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Shapley values has established itself as one of the most appropriate and theoretically sound frameworks for explaining predictions from complex machine learning models. The popularity of Shapley values in the explanation setting is probably…
A new class of integer-valued autoregressive models with dynamic survival probability is proposed. The peculiarity of this class of models lies on the specification of the survival probability through a stochastic recurrence equation. The…
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…
We propose a risk neutral approach to forecast the cashflows of music catalogs, based on historical revenue data. We use a discounted cashflows formula to produce reasonable ranges of multipliers for these assets, based on the age of the…
We introduce capital flow constraints, loss of good will and loan to the lot sizing problem. Capital flow constraint is different from traditional capacity constraints: when a manufacturer launches production, its present capital should not…
Algorithmic pricing is the computational problem that sellers (e.g., in supermarkets) face when trying to set prices for their items to maximize their profit in the presence of a known demand. Guruswami et al. (2005) propose this problem…
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
The value-at-risk of a delta-gamma approximated derivatives portfolio can be computed by numerical integration of the characteristic function. However, while the choice of parameters in any numerical integration scheme is paramount, in…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
Lognormal random variables appear naturally in many engineering disciplines, including wireless communications, reliability theory, and finance. So, too, does the sum of (correlated) lognormal random variables. Unfortunately, no closed form…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
Risk adjustment in health care aims to redistribute payments to insurers based on costs. However, risk adjustment formulas are known to underestimate costs for some groups of patients. This undercompensation makes these groups unprofitable…
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…
Return-risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial institutions are subjected to limited liability protection.…
The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the…
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it…
We consider the problem of computing bounds for causal queries on causal graphs with unobserved confounders and discrete valued observed variables, where identifiability does not hold. Existing non-parametric approaches for computing such…
This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial…