Uncertainty Propagation and Dynamic Robust Risk Measures
The framework presents a method to quantify #uncertainty propagation in #dynamic #scenarios, focusing on discrete #stochastic processes...
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21 août 2023
Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information
"This paper examines a #stochastic one-period #insurancemarket with incomplete information. The aggregate amount of #claims follows a...
18 août 2023
Demographic Issues in Longevity Risk Analysis
The paper discusses #modeling #longevity #risk, focusing on assumptions in #demographic #forecasting to project past data into the...
14 sept. 2022
A stochastic volatility model for the valuation of temperature derivatives
"This model allows to be more conservative regarding extreme events while keeping tractability. We give a method based on Conditional...
1 juin 2022
A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups
"... we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose...
6 mai 2022
A Stochastic Climate Model -- An approach to calibrate the Climate-Extended Risk Model (CERM)
"These parameters can be calibrated using public data. This new approach means not only to evaluate climate risks without picking any...
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