Multivariate risk processes with interacting intensities

Multivariate Risk Processes with Interacting Intensities

The classical models in risk theory consider a single type of claims. In the insurance business, however, several business lines with separate claim arrival processes appear naturally, and the individual claim processes may not be independent. We introduce a new class of models for such situations, where the underlying counting process is a multivariate continuous time Markov chain of pure birt...

Basket CDS pricing with interacting intensities

In this paper we propose a factor contagion model for correlated defaults. The model covers the heterogeneous conditionally independent portfolio and the factor infectious default portfolio as special cases. The model assumes that the hazard rate processes are driven by external common factors as well as defaults of other names in the portfolio. The total hazard construction method is used to d...

COVARIANCE MATRIX OF MULTIVARIATE REWARD PROCESSES WITH NONLINEAR REWARD FUNCTIONS

Multivariate reward processes with reward functions of constant rates, defined on a semi-Markov process, first were studied by Masuda and Sumita, 1991. Reward processes with nonlinear reward functions were introduced in Soltani, 1996. In this work we study a multivariate process , , where are reward processes with nonlinear reward functions respectively. The Laplace transform of the covar...

Asymptotic Behavior of Multivariate Reward Processes with Nonlinear Reward Functions

Parallel Programming with Interacting Processes

In this paper, we argue that interacting processes (IP) with multiparty interactions are an ideal model for parallel programming. The IP model with multiparty interactions was originally proposed by N. Francez and I. R. Forman [1] for distributed programming of reactive applications. We analyze the IP model and provide the new insights into it from the parallel programming perspective. We show ...