We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to an arbitrary countable set of types. The ruin of any...

The Guaranteed Minimum Maturity Benefit is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the financial dynamics, typically represented by interest...

The purpose of this note is to provide a simple proof of existence of stationary probability vectors (fixed points) for stochastic matrices using Farkas’ lemma. This result as well as the uniqueness of stationary probability vectors also holds for a certain subclass of quasi-stochastic matrices

This paper proposes a mutually exciting discrete-time stochastic model to capture two essential features underlying the bank-customer behavior process---the dependence on the past behavior (i.e., path-dependence) and the behavioral interdependence between deposit and withdrawal activities (i.e.,...

The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...

Managing large-scale systems often involves simultaneously solving thousands of unrelated stochastic optimization problems, each with limited data. Intuition suggests one can decouple these unrelated problems and solve them separately without loss of generality. We propose a novel data-pooling...

We study saddlepoint approximations to the tail-distribution for different credit portfolio losses in continuous time intensity based models which stochastic recoveries, under conditional independent homogeneous settings. In such models, conditional on the filtration generated by the individual...

This paper proposes a framework to assess how compositional differences at the neighborhood level contribute to the moderating effect of neighborhood context on the association between individual risk-factors and delinquency. We propose a neighborhood-based group decomposition to partition...

This paper proposes a framework to assess how compositional differences at the neighborhood level contribute to the moderating effect of neighborhood context on the association between individual risk-factors and delinquency. We propose a neighborhood-based group decomposition to partition...