Related papers: A Natural Hedging Framework for Longevity Risk wit…

Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…

This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and…

The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…

The prevalence of dementia has increased over time as global life expectancy improves and populations age. An individual's risk of developing dementia is influenced by various genetic, lifestyle, and environmental factors, among others.…

This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive homogeneous and sub-additive risk measures. We employ Mirror Descent algorithms to determine the optimal risk…

As interconnected systems proliferate, safeguarding complex infrastructures against an escalating array of cyber threats has become an urgent challenge. The increasing number of vulnerabilities, combined with resource constraints, makes…

Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For example, hedging a portfolio of European options using RL…

We derive a composite centrality measure for general weighted and directed complex networks, based on measure standardisation and invariant statistical inheritance schemes. Different schemes generate different intermediate abstract measures…

Environmental hazards place certain individuals at disproportionately higher risks. As these hazards increasingly endanger human health, precise identification of the most vulnerable population subgroups is critical for public health.…

Strategic diagrams and co-word analysis are widely employed to examine the conceptual structure of scientific domains and their development over time. Yet a structural inconsistency characterises dominant longitudinal implementations:…

This paper deals with estimating model parameters in graphical models. We reformulate it as an information geometric optimization problem and introduce a natural gradient descent strategy that incorporates additional meta parameters. We…

Success of any IT industry depends on the success rate of their projects, which in turn depends on several factors such as cost, time, and availability of resources. These factors formulate the risk areas, which needs to be addressed in a…

This article addresses the problem of formulating efficient and reliable operational preservation policies that ensure bit-level information integrity over long periods, and in the presence of a diverse range of real-world technical, legal,…

In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…

The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

The hazard function is central to the formulation of commonly used survival regression models such as the proportional hazards and accelerated failure time models. However, these models rely on a shared baseline hazard, which, when…

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…

Introduced over a century ago, Whittaker-Henderson smoothing remains widely used by actuaries in constructing one-dimensional and two-dimensional experience tables for mortality, disability and other life insurance risks. In this paper, we…

In this paper, we propose a framework for achieving long-term fair sequential decision making. By conducting both the hard and soft interventions, we propose to take path-specific effects on the time-lagged causal graph as a quantitative…