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This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
A usual reinsurance policy for insurance companies admits one or two layers of the payment deductions. Under optimal criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer's total risk, this article…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
We present an optimized rerandomization design procedure for a non-sequential treatment-control experiment. Randomized experiments are the gold standard for finding causal effects in nature. But sometimes random assignments result in…
We show that empirical risk minimization procedures and regularized empirical risk minimization procedures satisfy nonexact oracle inequalities in an unbounded framework, under the assumption that the class has a subexponential envelope…
We develop a novel Empirical Bayes methodology for prediction under check loss in high-dimensional Gaussian models. The check loss is a piecewise linear loss function having differential weights for measuring the amount of underestimation…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…
Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…
A new semi-parametric Expected Shortfall (ES) estimation and forecasting framework is proposed. The proposed approach is based on a two-step estimation procedure. The first step involves the estimation of Value-at-Risk (VaR) at different…
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which…
The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…
We propose a resilience-based framework for computing feasible assume-guarantee contracts that ensure the satisfaction of temporal specifications in interconnected discrete-time systems. Interconnection effects are modeled as structured…
Tuning parameters are parameters involved in an estimating procedure for the purpose of reducing the risk of some other estimator. Examples include the degree of penalization in penalized regression and likelihood problems, as well as the…
Constructed facilities should be robust with respect to the loss of load-bearing elements due to abnormal events. Yet, strengthening structures to withstand such damage has a significant impact on construction costs. Strengthening costs…
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as…
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…
Nonparametric series regression often involves specification search over the tuning parameter, i.e., evaluating estimates and confidence intervals with a different number of series terms. This paper develops pointwise and uniform inferences…
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance depend on the number of claims the driver…
This paper investigates asymptotic properties of algorithms that can be viewed as robust analogues of the classical empirical risk minimization. These strategies are based on replacing the usual empirical average by a robust proxy of the…