Related papers: Pricing Multi-event Triggered Catastrophe Bonds Ba…
Catastrophe risk has long been recognized to pose a serious threat to the insurance sector. Catastrophe risk pooling offers an effective way to diversify losses arising from catastrophic events. In this paper, we investigate a structure of…
In this paper, we propose a new aperiodic formulation of model predictive control for nonlinear continuous-time systems. Unlike earlier approaches, we provide event-triggered conditions without using the optimal cost as a Lyapunov function…
Contemporary insurance theory is concentrated on models with different types of polices and shock events may influence the payments on some of them. Jordanova (2018) considered a model where a shock event contributes to the total claim…
This study deals with the pricing and hedging of single-tranche collateralized debt obligations (STCDOs). We specify an affine two-factor model in which a catastrophic risk component is incorporated. Apart from being analytically tractable,…
Extreme events are often multivariate in nature. A compound extreme occurs when a combination of variables jointly produces a significant impact, even if individual components are not necessarily marginally extreme. Compound extremes have…
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…
Cumulative Prospect Theory (CPT) is a modeling tool widely used in behavioral economics and cognitive psychology that captures subjective decision making of individuals under risk or uncertainty. In this paper, we propose a dynamic pricing…
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…
This work examines how the dependence structures between energy futures asset prices differ in two periods identified before and after the 2008 global financial crisis. These two periods were characterised by a difference in the number of…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we…
Accurately forecasting the impact of macroeconomic events is critical for investors and policymakers. Salient events like monetary policy decisions and employment reports often trigger market movements by shaping expectations of economic…
This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model…
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage of such a model is that we can study the…
Understanding multivariate extreme events play a crucial role in managing the risks of complex systems since extremes are governed by their own mechanisms. Conditional on a given variable exceeding a high threshold (e.g.\ traffic…
Entries of datasets are often collected only if an event occurred: taking a survey, enrolling in an experiment and so forth. However, such partial samples bias classical correlation estimators. Here we show how to correct for such sampling…
Floods are the most common and among the most severe natural disasters in many countries around the world. As global warming continues to exacerbate sea level rise and extreme weather, governmental authorities and environmental agencies are…
A predictive triggering (PT) framework for the distributed control of resource constrained multi-agent systems is proposed. By predicting future communication demands and deriving a probabilistic priority measure, the PT framework is able…
Periodic event-triggered control (PETC) evaluates the triggering rule periodically and is well-suited for implementation on digital platforms. This paper investigates PETC design for nonlinear systems affected by external disturbances under…
We consider pricing weather derivatives for use as protection against weather extremes. The method described utilizes results from spatial statistics and extreme value theory to first model extremes in the weather as a max-stable process,…