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We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations…

This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…

Many novel notions of "risk" (e.g., CVaR, tilted risk, DRO risk) have been proposed and studied, but these risks are all at least as sensitive as the mean to loss tails on the upside, and tend to ignore deviations on the downside. We study…

This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that the tail of a distribution follows a generalized Pareto…

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…

We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…

We consider the estimation of small probabilities or other risk quantities associated with rare but catastrophic events. In the model-based literature, much of the focus has been devoted to efficient Monte Carlo computation or analytical…

This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.

In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…

A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a…

In research policy, effective measures that lead to improvements in the generation of knowledge must be based on reliable methods of research assessment, but for many countries and institutions this is not the case. Publication and citation…

We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…

This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…

We extend conformal prediction to control the expected value of any monotone loss function. The algorithm generalizes split conformal prediction together with its coverage guarantee. Like conformal prediction, the conformal risk control…

This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…

This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a…

Statistical inferential results generally come with a measure of reliability for decision-making purposes. For a policy implementer, the value of implementing published policy research depends critically upon this reliability. For a policy…

Using Monte Carlo simulation to calculate the Value at Risk (VaR) as a possible risk measure requires adequate techniques. One of these techniques is the application of a compound distribution for the aggregates in a portfolio. In this…

Risk-only investment strategies have been growing in popularity as traditional in- vestment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First,…