FIRE CLAIM SIZE ESTIMATION USING MATHEMATICAL METHODS: MONTE CARLO SIMULATION & SCENARIO ANALYSIS
This report uses UK fire statistics to model insurance claims for a company next year. It estimates the total sum of claims by modeling...
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1 sept. 2023
A Duality Between Utility Transforms and Probability Distortions
This paper presents a fundamental #mathematical duality linking utility transforms and #probability distortions, which are vital in...
2 juin 2023
Do Finance Researchers Address Sample Size Issues? – A Bayesian Inquiry in the AI Era.
Traditional #statistical and #algorithm-based methods used to analyze #bigdata often overlook small but significant evidence. #bayesian...
19 avr. 2023
Optimal moral-hazard-free reinsurance under extended distortion premium principles
"We study an optimal #reinsurance problem under a diffusion #riskmodel for an #insurer who aims to minimize the #probability of lifetime...
14 avr. 2023
Policyholders' Subjective Beliefs: Approaching New Drivers of Insurance ESG Reputational Risk
This paper explores the #reputationalrisk associated with #esg investments and provides a formal theoretical valuation system for ESG...
14 avr. 2023
Bowley Insurance with Expected Utility Maximization of the Policyholders
This paper examines the Bowley solution in the context of #insurance contracts using the expected utility framework. Specifically, the...
13 avr. 2023
Systemic risk measured by systems resiliency to initial shocks
This study proposes a new approach to the analysis of #systemicrisk in #financialsystems, which is based on the #probability amount of...
16 mars 2023
An axiomatic approach to default risk and model uncertainty in rating systems
"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk...
13 mars 2023
The (Un)Limited Use of AI Segmentation in the Insurance Sector
This study examines the use of #artificialintelligence (#ai) and #bigdata data analytics by #insurers in #belgium for segmentation...
2 mars 2023
Bankers Trust and the Birth of Modern Risk Management
This paper discusses the origins of modern #riskmanagement concepts and applications in the #financialindustry, which were developed at...
27 janv. 2023
The Probability Conflation: A Reply
"We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between...
26 janv. 2023
Bayesian Model Selection and Prior Calibration for Structural Models in Economic Experiments
"Bayesian estimates from experimental data can be influenced by highly diffuse or "uninformative" priors. This paper discusses how...
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...
30 nov. 2022
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
" In this paper, we use stochastic algorithms schemes in estimating MSRM [market data based systemic risk measure] and prove that the...
10 nov. 2022
Conditional divergence risk measures
"Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular...
27 oct. 2022
A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
" The aim is to come up with a convex risk functional that incorporates a sefety margin with respect to nonparametric uncertainty and...
26 oct. 2022
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
"We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE)...
16 sept. 2022
Flood Risk Insurance: A Micro-Economic Foundation
"... we characterize Pareto-optimal risk-sharing contracts in a market with multiple policyholders and one representative insurer. With...
9 sept. 2022
Quasi-convexity in mixtures for generalized rank-dependent functions
"Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis. We study a general class of non-monotone...
17 août 2022
Quasi-Logconvex Measures of Risk
"This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the...
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