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This paper investigates how dispersion in banks' subjective inflation forecasts is a channel of the transmission of monetary policy to credit supply. We extend the Monti-Klein model of monopolistic banking by incorporating risk aversion,…
The causal compatibility question asks whether a given causal structure graph -- possibly involving latent variables -- constitutes a genuinely plausible causal explanation for a given probability distribution over the graph's observed…
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
Recent transformative and disruptive advancements in the insurance industry have embraced various InsurTech innovations. In particular, with the rapid progress in data science and computational capabilities, InsurTech is able to integrate a…
Power-law inflation has stood as a classical model in inflationary cosmology since the early 1980s, prized for its exact analytical solutions and ability to naturally resolve the Big Bang theory's horizon and flatness problems through…
Extreme weather events are becoming more common, with severe storms, floods, and prolonged precipitation affecting communities worldwide. These shifts in climate patterns pose a direct threat to the insurance industry, which faces growing…
This paper develops a dynamic equilibrium model of the insurance market that jointly characterizes insurers' underwriting, investment, recapitalization, and dividend policies under model uncertainty and financial frictions. Competitive…
Insurance industry is one of the most vulnerable sectors to climate change. Assessment of future number of claims and incurred losses is critical for disaster preparedness and risk management. In this project, we study the effect of…
Sentiment analysis has been widely used by businesses for social media opinion mining, especially in the financial services industry, where customers' feedbacks are critical for companies. Recent progress of neural network models has…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
Index insurance is often proposed to reduce protection gaps, especially for emerging risks. Unlike traditional insurance, it bases compensation on a measurable index, enabling faster payouts and lower claim management costs. This approach…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
The presence of multiple fields during inflation might seed a detectable amount of non-Gaussianity in the curvature perturbations, which in turn becomes observable in present data sets like the cosmic microwave background (CMB) or the large…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
This paper develops a practical framework for using observational data to audit the consumer surplus effects of AI-driven decisions, specifically in targeted pricing and algorithmic lending. Traditional approaches first estimate demand…
Studies of the initial conditions for inflation have conflicting predictions from exponential suppression to inevitability. At the level of phase space, this conflict arises from the competing intuitions of CPT invariance and…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
Inflation has been the driving idea in cosmology for two decades and is a pillar of the New Cosmology. The inflationary paradigm has now passed its first round of significant tests, with two of its three basics predictions confirmed at…