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We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk…
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem…
Aging, as defined in terms of the slope of the probability of death versus time (hazard curve), is a generic phenomenon observed in nearly all complex systems. Theoretical models of aging predict hazard curves that monotonically increase in…
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…
Most papers implicitly assume competing risks to be induced by residual cohort heterogeneity, i.e. heterogeneity that is not captured by the recorded covariates. Based on this observation we develop a generic statistical description of…
Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…
The Adult Changes in Thought (ACT) study is a long-running prospective study of incident all-cause dementia and Alzheimer's disease (AD). As the cohort ages, death (a terminal event) is a prominent competing risk for AD (a non-terminal…
Spurious association arises from covariance between propensity for the treatment and individual risk for the outcome. For sensitivity analysis with stochastic counterfactuals we introduce a methodology to characterize uncertainty in causal…
Designing dynamic portfolio insurance strategies under market conditions switching between two or more regimes is a challenging task in financial economics. Recently, a promising approach employing the value-at-risk (VaR) measure to assign…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical…
We study the population profile in a simple discrete time model of population dynamics. Our model, which is closely related to certain ``bit-string'' models of evolution, incorporates competition for resources via a population dependent…
In economic applications, model averaging has found principal use examining the validity of various theories related to observed heterogeneity in outcomes such as growth, development, and trade.Though often easy to articulate, these…
This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in this context constitutes in the proper…
Genetic data are often used to infer demographic history and changes or detect genes under selection. Inferential methods are commonly based on models making various strong assumptions: demography and population structures are supposed…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…