Related papers: Pricing Multi-event Triggered Catastrophe Bonds Ba…
We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
For a typical insurance portfolio, the claims process for a short period, typically one year, is characterized by observing frequency of claims together with the associated claims severities. The collective risk model describes this…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
Extreme weather events can have severe impacts on national economies, leading the recovery of low- to middle-income countries to become reliant on foreign financial aid. Foreign aid, however, is slow and uncertain. Therefore, the Sendai…
This paper studies the tracking control problem of networked and quantized control systems under both multiple networks and event-triggered mechanisms. Multiple networks are to connect the plant and reference system with decentralized…
With climate change accelerating, the frequency of climate disasters is expected to increase in the decades to come. There is ongoing debate as to how different climatic regions will be affected by such an acceleration. In this paper, we…
This paper addresses the problem of event-triggered control for infinite-dimensional systems. We employ event-triggering mechanisms that compare the plant state and the error of the control input induced by the event-triggered…
The study of times to nonterminal events of different types and their interrelation is a compelling area of interest. The primary challenge in analyzing such multivariate event times is the presence of informative censoring by the terminal…
Most risk analysis models systematically underestimate the probability and impact of catastrophic events (e.g., economic crises, natural disasters, and terrorism) by not taking into account interconnectivity and interdependence of risks. To…
The efficient exchange of information is an essential aspect of intelligent collective behavior. Event-triggered control and estimation achieve some efficiency by replacing continuous data exchange between agents with intermittent, or…
This paper explores an optimal investment and reinsurance problem involving both ordinary and catastrophe insurance businesses. The catastrophic events are modeled as following a compound Poisson process, impacting the ordinary insurance…
This paper presents a class of event-triggering rules for dynamical control systems with guaranteed positive minimum inter-event time (MIET). We first propose an event-based function design with guaranteed control performance under a…
Despite numerous research efforts in applying deep learning to time series forecasting, achieving high accuracy in multi-step predictions for volatile time series like crude oil prices remains a significant challenge. Moreover, most…
Pricing composite and quanto contracts requires a joint model of both the underlying asset and the exchange rate. In this contribution, we explore the potential of local-correlation models to address the challenges of calibrating synthetic…
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to…
Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as opposed to the widely used Gaussian copula. The resulting…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates…