Optimal reinsurance under terminal value constraints
"…. the surplus of an insurance company is routinely approximated by a Brownian motion, as opposed to the geometric Brownian motion used...
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Rechercher
24 mars 2022
Bivariate Distribution Regression with Application to Insurance Data
"Unlike the existing parametric approaches, our method is simple yet flexible to encapsulate distributional dependence structures of...
24 févr. 2022
Vine Copula Modelling Dependence Among Cyber Risks: A Dangerous Regulatory Paradox
" In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox...
24 févr. 2022
Evaluation of Backtesting on Risk Models Based on Data Envelopment Analysis
"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical...
24 févr. 2022
Modeling Multivariate Operational Losses Via Copula-Based Distributions with G-and-H Marginals
"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence...
23 févr. 2022
Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity
"The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving...
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