Related papers: Jointly Exchangeable Collective Risk Models: Inter…
We introduce a numerically tractable formulation of Bayesian joint models for longitudinal and survival data. The longitudinal process is modelled using generalised linear mixed models, while the survival process is modelled using a…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric…
Many popular network models rely on the assumption of (vertex) exchangeability, in which the distribution of the graph is invariant to relabelings of the vertices. However, the Aldous-Hoover theorem guarantees that these graphs are dense or…
This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…
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…
Portfolio construction traditionally relies on separately estimating expected returns and covariance matrices using historical statistics, often leading to suboptimal allocation under time-varying market conditions. This paper proposes a…
We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks.
Interacting systems are ubiquitous in nature and engineering, ranging from particle dynamics in physics to functionally connected brain regions. These interacting systems can be modeled by graphs where edges correspond to the interactions…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…
We introduce a mean-field framework for the study of systems of interacting particles sharing a conserved quantity. The work generalises and unites the existing fields of asset-exchange models, often applied to socio-economic systems, and…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
Conformal prediction is a widely used method to quantify the uncertainty of a classifier under the assumption of exchangeability (e.g., IID data). We generalize conformal prediction to the Hidden Markov Model (HMM) framework where the…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
We study concentration inequalities for structured weighted sums of random data, including (i) tensor inner products and (ii) sequential matrix sums. We are interested in tail bounds and concentration inequalities for those structured…
Exchangeability is a fundamental concept in probability theory and statistics. It allows to model situations where the order of observations does not matter. The classical de Finetti's theorem provides a representation of infinitely…