Related papers: Quantifying Social Inflation in Liability Insuranc…
Climate change is widely expected to increase weather related damage and the insurance claims that result from it. This will increase insurance premiums, in a way that is independent of a customer's contribution to the causes of climate…
Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived,…
We implement traditional machine learning and deep learning methods for global tweets from 2017-2022 to build a high-frequency measure of the public's sentiment index on inflation and analyze its correlation with other online data sources…
An extension of the nonlinear feedback (NLF) formalism to describe regimes of hyper- and high-inflation in economy is proposed in the present work. In the NLF model the consumer price index (CPI) exhibits a finite time singularity of the…
Timely monetary policy decision-making requires timely core inflation measures. We create a new core inflation series that is explicitly designed to succeed at that goal. Precisely, we introduce the Assemblage Regression, a generalized…
The empirical literature provides mixed results on the relationship between inflation and unemployment, therefore, there is no consensus on validity and stability of the Phillips Curve. It also seems to be closely related with…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
A correction to the Quartic Hilltop inflationary model is proposed to account for stabilising terms in the potential. We derive analytical predictions for the spectral index $n_s$ and tensor-scalar ratio $r$ which lie within the Planck 2018…
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…
Growth-at-Risk has recently become a key measure of macroeconomic tail-risk, which has seen it be researched extensively. Surprisingly, the same cannot be said for Inflation-at-Risk where both tails, deflation and high inflation, are of key…
In the current insurance literature, prediction of insurance claims in the regression problem is often performed with a statistical model. This model-based approach may potentially suffer from several drawbacks: (i) model misspecification,…
We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…
We present a model of power law inflation generated by variation of the strong coupling constant. We then extend the model to two varying coupling constants which leads to a potential consisting of a linear combination of exponential terms.…
In this work, we examine cosmological constraints on models of composite inflation based on the slow-roll approximation by using the recent Planck measurement. We compare the spectral index of curvature perturbation (and its running) and…
Inflation is one of the most important macroeconomic indicators that have a great impact on the population of any country and region. Inflation is influenced by range of factors, one of which is inflation expectations. Many central banks…
Quantifying the impact of regulatory policies on social welfare generally requires the identification of counterfactual distributions. Many of these policies (e.g. minimum wages or minimum working time) generate mass points and/or…
Linear models that contain a time-dependent response and explanatory variables have attracted much interest in recent years. The most general form of the existing approaches is of a linear regression model with autoregressive moving average…
Consumer Debt has risen to be an important problem of modern societies, generating a lot of research in order to understand the nature of consumer indebtness, which so far its modelling has been carried out by statistical models. In this…
We discuss an inflationary scenario based on Lovelock terms. These higher order curvature terms can lead to inflation when there are more than three spatial dimensions. Inflation will end if the extra dimensions are stabilised, so that at…