with the geometric counting process. Our work generalizes the work done by Meoli (2023) \cite{meoli2023some}. We defined the geometric…

In many complex systems studied in statistical physics, inter-arrival times between events such as solar flares, trades and neuron voltages follow a heavy-tailed distribution. The set of event times is fractal-like, being dense in some time…

We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance…

Most risk analysis models systematically underestimate the probability and impact of catastrophic events (e.g., economic crises, natural disasters, and terrorism) by not taking into account interconnectivity and interdependence of risks. To…

If a given aggregate process $S$ is a compound mixed renewal process under a probability measure $P$, we provide a characterization of all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent and…

This paper deals with the stochastic modeling of a class of heterogeneous population in a random environment, called birth-death-swap. In addition to demographic events, swap events, i.e. moves between subgroups, occur in the population.…

The random walk Metropolis (RWM) is one of the most common Markov chain Monte Carlo algorithms in practical use today. Its theoretical properties have been extensively explored for certain classes of target, and a number of results with…

We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-dimensional matrix of observables. We show that the…