Discretionary Decisions in Capital Requirements under Solvency II
#insurers have discretion to determine #solvencyii #capitalrequirements. We find that long-term guarantees measures substantially...
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29 juin 2023
Multi-Population Heat Wave Mortality Models for Longevity Risk Pricing and Hedging
Proposed #actuarial #models address concerns over #longevity #risk by incorporating stalling #mortality improvements and #heatwave...
26 mai 2023
A Rumsfeldian Framework for Understanding How to Employ Generative AI Models for Financial Analysis
This paper explores the use of #generativeai models in financial analysis within the Rumsfeldian framework of "known knowns, known...
17 mai 2023
Prediction of Information Leakage by Cyber Incidents Via Classical Compound Risk Models
"We show that classical #insurance #models based on some compound distributions can well predict #information #leakage by #cyberincidents...
25 avr. 2023
Particle MCMC in forecasting frailty correlated default models with expert opinion
This paper focuses on predicting #corporate #default #risk using frailty correlated default #models with subjective judgments. The study...
23 mars 2023
Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses
"This paper considers some univariate and multivariate #operationalrisk#models , in which the #loss severities are modeled by some weakly...
2 mars 2023
A Unified Theory of Decentralized Insurance
This paper discusses #decentralized#insurance and its various forms of #risksharing mechanisms developed worldwide. It highlights the...
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...
1 févr. 2023
Models of Accounting Disclosure by Banking Institutions
Monograph on accounting disclosure by banking institutions explores banking specificities, presents workhorse models, and illustrates...
29 août 2022
Microscopic Traffic Models, Accidents, and Insurance Losses
"... at least in financial terms, the associated losses can be covered by insurance contracts. The role of actuaries is to develop...
15 juil. 2022
Constructing Early Warning Indicators for Banks Using Machine Learning Models
"This research contributes to bank liquidity risk management by employing supervised machine learning models to provide banks with early...
18 mai 2022
Cyber Risk Assessment for Capital Management
"There appears a gap in cyber risk modeling between engineering and insurance literature. This paper presents a novel model to capture...
15 févr. 2022
Model Validation - A Blue Print (Modellvalidierung - Eine Blaupause)
"The aim is the design of a risk class independent approach, such that the model validation framework can be equally rolled out over all...
9 févr. 2022
Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models
"... the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced. However, this...
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