Related papers: Modeling and measuring incurred claims risk liabil…

This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…

Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…

Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in…

We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…

The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…

We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…

We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail…

In this paper, we generalise the results presented in the literature for the ruin probability for the insurer--reinsurer model under a pro-rata reinsurance contract. We consider claim amounts that are described by a phase-type distribution…

In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a…

We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…

This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…

Capital allocation is a procedure for quantifying the contribution of each source of risk to aggregated risk. The gradient allocation rule, also known as the Euler principle, is a prevalent rule of capital allocation under which the…

Trade credit insurance (TCI) is a specialized line of property and casualty insurance, protecting businesses against financial losses due to buyer's insolvency. Predictive modeling for TCI claims poses formidable challenges due to the…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

We introduce a stochastic model that describes the quasi-static dynamics of an electric transmission network under perturbations introduced by random load fluctuations, random removing of system components from service, random repair times…

Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the micro-level approach, which estimates reserves at the…

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…

The aim of this paper is to introduce a method for computing the allocated Solvency II Capital Requirement (SCR) of each Risk which the company is exposed to, taking in account for the diversification effect among different risks. The…

Modeling the dependence between multiple risk types is a central challenge in contemporary insurance risk management. The standard approaches, L\'evy copulas and zero-mixed models, often face practical difficulties in simulation and…

As a physical fact, randomness is an inherent and ineliminable aspect in all physical measurements and engineering production. As a consequence, material parameters, serving as input data, are only known in a stochastic sense and thus, also…