Nos derniers articles

The study proposes a method to assess #demographic #risk within the #solvencyii #regulations, using compact formulas to analyse #insurance portfolio inflows and outflows. It recommends a market-consistent valuation of liabilities for traditional and equity-linked policies. This includes evaluation of the Solvency #capitalrequirement of idiosyncratic and systematic risk, with a formula for the former and an algorithm for the latter.

The proposed φ-Divergence Quadrangle presents a refined methodology for understanding and #managing #risk, contributing to the ongoing development of #riskassessment and #riskmanagement strategies.

Proposed #actuarial #models address concerns over #longevity #risk by incorporating stalling #mortality improvements and #heatwave effects. They offer a parsimonious approach to capturing recent mortality trends and enable more accurate forecasts. Findings indicate a higher #insurance #riskpremium tolerance in longevity swaps.

The paper explores the challenges of building a #safetyculture for #ai, including the lack of consensus on #risk prioritization, a lack of standardized #safety practices, and the difficulty of #culturalchange. The authors suggest a comprehensive strategy that includes identifying and addressing #risks, using #redteams, and prioritizing safety over profitability.

This paper examines the use of #machinelearning methods in the context of #banks' #capitalrequirements, specifically the internal Ratings Based (#irb) approach. The authors discuss the advantages and risks of using machine learning in this domain, and provide recommendations related to #risk parameter estimations, #regulatory capital, the trade-off between performance and interpretability, international #banking competition, and #governance, #operationalrisk, and training.

This paper explores the evolving role of #compliance in #digitaltransformation (#dt), as corporations globally embrace technology to enhance competitiveness and address responsible, #ethical, and #sustainable practices. It analyzes the current and potential role of Compliance in DT, emphasizing the need to manage #governance, #risk, and compliance aspects and leverage #esg objectives. The authors conducted interviews with Compliance heads and facilitated a Salon attended by General Counsel and Compliance professionals. The purpose is to encourage international discussions on Compliance's role in digital transformation.

"... we find that the #bayesian approach outperforms the classical [#counterparty #risk #model] in identifying whether a model is correctly specified, which is the principal aim of any backtesting framework."

"The #eu proposal for the #artificialintelligenceact (#aia) defines four #risk categories: unacceptable, high, limited, and minimal. However, as these categories statically depend on broad fields of application of #ai systems (#ais), the risk magnitude may be wrongly estimated, and the AIA may not be enforced effectively. Our suggestion is to apply the four categories to the risk #scenarios of each AIs, rather than solely to its field of application."

"Among investor categories, #insurers and households appear to be the most exposed to #climaterisks through the intermediary of #investmentfunds. However, insurers seem to be aware of this #risk and tend to invest in funds with low exposure to brown assets."

#generativeai AI offers opportunities to enhance #operationalriskmanagement #orm through its ability to analyze #unstructureddata, #simulate #risk #scenarios, and #automate tasks. However, integrating this technology into ORM presents challenges, including #dataquality, #interpretability, #performance validation, #ethicalconsiderations, and organizational readiness.