Nos derniers articles

"Our model yields richer separating Nash equilibria than pure moral hazard and pure adverse selection models, although separating Nash equilibria may not exist in some cases. It also retains some properties, for example, no full insurance and the positive correlation between insurance coverage and risk type, in those benchmark models. Our study on comparative statics indicates that, under some conditions and with some exceptions, the optimal indemnity and premium decrease with disutility from effort, increase with potential loss, and decrease with the initial wealth of the insured."

This article offers a #riskmanagement framework specifically designed for the #insurance and #reinsurance industries to analyze the #capitalallocation of risk, capital budgeting, and capital structure decisions.

"After reviewing the main characteristics of cyber risk, we consider the three layers of cyber space: hardware, software and psycho-cognitive layer."

"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk measures encouraging well-understood prudent decisions over (less understood) risky ones. From this perspective robust regulation should be a desirable goal. To achieve such an objective, simple – but not simpler – rules are needed."

"We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion riskmetrics, which include many statistical measures of risk and variability used in portfolio optimization and insurance."

"The purpose of this article is to highlight the importance of taking a holistic approach to cyber. In particular, we argue that actuarial modelling should not be viewed stand-alone, but rather as an integral part of an interconnected value chain with other processes such as cyber-risk assessment and cyber-claims settlement."

"We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion riskmetrics, which include many statistical measures of risk and variability used in portfolio optimization and insurance."

"We study blockchain adoption in insurance-reinsurance markets. Operating costs decrease with the adoption rate, since verification and storage costs are shared. We quantify how the equilibrium adoption decisions depend on contract characteristics, risk aversions, potential losses and cost structure. The reinsurance firm internalizes the benefits of adoption on other insurance firms, acting as a central planner. We characterize the adoption gap between decentralized (Nash) and centralized blockchain consortium."

"We aim to analyze strategies for assessing and managing new risks that affect the insurance industry, considering the regulatory requirements that the company must follow. To this end, the open-source software Climada was examined. This software uses stochastic forecasting models such as ARCH, GARCH, and ARIMA. Through real data obtained during an internship at E&Y, it was determined that these models can be a useful tool for insurance companies when dealing with extreme risks. This includes their exposure and solvency. Additionally, the study explores issues related to climate change"

"... we study the behavior of the asymptotic tail distribution of independent sums of heavy-tailed random vectors under the paradigm of multivariate regular variation. Assessment of such tail probabilities are of interest in risk management for many finance, insurance, queueing, and environmental applications. Multidimensional tail events are often characterized by at least one variable exceeding a high threshold, and the asymptotic probability of such events follow the so-called “one large jump” principle..."