772 résultats pour « Autre »

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context

“We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution. These results give (re)insurers a practical solution to portfolio optimization under market regulatory constraints, i.e. a certain level of risk.”

An Innovative Attention‑based Ensemble System for Credit Card Fraud Detection

This study proposes an attention-based ensemble model for detecting credit card fraud, integrating classifiers' predictions using two aggregation operators (DOWA and IOWA). The model, which selects key features via a bootstrap forest, achieves 99.95% accuracy and a perfect AUC of 1, demonstrating the effectiveness of AI in fraud detection.

How Ai Systems Reflect, Perpetuate, and Exacerbate Organisational Biases

The research shows that AI biases often stem from organizational pressures like cost, risk, competition, and compliance, influencing development before technical factors are considered. These biases reflect broader societal and commercial contexts, with ethical considerations often sidelined. Recommendations focus on assessing technology's impact and organizational influences on AI biases.

Crowdfunding Fraud Detection: A Systematic Review Highlights AI and Blockchain using Topic Modeling

“… this research provides valuable insights into the complexity of detecting and preventing fraudulent activities in crowdfunding and highlights effective detection techniques that, if implemented, offer promising solutions to enhance platform reputation and ensure regulatory compliance.”

Optimal mutual insurance against systematic longevity risk

"We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing condition. This enables an insurance market to be established even if the two funds face the same mortality risk, so long as they have different risk preferences. Provided the preferences of the two funds are not too dissimilar, insurance provides little benefit, implying the base scheme is effectively optimal. When preferences vary significantly, insurance can be beneficial."

How loss reduction costs and testing for severity risk affect insurance decisions

This paper explores moral hazard in insurance when individuals test for risk severity. It highlights how regulations and loss reduction costs impact behavior. Monetary costs lead to uniform loss reduction, while convex costs drive higher-risk individuals to reduce losses more. Insurers can incentivize risk discovery and reduction through tailored contracts.

Distributionally robust insurance under the Wasserstein distance

This paper explores optimal insurance contracting for a decision maker facing ambiguous loss distributions. Using a p-Wasserstein ball around a benchmark distribution and a convex distortion risk measure, the indemnity function and worst-case distribution are derived. Numerical examples highlight the sensitivity of worst-case distributions to model parameters.Distributionally robust insurance under the Wasserstein distance

Insurance Firms and ESG Policies: The Effect on Default Risk Effect and Riskiness

This research examines how ESG performance impacts default probability (PD) in life and non-life insurance firms. Findings show that improved ESG practices reduce both short-term and long-term PD, benefiting credit ratings and financial stability. Policymakers and managers can use this to enhance risk management and sustainable finance strategies.

Beyond the Dikes: Flood Scenarios for Financial Stability Risk Analysis

This study assesses flood-related financial stability risks in the Netherlands through diverse scenarios for bank stress tests. Results show varying impacts on bank capital, amplified by climate change. Stronger defenses can mitigate some effects, and there's a non-linear relationship between flood damages and capital depletion, emphasizing extreme scenario consideration.