Related papers: A Natural Hedging Framework for Longevity Risk wit…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
Survival analysis studies and predicts the time of death, or other singular unrepeated events, based on historical data, while the true time of death for some instances is unknown. Survival trees enable the discovery of complex nonlinear…
Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some measure of quadratic hedging error by calculating pathwise…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Accurate forecasting in the e-commerce finance domain is particularly challenging due to irregular invoice schedules, payment deferrals, and user-specific behavioral variability. These factors, combined with sparse datasets and short…
Natural hazard risk management is a demanding interdisciplinary task. It requires domain knowledge, integration of robust computational methods, and effective use of complex datasets. However, existing solutions tend to focus on specific…
Reinsurance optimization is a cornerstone of solvency and capital management, yet traditional approaches often rely on restrictive distributional assumptions and static program designs. We propose a hybrid framework that combines…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…
Recent advancements in the field of Artificial Intelligence (AI) establish the basis to address challenging tasks. However, with the integration of AI, new risks arise. Therefore, to benefit from its advantages, it is essential to…
We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted. We give precise estimates of the residual risk…
This paper examines several computer algorithms designed to assess mortality and longevity risk.
In many applications of survival data analysis, the individuals are treated in different medical centres or belong to different clusters defined by geographical or administrative regions. The analysis of such data requires accounting for…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
Obtaining the ability to make informed decisions regarding the operation and maintenance of structures, provides a major incentive for the implementation of structural health monitoring (SHM) systems. Probabilistic risk assessment (PRA) is…
%!TEX root = LCSS_main_max.tex The widespread adoption of nonlinear Receding Horizon Control (RHC) strategies by industry has led to more than 30 years of intense research efforts to provide stability guarantees for these methods. However,…
In this paper, we address the problem of providing insurance protection against heavy-tailed losses, for which the expected loss may not even be finite. The product we study is based on a combination of traditional insurance up to a given…
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe…
A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…
While most security projects have focused on fending off attacks coming from outside the organizational boundaries, a real threat has arisen from the people who are inside those perimeter protections. Insider threats have shown their power…
The purpose of this paper is to develop and illustrate certain classes of graphical plots that can be used for model verification in quite general survival data and life history data models. By suitably comparing nonparametric and…