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3 résultats pour « maths »

Risk sharing, measuring variability, and distortion riskmetrics

9 févr. 2023 Autre, riskmanagement, insurance, risksharing, maths, paretooptimal, riskmetrics

"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."

A Mathematical Model for Risk Assessment of Social Engineering Attacks

22 août 2022 Autre, cybersecurity, riskassessment, modelling, maths, simulation, socialengineering

"Social engineering is a very common type of malicious activity conducted on cyberspace that targets both individuals and companies in order to gain access to information or systems. It is part of the broader domain of cybersecurity and the first step to mitigate this type of attack is to know its attack vectors. This way, the risk of becoming a victim of this type of attack can be reduced by technical means, proper security culture and procedural solutions..."

A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups

1 juin 2022 Autre, machinelearning, stochastic, maths, rating

"... we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose values are valid rating matrices, we noticed the geometric properties of stochastic matrices and its link to matrix Lie groups."

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