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...
top of page
Rechercher
16 janv. 2023
Modeling Very Large Losses.
"... we propose an approach to estimate very large losses similar to that used by Fermi and Drake to estimate the existence of...
8 nov. 2022
Epidemiological Modeling in Life Insurance
"This paper extends the traditional multi-state models to include epidemic effects." LIRE
8 août 2022
A Pathway Model to Five Lines of Accountability in Cybersecurity Governance
"Organizations closest to full adoption are those under the prudential regulation (coercive forces), whereas efficiency motives and...
6 juin 2022
Multi-Population Mortality Modelling: A Bayesian Approach
"An efficient Bayesian Markov Chain Monte-Carlo method is developed to estimate the unknown parameters to address the computational...
6 mai 2022
A Stochastic Climate Model -- An approach to calibrate the Climate-Extended Risk Model (CERM)
"These parameters can be calibrated using public data. This new approach means not only to evaluate climate risks without picking any...
8 avr. 2022
A Generalized Linear Mixed Model for Data Breaches and its Application in Cyber Insurance
"Estimations of model parameters are presented under Bayesian framework using a combination of Gibbs sampler and Metropolis-Hastings...
19 janv. 2022
Multinomial Backtesting of Distortion Risk Measures
"We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for...
5 janv. 2022
Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models
"This paper... reviews the different channels of transmission of prudential policy highlighted in the literature and... provides a...
bottom of page