Related papers: Variants of the Smith-Wilson method with a view to…
The objective of the present paper is to analyse various features of the Smith-Wilson method used for discounting under the EU regulation Solvency II, with special attention to hedging. In particular, we show that all key rate duration…
Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, the standard assumption is independence between market risks and the counterparty defaults and funding costs. This typical industrial…
In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: o calculating the \textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC…
Especially in the insurance industry interest rate models play a crucial role e.g. to calculate the insurance company's liabilities, performance scenarios or risk measures. A prominant candidate is the 2-Additive-Factor Gaussian Model…
The Solvency Capital Requirement (SCR) calculation is computationally intensive, relying on the market-consistent estimation of own funds. While Solvency II prioritizes the direct valuation method, it theoretically yields the same value as…
We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal…
We consider a method of pairwise variations for smooth optimization problems, which involve polyhedral constraints. It consists in making steps with respect to the difference of two selected extreme points of the feasible set together with…
Least-squares fits are an important tool in many data analysis applications. In this paper, we review theoretical results, which are relevant for their application to data from counting experiments. Using a simple example, we illustrate the…
This paper introduces weighted finite difference methods for numerically solving dispersive evolution equations with solutions that are highly oscillatory in both space and time. We consider a semiclassically scaled cubic nonlinear…
We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of…
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem…
A celebrated impossibility result by Myerson and Satterthwaite (1983) shows that any truthful mechanism for two-sided markets that maximizes social welfare must run a deficit, resulting in a necessity to relax welfare efficiency and the use…
Combining information from multiple samples is often needed in biomedical and economic studies, but the differences between these samples must be appropriately taken into account in the analysis of the combined data. We study estimation for…
We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all…
We propose a bivariate quantile regression method for the bivariate varying coefficient model through a directional approach. The varying coefficients are approximated by the B-spline basis and an $L_{2}$ type penalty is imposed to achieve…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
We introduce adaptive sampling methods for stochastic programs with deterministic constraints. First, we propose and analyze a variant of the stochastic projected gradient method where the sample size used to approximate the reduced…
We consider fitting a bivariate spline regression model to data using a weighted least-squares cost function, with weights that sum to one to form a discrete probability distribution. By applying the principle of maximum entropy, the weight…
Within the Own Risk and Solvency Assessment framework, the Solvency II directive introduces the need for insurance undertakings to have efficient tools enabling the companies to assess the continuous compliance with regulatory solvency…