63 résultats
pour « Quantification des risques »
"Insurance fraud has been a long-lasting issue in actuarial modeling. Policyholders are prone to hide their true status in their best interest when disclosing their information for insurance pricing purposes. However, from the insurers' point of view, it is either time-consuming or laborious to verify the true status of such risk factors. There is thus a strong incentive to build models accounting for potential misrepresentation, which contributes to a more robust ratemaking system."
"We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with natural hazards (earthquakes, tsunamis, and excessive rainfall)."
"The possibilities of a Keynesian-Knightian synthesis as a way forward are considered by comparing these signposts. It is argued that, although there is some common ground between Knight and Keynes, there are fundamental differences particularly associated with Keynes’s concept of weight of argument."
"... we find the difference in decision-makers’ probability assessments between operational and non-operational risk factors is greater when assessing a proximate rather than a remote target. We contribute to the accounting literature by demonstrating how spatial distance affects probability judgments."
"Experimental results over synthetic and real problems confirm the advantages of this inference approach in its ability to accurately recover the original noise and signal matrices, as well as the achieved performance improvement in comparison to other state of art MTGP approaches."
"Learning under ambiguity generates asymmetric responses to news that help connect higher moments in micro and macro data. Survey evidence is increasingly used to provide direct evidence on ambiguity averse behavior, as well as to discipline quantitative models."
"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical simulation. Autoregressive-moving-average and generalized-autoregressive-conditional-heteroscedasticity models are used to estimate VaR."
"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. "
" In order to quantify resilience uncertainty across the network resolutions (from macro-scale network statistics to individual node dynamics), we propose an arbitrary polynomial chaos (aPC) expansion method to identify the probability of a node in losing its resilience and how the different model parameters contribute to this risk on a single node."
"... we examine the relationship between Bowley optimality and Pareto efficiency in a problem of optimal reinsurance, under fairly general preferences."