We applied a flexible modeling technique capable of representing dynamics large populations interacting in space and time, namely Markovian Agents, to study the evolution COVID-19 Italy. Our purpose was show that this approach, is based on mean field analysis models, provides good performances describing diffusion phenomena, like COVID-19. The paper describes application approach Italian scenar...

In this paper, we extend the non-cooperative one-period game of Dutang et al. (Journal Operational Research 231(3):702–711, 2013) to model a non-life insurance market over several periods by considering repeated (one-period) game. Using Markov chain methodology, derive general properties insurer portfolio sizes given price vector. case regulated (identical premium), are able obtain convergence ...

We define an effective Lagrangian statistical model in phase space (x, t, v) for describing transport in highly heterogeneous velocity fields with complex spatial organizations. The spatial Markovian nature (and temporal non-Markovian nature) of Lagrangian velocities leads to an effective transport description that turns out to be a correlated continuous time random walk. This model correctly c...

We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) with stochastic premium income, in which the premium income and the claim occurrence are driven by the Markovian regime-switching process. The purpose of this paper is to study the integral equations satisfied by the expected discounted penalty function. In particular, the discount interest force p...

A piecewise-constant conditional intensity model (PCIM) is a non-Markovian model of temporal stochastic dependencies in continuoustime event streams. It allows efficient learning and forecasting given complete trajectories. However, no general inference algorithm has been developed for PCIMs. We propose an effective and efficient auxiliary Gibbs sampler for inference in PCIM, based on the idea ...

In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill [Car94], Ritchken and Sankarasubramanian [RS95], Bhar and Chiarella [BC97], a...

We consider a bottom-up Markovian copula model of portfolio credit risk where instantaneous contagion is possible in the form of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a two-steps procedure, much like in a standard static copula set-up. In this sense this model solves the bottom...

We provide a simple interpretation of non-Gaussian nature of the light scattering-intensity fluctuations from an aging colloidal suspension of Laponite using the multiplicative cascade model, Markovian method, and volatility correlations. The cascade model and Markovian method enable us to reproduce most of recent empirical findings: long-range volatility correlations and non-Gaussian statistic...