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Empirical studies with publicly available life tables identify long-range dependence (LRD) in national mortality data. Although the longevity market is supposed to benchmark against the national force of mortality, insurers are more…
Large language model (LLM) benchmarks inform LLM use decisions (e.g., "is this LLM safe to deploy for my use case and context?"). However, benchmarks may be rendered unreliable by various failure modes that impact benchmark bias, variance,…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
The analysis of experimental data with mixed-effects models requires decisions about the specification of the appropriate random-effects structure. Recently, Barr, Levy, Scheepers, and Tily, 2013 recommended fitting `maximal' models with…
Frailty models are essential tools in survival analysis for addressing unobserved heterogeneity and random effects in the data. These models incorporate a random effect, the frailty, which is assumed to impact the hazard rate…
Many existing models struggle to predict nonlinear behavior during extreme weather conditions. This study proposes a multi-scale temporal analysis for failure prediction in energy systems using PMU data. The model integrates multi-scale…
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…
A run of all failures, a run of all successes, or complete separation in a logistic regression each tempts the analyst to declare a probability of exactly zero or one. The central message of this paper is that all three phenomena share a…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
This paper delves into the impact of natural disasters on affected populations and underscores the imperative of reducing disaster-related fatalities through proactive strategies. On average, approximately 45,000 individuals succumb…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
Joint models are well suited to modelling linked data from laboratories and health registers. However, there are few examples of joint models that allow for (a) multiple markers, (b) multiple survival outcomes (including terminal events,…
Insurance products frequently cover significant claims arising from a variety of sources. To model losses from these products accurately, actuarial models must account for high-severity claims. A widely used strategy is to apply a mixture…
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…
Consider the problem of learning a large number of response functions simultaneously based on the same input variables. The training data consist of a single independent random sample of the input variables drawn from a common distribution…
This paper proves joint convergence of the approximation error for several stochastic integrals with respect to local Brownian semimartingales, for nonequidistant and random grids. The conditions needed for convergence are that the Lebesgue…
Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities are obtained for the general risk models under weak…
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…