Related papers: A Natural Hedging Framework for Longevity Risk wit…
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss…
Sparse high dimensional graphical model selection is a topic of much interest in modern day statistics. A popular approach is to apply l1-penalties to either (1) parametric likelihoods, or, (2) regularized regression/pseudo-likelihoods,…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…
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…
In this paper, we introduce some new notions of aging based on geometric, harmonic means of failure rate and aging intensity function. We define a generalized version of aging functions called specific interval-average geometric hazard…
Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other studies in mechanics give some tools and…
In this paper, we present an artificial neural network framework for portfolio compression of a large portfolio of European options with varying maturities (target portfolio) by a significantly smaller portfolio of European options with…
In data sets with many more features than observations, independent screening based on all univariate regression models leads to a computationally convenient variable selection method. Recent efforts have shown that in the case of…
Meta-analyses of survival studies aim to reveal the variation of an effect measure of interest over different studies and present a meaningful summary. They must address between study heterogeneity in several dimensions and eliminate…
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded…
Life insurance, like other forms of insurance, relies heavily on large volumes of data. The business model is based on an exchange where companies receive payments in return for the promise to provide coverage in case of an accident. Thus,…
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…
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…
Unobserved individual heterogeneity is a common challenge in population cancer survival studies. This heterogeneity is usually associated with the combination of model misspecification and the failure to record truly relevant variables. We…
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…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of unobserved prices, pricing and hedging models of the…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…