Zobrazeno 1 - 10 of 121 pro vyhledávání: '"Andreea Minca"'
1
Blockchain Adoption and Optimal Reinsurance Design
Autor: Andreea Minca, Romain Deguest, Hamed Amini, Engin Iyidogan
We consider blockchain adoption in a multiple firm market. The blockchain cost per firm decreases with the adoption rate as the cost of verification and recording is distributed among the adopters. We study the Nash equilibria of the adoption game an
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::029a14b22bddc1e32de35a1707a3c355
https://doi.org/10.2139/ssrn.4342013
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4
Cascading Losses in Reinsurance Networks
Autor: Ariah Klages-Mundt, Andreea Minca
Publikováno v: Management Science. 66:4246-4268
We develop a model for contagion in reinsurance networks by which primary insurers’ losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler models existi
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e38d813ac1a44afc3b67d271ebe74a61
https://doi.org/10.1287/mnsc.2019.3389
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5
Dynamic Leveraging–Deleveraging Games
Autor: Johannes Wissel, Andreea Minca
Publikováno v: Operations Research. 68:93-114
We endogenize the dynamics of a large borrower’s leverage based on a new type of game among the lender, the leveraging/deleveraging game. Leverage is mean reverting around a long-run level and explosive above an instability level. This is driven by
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::df76de7d12b71e0266b3fc6f736143cd
https://doi.org/10.1287/opre.2019.1865
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6
Systemic Risk in Networks with a Central Node
Autor: Damir Filipović, Andreea Minca, Hamed Amini
Publikováno v: SIAM Journal on Financial Mathematics. 11:60-98
We examine the effects on a financial network of clearing all contracts though a central node (CN), thereby transforming the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce a struc
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9501cc5edbb65ec125f65eb6ea6dcc1e
https://doi.org/10.1137/18m1184667
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9
A dynamic contagion risk model with recovery features
Autor: Agnès Sulem, Hamed Amini, Andreea Minca
Publikováno v: Mathematics of Operations Research
Mathematics of Operations Research, 2021, ⟨10.1287/moor.2021.1174⟩
Mathematics of Operations Research, INFORMS, 2021, ⟨10.1287/moor.2021.1174⟩
International audience; We introduce threshold growth in the classical threshold contagion model, or equivalently a network of Cramér-Lundberg processes in which nodes have downward jumps when there is a failure of a neighboring node. Choosing the c
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5a4865ca5a12bc44aed389e52b040297
https://inria.hal.science/hal-02421342
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10
Epidemic Spreading and Equilibrium Social Distancing in Heterogeneous Networks
Autor: Hamed Amini, Andreea Minca
Publikováno v: Dynamic Games and Applications
We study a multi-type SIR epidemic process among a heterogeneous population that interacts through a network. When we base social contact on a random graph with given vertex degrees, we give limit theorems on the fraction of infected individuals. For
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf65e7e7481c30d639142598f0cf4ff4
https://pubmed.ncbi.nlm.nih.gov/35003828
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