Related papers: Multivariate Density Modeling for Retirement Finan…
Recent advances in reconstruction methods for inverse problems leverage powerful data-driven models, e.g., deep neural networks. These techniques have demonstrated state-of-the-art performances for several imaging tasks, but they often do…
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
Functional covariates arise in many scientific and engineering applications when model inputs take the form of time-dependent or spatially distributed profiles, such as varying boundary conditions or changing material behaviours. In…
Pension fund populations often have mortality experiences that are substantially different from the national benchmark. In a motivating case study of Brazilian corporate pension funds, pensioners are observed to have mortality that is…
As an important tool in financial risk management, stress testing aims to evaluate the stability of financial portfolios under some potential large shocks from extreme yet plausible scenarios of risk factors. The effectiveness of a stress…
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial…
This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent…
We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…
According to recent findings [1,2], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues and the corresponding eigenvectors, their structure can…
Predicting the dependencies between observations from multiple time series is critical for applications such as anomaly detection, financial risk management, causal analysis, or demand forecasting. However, the computational and numerical…
This article presents a new model for demographic simulation which can be used to forecast and estimate the number of people in pension funds (contributors and retirees) as well as workers in a public institution. Furthermore, the model…
Complex-valued signals are used in the modeling of many systems in engineering and science, hence being of fundamental interest. Often, random complex-valued signals are considered to be proper. A proper complex random variable or process…
Reconstructing lens potentials and lensed sources can easily become an underconstrained problem, even when the degrees of freedom are low, due to degeneracies, particularly when potential perturbations superimposed on a smooth lens are…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…
Explicit quantification of uncertainty in engineering simulations is being increasingly used to inform robust and reliable design practices. In the aerospace industry, computationally-feasible analyses for design optimization purposes often…
A retiree's appetite for risk is a common input into the lifetime utility models that are traditionally used to find optimal strategies for the decumulation of retirement savings. In this work, we consider a retiree with potentially…
In general insurance, risks from different categories are often modeled independently and their sum is regarded as the total risk the insurer takes on in exchange for a premium. The dependence from multiple risks is generally neglected even…
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events…