Optimal Risk Management with Reinsurance and its Counterparty Risk Hedging
"... we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing...
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16 févr. 2023
Insurance Contracting with Adverse Selection and Moral Hazard
"Our model yields richer separating Nash equilibria than pure moral hazard and pure adverse selection models, although separating Nash...
16 févr. 2023
Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers
This article offers a #riskmanagement framework specifically designed for the #insurance and #reinsurance industries to analyze the...
16 févr. 2023
Managing Cyber Risk, a Science in the Making
"After reviewing the main characteristics of cyber risk, we consider the three layers of cyber space: hardware, software and...
14 févr. 2023
Risk Aggregation, Tail Risk, Correlation: Capital Allocation Efficiency and Regulator...
"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk...
13 févr. 2023
A Dirichlet Process Mixture Regression Model for the Analysis of Competing Risk Events
"We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based...
10 févr. 2023
Is Accumulation Risk In Cyber Systematically Underestimated?
"The purpose of this article is to highlight the importance of taking a holistic approach to cyber. In particular, we argue that...
9 févr. 2023
Risk sharing, measuring variability, and distortion riskmetrics
"We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based...
31 janv. 2023
Blockchain Adoption and Optimal Reinsurance Design
"We study blockchain adoption in insurance-reinsurance markets. Operating costs decrease with the adoption rate, since verification and...
31 janv. 2023
Analysis of New Models of Emerging Risk for Insurance Companies: The Climate Risk
"We aim to analyze strategies for assessing and managing new risks that affect the insurance industry, considering the regulatory...
26 janv. 2023
Aggregating heavy-tailed random vectors: from finite sums to Lévy processes
"... we study the behavior of the asymptotic tail distribution of independent sums of heavy-tailed random vectors under the paradigm of...
17 janv. 2023
The Bayesian approach to analysis of financial operational risk
"The article provides a short overview of methods for constructing mathematical models in the form of Bayesian Networks for modeling...
17 janv. 2023
Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling...
"We propose here an analysis of the database of the cyber complaints filed at the Gendarmerie Nationale. We perform this analysis with a...
13 janv. 2023
Financing Constraints and Risk Management: Evidence From Micro-Level Insurance Data
"Using data on credit scores matched with unique information on firm level commercial insurance purchases, we find that financing...
20 déc. 2022
Prediction of Auto Insurance Risk Based on t-SNE Dimensionality Reduction
"... we develop a framework based on a combination of a neural network together with a dimensionality reduction technique t-SNE...
21 nov. 2022
On Optimal Insurance And Anomaly-Detection In Title Insurance Coverage.
"… this article introduces decision models and shows that the optimal title insurance evolves as market and property-specific conditions...
18 nov. 2022
Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies
"... our findings question whether insurance rates can play a useful role in steering climate adaptation and whether households will have...
14 nov. 2022
The Government Behind Insurance Governance: Lessons for Ransomware
"This paper analyzes how governments support insurance markets to maintain insurability and limit risks to society. We propose a new...
1 nov. 2022
Difference between integrated quantiles and integrated cumulative distribution functions.
"When developing large-sample statistical inference for quantiles, also known as Values-at-Risk in finance and insurance, the usual...
28 oct. 2022
The Government Behind Insurance Governance: Lessons for Ransomware
"We propose a new conceptual framework grouping government interventions into three dimensions: regulation of risky activity, public...
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