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'...
18 août 2023
A New Approach to Measuring AI Bias in Human Resources Functions: Model Risk Management
Companies use #ai tools for #hr decisions, but they face a balance between benefits and #risks. With limited federal #regulation and...
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...
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...
13 sept. 2022
Convex Risk Measures for the Aggregation of Multiple Information and Applications in Insurance
"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and...
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