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In this work, we study the weighted empirical risk minimization (weighted ERM) schema, in which an additional data-dependent weight function is incorporated when the empirical risk function is being minimized. We show that under a general…
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment…
Point identification of causal effects requires strong assumptions that are unreasonable in many practical settings. However, informative bounds on these effects can often be derived under plausible assumptions. Even when these bounds are…
This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management. We assess the predictive performance of optimal forecasts from…
We introduce a flexible parametric mixed effects model for correlated binary data, with parameters that can be directly interpreted as marginal odds ratios. This leads to a robust estimation equation with an optimal weighting matrix being…
The increasing penetration of renewable energy poses significant challenges to power grid reliability. There have been increasing interests in utilizing financial tools, such as insurance, to help end-users hedge the potential risk of lost…
In this work the ruin probability of the Lundberg risk process is used as a criterion for determining the optimal security loading of premia in the presence of price-sensitive demand for insurance. Both single and aggregated claim processes…
People are commonly interested in predicting a statistical property of a random event such as mean and variance. Proper scoring rules assess the quality of predictions and require that the expected score gets uniquely maximized at the…
The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the…
A meticulous assessment of the risk of impacts associated with extreme wind events is of great necessity for populations, civil authorities as well as the insurance industry. Using the concept of spatial risk measure and related set of…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
Our primary aim is to find an estimate of the expected shortfall in various situations: (1) Nonparametric situation, when the probability distribution of the incurred loss is unknown, only satisfying some general conditions. Then, following…
Index insurance is a promising tool to reduce the risk faced by farmers, but high basis risk, which arises from imperfect correlation between the index and individual farm yields, has limited its adoption to date. Basis risk arises from two…
Several problems in statistics involve the combination of high-variance unbiased estimators with low-variance estimators that are only unbiased under strong assumptions. A notable example is the estimation of causal effects while combining…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admissible indemnities are such that both the indemnity and…