Nos derniers articles

#insurers have discretion to determine #solvencyii #capitalrequirements. We find that long-term guarantees measures substantially influence the reported solvency ratios. The measures are chosen particularly by less solvent insurers and firms with high interest rate and credit spread sensitivities. Internal #models are used more frequently by large insurers and especially for #risks for which the firms have already found adequate immunization 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.

This paper explores the use of #generativeai models in financial analysis within the Rumsfeldian framework of "known knowns, known unknowns, and unknown unknowns." It discusses the advantages of using #ai #models, such as their ability to identify complex patterns and automate processes, but also addresses the #uncertainties associated with generative AI, including #accuracy concerns and #ethical considerations.

"We show that classical #insurance #models based on some compound distributions can well predict #information #leakage by #cyberincidents with reducing the computational cost thanks to the model’s simplicity."

This paper focuses on predicting #corporate #default #risk using frailty correlated default #models with subjective judgments. The study uses a #bayesian approach with the Particle Markov Chain #montecarlo algorithm to analyze data from #us public non-financial firms between 1980 and 2019. The findings suggest that the volatility and mean reversion of the hidden factor have a significant impact on the default intensities of the firms.

"This paper considers some univariate and multivariate #operationalrisk#models , in which the #loss severities are modeled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some general counting processes. … The methodology is based on #capitalapproximation within the #baseliii framework (the so-called loss distribution approach)."

This paper discusses #decentralized#insurance and its various forms of #risksharing mechanisms developed worldwide. It highlights the need for a unified #mathematical framework to describe the commonalities and relationships between different forms of #peertopeer insurance. The framework allows for a comparison of existing practices and the design of hybrid and innovative #models .

"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."

Monograph on accounting disclosure by banking institutions explores banking specificities, presents workhorse models, and illustrates specific applications of the models to inform policy.

"... at least in financial terms, the associated losses can be covered by insurance contracts. The role of actuaries is to develop adequate contract structures, calculate correct premiums, and implement quantitative risk management in insurance firms."