A cohort-based Partial Internal Model for demographic risk
The study proposes a method to assess #demographic #risk within the #solvencyii #regulations, using compact formulas to analyse...
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3 juil. 2023
Divergence Based Quadrangle and Applications
The proposed φ-Divergence Quadrangle presents a refined methodology for understanding and #managing #risk, contributing to the ongoing...
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...
28 juin 2023
Building a Culture of Safety for AI: Perspectives and Challenges
The paper explores the challenges of building a #safetyculture for #ai, including the lack of consensus on #risk prioritization, a lack...
26 juin 2023
Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
This paper examines the use of #machinelearning methods in the context of #banks' #capitalrequirements, specifically the internal Ratings...
20 juin 2023
The Unconscious Conscience of Digital Transformation: The Chief Compliance Officer
This paper explores the evolving role of #compliance in #digitaltransformation (#dt), as corporations globally embrace technology to...
7 juin 2023
Bayesian backtesting for counterparty risk models
"... we find that the #bayesian approach outperforms the classical [#counterparty #risk #model] in identifying whether a model is...
2 juin 2023
How to Evaluate the Risks of Artificial Intelligence: A Proportionality-Based, Risk Model
"The #eu proposal for the #artificialintelligenceact (#aia) defines four #risk categories: unacceptable, high, limited, and minimal....
1 juin 2023
Climate Change and Financial Stability: A Risk Assessment of Investment Funds
"Among investor categories, #insurers and households appear to be the most exposed to #climaterisks through the intermediary of...
24 mai 2023
Generative AI in Operational Risk Management: Harnessing the Future of Finance
#generativeai AI offers opportunities to enhance #operationalriskmanagement #orm through its ability to analyze #unstructureddata,...
22 mai 2023
Banking on Snow: Bank Capital, Risk, and Employment
Well-capitalized #banks play a crucial role in supporting economic adaptation to #weather-induced #labor #productivity #risk. LIRE
17 mai 2023
Multivariate risk measures for elliptical and log-elliptical distributions
"This paper introduces the multivariate range Value-at-Risk (MRVaR) and multivariate range covariance (MRCov) as #risk#measures for...
16 mai 2023
Taking AI Risks Seriously: A Proposal for the AI Act
"... we propose applying the #risk categories to specific #ai #scenarios, rather than solely to fields of application, using a...
10 mai 2023
Optimal Reinsurance Design Based on Economic Premium Principle
"The convex combination of the distortion #risk #measurement is constructed from the perspectives of #insurer and #reinsurer." LIRE
9 mai 2023
Buyers’ Perception Towards Life Insurance Policies Offered in Insurance Industry: A Study
"The research findings revealed that still people do not pay due importance to the #lifeinsurance policy, they prefer other...
5 mai 2023
Understanding Uncertainty Shocks and the Role of Black Swans
We offer a #datadriven theory of #belief formation that explains sudden surges in economic #uncertainty and their consequences. It argues...
2 mai 2023
Weaknesses of Financial Market Regulation
" The biggest Shortcoming of the recent reforms to the stabilization of the #financialsystem, such as #baseliii and the American...
2 mai 2023
Life Reinsurance Under Perfect and Asymmetric Information
"We find that the more risky the #insurer ’s #investmentportfolio is, the more #risk the insurer tends to #transfer to the #reinsurer." LIRE
26 avr. 2023
The Capital-on-Capital Cost in Solvency II Risk Margin.
This paper explores potential revisions to the calculation of the #solvencyII#risk margin (RM) and contributes to the ongoing discussion...
26 avr. 2023
ESG Securities Fraud
This article addresses the increasing concern of investors regarding corporate wrongdoing impacting a company's stock price, particularly...
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