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We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…

Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…

Initial margin requirements are becoming an increasingly common feature of derivative markets. However, while the valuation of derivatives under collateralisation (Piterbarg 2010, Piterbarg2012), under counterparty risk with unsecured…

Quasi-Monte Carlo methods are used for numerically integrating multivariate functions. However, the error bounds for these methods typically rely on a priori knowledge of some semi-norm of the integrand, not on the sampled function values.…

Monte Carlo (MC) simulations of many systems, in particular those with conflicting constraints, can be considerably speeded up by using multicanonical or related methods. Some of these approaches sample with a-priori unknown weight factors.…

This study deals with the pricing and hedging of single-tranche collateralized debt obligations (STCDOs). We specify an affine two-factor model in which a catastrophic risk component is incorporated. Apart from being analytically tractable,…

Computational models of the cardiovascular system are increasingly used for the diagnosis, treatment, and prevention of cardiovascular disease. Before being used for translational applications, the predictive abilities of these models need…

Covariate imbalance between treatment groups makes it difficult to compare cumulative incidence curves in competing risk analyses. In this paper we discuss different methods to estimate adjusted cumulative incidence curves including inverse…

We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…

In this paper, we consider a Monte Carlo simulation method (MinMC) that approximates prices and risk measures for a range $\Gamma$ of model parameters at once. The simulation method that we study has recently gained popularity [HS20, FPP22,…

We propose a novel approximate factor model tailored for analyzing time-dependent curve data. Our model decomposes such data into two distinct components: a low-dimensional predictable factor component and an unpredictable error term. These…

It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional…

A key driver of Credit Value Adjustment (CVA) is the possible dependency between exposure and counterparty credit risk, known as Wrong-Way Risk (WWR). At this time, addressing WWR in a both sound and tractable way remains challenging:…

Claim frequency data in insurance records the number of claims on insurance policies during a finite period of time. Given that insurance companies operate with multiple lines of insurance business where the claim frequencies on different…

We propose a method for Monte Carlo simulations of systems with a complex action. The method has the advantages of being in principle applicable to any such system and provides a solution to the overlap problem. We apply it in random matrix…

We propose a novel framework for approximate factor models that integrates an S-vine copula structure to capture complex dependencies among common factors. Our estimation procedure proceeds in two steps: first, we apply principal component…

Monte Carlo integration becomes prohibitively expensive when each sample requires a high-fidelity model evaluation. Multi-fidelity uncertainty quantification methods mitigate this by combining estimators from high- and low-fidelity models,…

Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure, which is defined as the potential future loss of a default…

We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation…

A critical problem in the financial world deals with the management of risk, from regulatory risk to portfolio risk. Many such problems involve the analysis of securities modelled by complex dynamics that cannot be captured analytically,…