9 mars 2022Detection and treatment of outliers for multivariate robust loss reserving"Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted...
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...
24 févr. 2022Modeling Multivariate Operational Losses Via Copula-Based Distributions with G-and-H Marginals"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence...