Related papers: Extended Reduced-Form Framework for Non-Life Insur…
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defined by price and intrinsic liquidity. We establish a…
Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows. Here, in the setting of a Dutch mortgage provider, we…
This paper proposes a use of an ordinal classifier to evaluate the financial solidity of non-life insurance companies as strong, moderate, weak, and insolvency. This study constructed an efficient classification model that can be used by…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
For a typical insurance portfolio, the claims process for a short period, typically one year, is characterized by observing frequency of claims together with the associated claims severities. The collective risk model describes this…
This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex analytical formula, the error bootstrap…
We develop a transparent and fully auditable LLM-based pipeline for macro-financial stress testing, combining structured prompting with optional retrieval of country fundamentals and news. The system generates machine-readable macroeconomic…
The ability to robustly and efficiently control the dynamics of nonlinear systems lies at the heart of many current technological challenges, ranging from drug delivery systems to ensuring flight safety. Most such scenarios are too complex…
We adapt Leland's dynamic capital structure model to the context of an insurance company selling participating life insurance contracts explaining the existence of life insurance contracts which provide both a guaranteed payment and surplus…
A new framework is developed for control of constrained nonlinear systems with structured parametric uncertainties. Forward invariance of a safe set is achieved through online parameter adaptation and data-driven model estimation. The new…
Scarcity of hydrocarbon resources and high exploration risks motivate the development of high fidelity algorithms and computationally viable approaches to exploratory geophysics. Whereas early approaches considered least-squares…
Excess hazard modeling is one of the main tools in population-based cancer survival research. Indeed, this setting allows for direct modeling of the survival due to cancer even in the absence of reliable information on the cause of death,…
This paper presents a simplified likelihood framework designed to facilitate the reuse, reinterpretation and combination of LHC experimental results. The framework is based on the same underlying structure as the widely used HistFactory…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default correlation between the two. Indeed, the…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show…
We present neural frailty machine (NFM), a powerful and flexible neural modeling framework for survival regressions. The NFM framework utilizes the classical idea of multiplicative frailty in survival analysis to capture unobserved…
Accurate forecasting in the e-commerce finance domain is particularly challenging due to irregular invoice schedules, payment deferrals, and user-specific behavioral variability. These factors, combined with sparse datasets and short…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…