Expectile Quadrangle and Applications
"#expectile is a #risk measure that, similar to #var (quantile) and CVaR (superquantile), can be employed in #riskmanagement." LIRE
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19 mai 2023
IFRS17 Measurement of Property & Casualty Insurance Contracts
"#ifrs17 introduces the concept of a #riskadjustment that compensates #insurers for the #uncertainty about the amount and timing of the...
2 mai 2023
Geopolitical Risk and Financial Stress
"This paper investigates the relationship between #geopoliticalrisk and #financialstress using a bivariate #var model. The study uses the...
16 mars 2023
Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty
This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure...
15 mars 2023
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting Tail Risks of Monthly Us GDP
This paper proposes a novel mixed-frequency quantile vector autoregression (MF-QVAR) model that uses a #bayesian framework and...
8 nov. 2022
Stressing Dynamic Loss Models
"... we propose a reverse stress testing framework for dynamic models. Specifically, we consider a compound Poisson process over a finite...
1 nov. 2022
Difference between integrated quantiles and integrated cumulative distribution functions.
"When developing large-sample statistical inference for quantiles, also known as Values-at-Risk in finance and insurance, the usual...
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...
18 févr. 2022
Distributionally Robust Reinsurance with Value-at-Risk and Conditional Value-at-Risk
"Our model handles typical stop-loss reinsurance contracts. We show that a three-point distribution achieves the worst-case VaR of the...
31 déc. 2021
Pareto-optimal Reinsurance Under Individual Risk Constraints
"This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their...
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