Optimal Robust Reinsurance with Multiple Insurers
"We study a #reinsurer who faces multiple sources of #model #uncertainty. The reinsurer offers contracts to n #insurers whose #claims...
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22 août 2023
Estimating the Impact of Physical Risks on Firm Defaults: A Supply-Chain Perspective
This study employs an agent-based #model to explore how #climate shocks spread within #supplychains, linking #climateimpacts to firms'...
7 juin 2023
Cyber-Risk Prioritisation Under Partial Information to Support Threat Intelligence
The authors use mid-quantile regression to deal with ordinal #riskassessments and compare their approach to current alternatives for...
7 juin 2023
Bayesian backtesting for counterparty risk models
"... we find that the #bayesian approach outperforms the classical [#counterparty #risk #model] in identifying whether a model is...
16 mai 2023
Taking AI Risks Seriously: A Proposal for the AI Act
"... we propose applying the #risk categories to specific #ai #scenarios, rather than solely to fields of application, using a...
5 mai 2023
What are Large Global Banks Doing About Climate Change?
"From a #riskmanagement perspective, it is challenging to #model physical and #transitionrisks given the #uncertainty around #climaterisk...
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