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This paper highlights the risks of assuming finite mean or variance in statistical models, especially for datasets with heavy tails, like in finance. It stresses that infinite-mean models can lead to different or opposite outcomes, requiring caution when applying classic methods in finance and insurance.
The paper develops a machine learning algorithm using financial data to identify Italian private firms linked to organized crime. By analyzing firms with Mafia connections, it achieves a 74.9% AUC and 91.4% precision. This method serves as a risk management tool and supports legal enforcement actions.
“ESG integration enhances bank stability and competitiveness, contributing to sustainable economic development.”
The Anti-Money Laundering (AML) regime has harmonized laws globally but lacks credible data on its effectiveness. Evaluations are inconsistent and infrequent, relying on outdated data. Without systematic analysis, claims of effectiveness may be considered subjective, undermining legitimacy despite potential impacts of AML efforts.
“We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control its terminal wealth (e.g. at the end of an accounting period) and the ruin probability in a finite time interval by purchasing reinsurance… We solve the problem of finding the optimal reinsurance strategy and the corresponding maximal target functional via neural networks.”
Advancements in AI have reshaped risk analysis, emphasizing scalability, explainability, and simplified reporting. This paper urges the risk field to lead in establishing ethical standards and best practices, calling for research to develop guidelines for emerging applications in risk science."
The paper examines non-linearities in how geopolitical risk (GPR) shocks affect the economy. Using a VARX model, it finds that large GPR shocks (above 4 standard deviations) significantly increase uncertainty, leading to precautionary saving and reduced consumption, with a more moderate impact on inflation due to conflicting demand and uncertainty effects.
“ In this paper, we propose an efficient important sampling method for distortion risk measures in such models that reduces the computational cost through machine learning. We demonstrate the applicability and efficiency of the Monte Carlo method in numerical experiments on various distortion risk measures and models.”An Integrated App”
Climate risk modeling provides quantitative data on potential risks at various scales. However, integrating qualitative data and local knowledge can enhance and validate these assessments.
This study explores a Bayesian approach to Pay-As-You-Drive (PAYD) insurance, using Naive Bayes classifiers and Bayesian Networks for risk assessment. It achieved 87.5% accuracy in predicting risk and improved interpretability over traditional models, optimizing pricing strategies and promoting affordable coverage by dismissing geographic grouping in insurance pricing.