"Financial regulation will be sustainable for long horizons and uncertain risks if it removes the principle of continuity from its probabilistic background."
"This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their expected utilities of end-of-period wealth. In addition, we assume that the insurer and reinsurer wish to control their solvency risks, which are defined through distortion risk measures of their end-of-period risk exposures."
"... our results imply that when derivatives-related proprietary costs are high, benefits of non-compliance likely outweigh the costs."
"The contribution discusses the current AI Act as proposed in April 2021, thereby focusing on two particular areas: EU non- discrimination law and EU law on occupational health and safety (OSH), as these two areas are, more or less explicitly, addressed as legal fields in the AI Act."
"We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic convex risk measures. We employ a time-consistent dynamic programming principle to determine the value of a particular policy, and develop policy gradient update rules. We further develop an actor-critic style algorithm using neural networks to optimize over policies. Finally, we demonstrate the performance and flexibility of our approach by applying it to optimization problems in statistical arbitrage trading and obstacle avoidance robot control."
"The model is a comprehensive template for assessing loss and subsequently the insurance for activities in the Arctic and sub-Arctic regions. Governmental and non-government organisations alike will benefit from the tool by using it as a loss estimation mechanism for liability for ship-source oil spills."
"The Bank of England has fined Metro Bank (MTRO.L) 5.38 million pounds ($7.13 million) for failures in its regulatory reporting, it said on Wednesday, after the lender revealed an accounting blunder in 2019."
Eramet a annoncé mardi avoir identifié une fraude financière au sein de sa gestion de trésorerie au siège du groupe minier et métallurgique avec un impact financier estimé à 45 millions d’euros et avoir pris immédiatement les mesures nécessaires pour y mettre fin.
"Internally, money managers are investing in artificial intelligence and big data capabilities as well as a more seamless integration of front and back-office processes. Externally, leaders are building mobile and tablet apps and expanding their use of social media."
"Current reporting standards for insurers require a decomposition of observed profits and losses in such a way that changes in the insurer's balance sheet can be attributed to specified risk factors. Generating such a decomposition is a nontrivial task because balance sheets generally depend on the risk factors in a non-linear way. This paper starts from an axiomatic perspective on profit and loss decompositions and finds that the axioms necessarily lead to infinitesimal sequential updating (ISU) decompositions, provided that the latter exist and are stable, whereas the current practice is rather to use sequential updating (SU) decompositions. The generality of the axiomatic approach makes the results useful also beyond insurance applications wherever profits and losses shall be additively decomposed in a risk-oriented manner."