28 août 2023Uncertainty Propagation and Dynamic Robust Risk MeasuresThe framework presents a method to quantify #uncertainty propagation in #dynamic #scenarios, focusing on discrete #stochastic processes...
21 août 2023Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information"This paper examines a #stochastic one-period #insurancemarket with incomplete information. The aggregate amount of #claims follows a...
18 août 2023Demographic Issues in Longevity Risk AnalysisThe paper discusses #modeling #longevity #risk, focusing on assumptions in #demographic #forecasting to project past data into the...
14 sept. 2022A stochastic volatility model for the valuation of temperature derivatives"This model allows to be more conservative regarding extreme events while keeping tractability. We give a method based on Conditional...