Related papers: Loss Distribution Approach for Operational Risk Ca…
Insurance products frequently cover significant claims arising from a variety of sources. To model losses from these products accurately, actuarial models must account for high-severity claims. A widely used strategy is to apply a mixture…
In the last four years, the number of distinct autonomous vehicles platforms deployed in the streets of California increased 6-fold, while the reported accidents increased 12-fold. This can become a trend with no signs of subsiding as it is…
A fundamental assumption of most machine learning algorithms is that the training and test data are drawn from the same underlying distribution. However, this assumption is violated in almost all practical applications: machine learning…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
Today's business organizations need access control systems that can handle complex, changing security requirements that go beyond what traditional methods can manage. Current approaches, such as Role-Based Access Control (RBAC),…
An ordinal classification problem is one in which the target variable takes values on an ordinal scale. Nowadays, there are many of these problems associated with real-world tasks where it is crucial to accurately classify the extreme…
Large-scale international collaborations such as ATLAS rely on globally distributed workflows and data management to process, move, and store vast volumes of data. ATLAS's Production and Distributed Analysis (PanDA) workflow system and the…
Organisations are starting to adopt LLM-based AI agents, with their deployments naturally evolving from single agents towards interconnected, multi-agent networks. Yet a collection of safe agents does not guarantee a safe collection of…
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business models of the 365 largest European banks that is suitable…
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…
Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed lending standards, and the perception of irrational behaviour by speculative investors in real estate and other assets. Asset backed securities have been extensively…
We study two Bayesian (Reference Intrinsic and Jeffreys prior) and two frequentist (MLE and PWM) approaches to calibrating the Pareto and related distributions. Three of these approaches are compared in a simulation study and all four to…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
Risks and potential benefits of distributing software development projects globally depend to a large extent on how to allocate work to different development sites and regions. Existing methods in task allocation are likely to omit the…
The entry of new technological infrastructures into the financial markets poses serious concerns about the misuse of the economic system for illicit purposes, such as money laundering and financing of terrorism. Although there are cases in…
In the highly complex and stochastic global, supply chain environments, local enterprise agents seek distributed and dynamic strategies for agile responses to disruptions. Existing literature explores both centralized and distributed…
For large-scale industrial processes under closed-loop control, process dynamics directly resulting from control action are typical characteristics and may show different behaviors between real faults and normal changes of operating…
According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
Nowadays, companies are highly exposed to cyber security threats. In many industrial domains, protective measures are being deployed and actively supported by standards. However the global process remains largely dependent on document…