This paper reports the results of an empirical comparison of various types of competing risk models in predicting the timing and duration of activities. In particular, three types of models are compared: a noncompeting risk model, an unconditional competing risk model, and a conditional competing risk model. The models are applied to an activity diary, collected in the Netherlands. The results ...

We examine the correlation in credit risk using credit default swap (CDS) data. We find that the observable risk factors at the firm, industry, and market levels and the macroeconomic variables cannot fully explain the correlation in CDS spread changes, leaving at least 30 percent of the correlation unaccounted for. This finding suggests that contagion is not only statistically but also economi...

The Flight Operations Risk Assessment System (FORAS) is a risk modeling methodology which represents risk factors and their interrelationships as a fuzzy expert system. A FORAS risk model provides a quantitative relative risk index representing an estimate of the cumulative effects of potential hazards on a single flight operation. FORAS systematizes the process of eliciting human expertise, pr...

This paper investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin probability are derived, which confirm a folklore that the ruin probability is mainly determined by whichever o...

Precision medicine requires the precision disease risk prediction models. In literature, there have been a lot wellestablished (inter-)national risk models, but when applying them into the local population, the prediction performance becomes unsatisfactory. To address the localization issue, this paper exploits the way to develop knowledge-enhanced localized risk models. On the one hand, we tun...

We consider a risk model with threshold strategy, where the insurance company pays off a certain percentage of the income as dividend whenever the current surplus is larger than a given threshold. We investigate the ruin time, ruin probability, and the total dividend, using methods and results from queueing theory.

Prognosis of disease progression is necessary for development of individualized treatment, understanding of the disease. Risk modeling is a challenging problem, and too often amount of available relevant observations is not sufficient to build a quality model with traditional approaches. New method Smooth Rank for survival analysis, risk modeling is introduced here. Smooth Rank is robust agains...

Health institutions have realized the importance of privacy engineering that focuses on development of guidelines, practices and models for the protection of patients’ privacy. However, due to the intricate healthcare systems with transitive health workflows, the processing of patient information in one setting may be more problematic than that in another. As a solution to this problem, we deco...

The controversy over whether investment-cash flow sensitivity is a good indicator of financing constraints is still unresolved. We tackle it from several different angles and cross-validate our analysis with both balance sheet and qualitative data on self-declared credit rationing and financing constraints. Our qualitative information shows that (self-declared) credit rationing is (weakly) rela...