Related papers: Continuous compliance: a proxy-based monitoring fr…
Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directive. We add to the existing literature by performing…
Measures of concordance have been widely used in insurance and risk management to summarize non-linear dependence among risks modeled by random variables, which Pearson's correlation coefficient cannot capture. However, popular measures of…
Least squares Monte Carlo methods are a popular numerical approximation method for solving stochastic control problems. Based on dynamic programming, their key feature is the approximation of the conditional expectation of future rewards by…
This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…
The project managers who deal with risk management are often faced with the difficult task of determining the relative importance of the various sources of risk that affect the project. This prioritisation is crucial to direct management…
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^p(\Omega,\mathcal F, P; R^d)$ with image space in the power set of $L^p(\Omega,\mathcal F_t,P;R^d)$.…
Accurately and efficiently estimating system performance under uncertainty is paramount in power system planning and operation. Monte Carlo simulation is often used for this purpose, but convergence may be slow, especially when detailed…
The underlying stochastic nature of the requirements for the Solvency II regulations has introduced significant challenges if the required calculations are to be performed correctly, without resorting to excessive approximations, within…
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
We propose a highly efficient and accurate methodology for generating synthetic financial market data using a diffusion model approach. The synthetic data produced by our methodology align closely with observed market data in several key…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(\rho(\lambda X))_{\lambda \ge 0}$,…
In the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement by using stochastic models of projection and valorization.…
We study the feature-scaled version of the Monte Carlo algorithm with linear function approximation. This algorithm converges to a scale-invariant solution, which is not unduly affected by states having feature vectors with large norms. The…
We introduce \textsc{CAT}, a framework designed to evaluate and visualize the \emph{interplay} of \emph{accuracy} and \emph{response consistency} of Large Language Models (LLMs) under controllable input variations, using multiple-choice…
An algorithm is proposed that enables the imposition of shape constraints on regression curves, without requiring the constraints to be written as closed-form expressions, nor assuming the functional form of the loss function. This…
Solvency II Directive 2009/138/EC requires an insurance and reinsurance undertakings assessment of a Solvency Capital Requirement by means of the so-called "Standard Formula" or by means of partial or full internal models. Focusing on the…
The paper provides a stochastic model useful for assessing the capital requirement for demographic risk. The model extends to the market consistent context classical methodologies developed in a local accounting framework. In particular we…
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an…
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…