"Evidence that the COVID-19 pandemic had minimal effect on operational risk losses in 2020 is presented and the effect of model risk is emphasized. Our results show that the existence or otherwise of significant correlations depends on the regression model used, whether data series show trends, the time window concerned, geographical location and the type of financial institution."
top of page
Rechercher
Posts récents
Voir toutThis paper adapts Gouriéroux and Monfort's (2021) model risk framework to property and casualty insurance, focusing on policy-level data....
This paper explores optimal insurance contracting for a decision maker facing ambiguous loss distributions. Using a p-Wasserstein ball...
This research examines how ESG performance impacts default probability (PD) in life and non-life insurance firms. Findings show that...
bottom of page
Comments