Related papers: A Natural Hedging Framework for Longevity Risk wit…
This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent…
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of…
Hazard functions play a central role in survival analysis, providing insight into the underlying risk dynamics of time-to-event data, with broad applications in medicine, epidemiology, and related fields. First-order ordinary differential…
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations…
Recent advances in machine learning make it possible to design efficient prediction algorithms for data sets with huge numbers of parameters. This paper describes a new technique for "hedging" the predictions output by many such algorithms,…
Heterogeneity is a dominant factor in the behaviour of many biological processes. Despite this, it is common for mathematical and statistical analyses to ignore biological heterogeneity as a source of variability in experimental data.…
This paper introduces marginal fairness, a new individual fairness notion for equitable decision-making in the presence of protected attributes such as gender, race, and religion. This criterion ensures that decisions based on generalized…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
Providing a comprehensive view of the city operation and offering useful metrics for decision making is a well known challenge for urban risk analysis systems. Existing systems are, in many cases, generalizations of previous domain specific…
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
We study neural networks as nonparametric estimation tools for the hedging of options. To this end, we design a network, named HedgeNet, that directly outputs a hedging strategy. This network is trained to minimise the hedging error instead…
The best known methods for estimating hazard rate functions in survival analysis models are either purely parametric or purely nonparametric. The parametric ones are sometimes too biased while the nonparametric ones are sometimes too…
Uncertainties in renewable energy resources (RES) and load variations can lead to elevated system operational costs. Moreover, the emergence of large-scale distributed threats, such as load-altering attacks (LAAs), can induce substantial…
Maintaining the predictive performance of pricing models is challenging when insurance portfolios and data-generating mechanisms evolve over time. Focusing on non-life insurance, we adopt the concept-drift terminology from machine learning…
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing…
In academic literature portfolio risk management and hedging are often versed in the language of stochastic control and Hamilton--Jacobi--Bellman~(HJB) equations in continuous time. In practice the continuous-time framework of stochastic…
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term…
Hedges and other linear woody features provide valuable ecosystem services, particularly within intensively managed agricultural landscapes. They are key elements for climate adaptation and biodiversity amongst others not only due to a…