250 citations · 425 across the 14 of their papers we have counts for
16 papers
Approximations of semi-Markov processes and insurance policy valuation
Martin Bladt, Andreea Minca, Oscar Peralta
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximat…
Reinforcement Learning for SBM Graphon Games with Re-Sampling
Peihan Huo, Oscar Peralta, Junyu Guo +2
The Mean-Field approximation is a tractable approach for studying large population dynamics. However, its assumption on homogeneity and universal connections among all agents limit…
Ruin-dependent bivariate stochastic fluid processes
Hamed Amini, Andreea Minca, Oscar Peralta
This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlyin…
Duration-dependent stochastic fluid processes and solar energy revenue modeling
Hamed Amini, Andreea Minca, Oscar Peralta
We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar…
Ruin Probabilities for Risk Processes in Stochastic Networks
Hamed Amini, Zhongyuan Cao, Andreea Minca +1
We study multidimensional Cramér-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the p…
Decentralized Governance of Stablecoins with Closed Form Valuation
Lucy Huo, Ariah Klages-Mundt, Andreea Minca +2
We model incentive security in non-custodial stablecoins and derive conditions for participation in a stablecoin system across risk absorbers (vaults/CDPs) and holders of governanc…
Optimal Intervention in Economic Networks using Influence Maximization Methods
Ariah Klages-Mundt, Andreea Minca
We consider optimal intervention in the Elliott-Golub-Jackson network model \cite{jackson14} and we show that it can be transformed into an influence maximization-like form, interp…
Provable Fictitious Play for General Mean-Field Games
Qiaomin Xie, Zhuoran Yang, Zhaoran Wang +1
We propose a reinforcement learning algorithm for stationary mean-field games, where the goal is to learn a pair of mean-field state and stationary policy that constitutes the Nash…
Epidemic Spreading and Equilibrium Social Distancing in Heterogeneous Networks
Hamed Amini, Andreea Minca
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 degree…
Stablecoins 2.0: Economic Foundations and Risk-based Models
Ariah Klages-Mundt, Dominik Harz, Lewis Gudgeon +2
Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We see…
While Stability Lasts: A Stochastic Model of Non-Custodial Stablecoins
Ariah Klages-Mundt, Andreea Minca
The `Black Thursday' crisis in cryptocurrency markets demonstrated deleveraging risks in over-collateralized non-custodial stablecoins. We develop a stochastic model that helps exp…
Clustering Degree-Corrected Stochastic Block Model with Outliers
Xin Qian, Yudong Chen, Andreea Minca
For the degree corrected stochastic block model in the presence of arbitrary or even adversarial outliers, we develop a convex-optimization-based clustering algorithm that includes…
(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks
Ariah Klages-Mundt, Andreea Minca
We develop a model of stable assets, including non-custodial stablecoins backed by cryptocurrencies. Such stablecoins are popular methods for bootstrapping price stability within p…
Cascading Losses in Reinsurance Networks
Ariah Klages-Mundt, Andreea Minca
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…
On the central management of risk networks
Florin Avram, Andreea Minca
We introduce a family of risk networks composed from a) several subsidiary branches necessary for coping with different types of risks, which must all be kept a…
Resilience to Contagion in Financial Networks
Hamed Amini, Rama Cont, Andreea Minca
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive r…