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Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
The Solvency Capital Requirement (SCR) calculation is computationally intensive, relying on the market-consistent estimation of own funds. While Solvency II prioritizes the direct valuation method, it theoretically yields the same value as…
In epidemiological or demographic studies, with variable age at onset, a typical quantity of interest is the incidence of a disease (for example the cancer incidence). In these studies, the individuals are usually highly heterogeneous in…
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on…
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model…
We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
In this work we deal with correlated failure time (age at onset) data arising from population-based case-control studies, where case and control probands are selected by population-based sampling and an array of risk factor measures is…
The growing number of infectious disease outbreaks, like the one caused by the SARS-CoV-2 virus, underscores the necessity of actuarial models that can adapt to epidemic-driven risks. Traditional life insurance frameworks often rely on…
The collective risk model differentiates usually between claims frequencies (and their distribution) and claim sizes (and their distribution). For the claims frequencies typically classical discrete distributions are considered, such as…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insurer is concerned with relative performance under the…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…