The Road Less Travelled: Keynes and Knight on Probability and Uncertainty
"The possibilities of a Keynesian-Knightian synthesis as a way forward are considered by comparing these signposts. It is argued that,...
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13 juin 2022
Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
"... we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and...
27 mai 2022
Spatial Distance and Risk Category Effects in Enterprise Risk Management Practice
"... we find the difference in decision-makers’ probability assessments between operational and non-operational risk factors is greater...
11 mai 2022
A Conditional One-Output Likelihood Formulation for Multitask Gaussian Processes
"Experimental results over synthetic and real problems confirm the advantages of this inference approach in its ability to accurately...
13 avr. 2022
Anytime-valid sequential testing for elicitable functionals via supermartingales
"Using regret bounds from Online Convex Optimization, we obtain rigorous guarantees on the asymptotic power of the tests for a wide range...
1 avr. 2022
New Stochastic Orders and Monotone Comparative Statics of Changes in Risk under Risk Aversion
"We ... present a simple sufficient condition for monotone comparative statics of changes in risk under risk aversion." LIRE
31 mars 2022
New Stochastic Orders and Monotone Comparative Statics of Changes in Risk under Risk Aversion
"We... apply two stochastic orders to some classic decision problems in economics and finance including a portfolio problem, two...
28 févr. 2022
The Evolution of Insurance Pricing
"The growing sophistication of insurance pricing, particularly for property-casualty insurance and reinsurance risk, has created a...
18 févr. 2022
Uncertainty Quantification of Multi-Scale Resilience in Nonlinear Complex Networks
" In order to quantify resilience uncertainty across the network resolutions (from macro-scale network statistics to individual node...
1 févr. 2022
When do you Stop Supporting your Bankrupt Subsidiary?
"We find that depending on the capitalisation of the network, a holding structure can be beneficial as compared to smaller separated...
27 janv. 2022
Multivariate matrix-exponential affine mixtures and their applications in risk theory
"... results are applied in a wide range of actuarial problems including multivariate risk measures, aggregate loss, large claims...
19 janv. 2022
Ruin Problems in a Discrete Risk Model in a Markovian Environment
"In a 2019 paper, Yang, Zhang and Lan studied a risk model in which claim occurrence and amount are both governed by an underlying...
7 janv. 2022
Stochastic measure distortions induced by quantile processes for risk quantification and valuation
" The introduced valuation principle relies on stochastic ordering so that the valuation risk-loading, and thus risk premiums, generated...
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