31 mars 2022Optimal reinsurance under terminal value constraints"…. the surplus of an insurance company is routinely approximated by a Brownian motion, as opposed to the geometric Brownian motion used...
24 mars 2022Bivariate Distribution Regression with Application to Insurance Data"Unlike the existing parametric approaches, our method is simple yet flexible to encapsulate distributional dependence structures of...
24 févr. 2022Vine Copula Modelling Dependence Among Cyber Risks: A Dangerous Regulatory Paradox" In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox...
24 févr. 2022Evaluation of Backtesting on Risk Models Based on Data Envelopment Analysis"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical...