Nos derniers articles

"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. "

"The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk … We demonstrate how to quantify the effect of model risk in this analysis by incorporating various robust estimators for key model parameter estimates that apply in both marginal and joint cyber risk loss process modelling."

"... we do not find a distinct pattern between the frequency of events, the loss severity, and the number of affected records as often alluded to in the literature. We also analyse the severity distribution of cyber related events across all risk categories and business sectors. This analysis reveals that cyber risks are heavy-tailed, i.e., cyber risk events have a higher probability to produce extreme losses than events whose severity follows an exponential distribution. Furthermore, we find that the frequency and severity of cyber related losses exhibits a very dynamic and time varying nature."

"Insurers are faced with a lack of consumer trust in whether premiums are established in an objective and fair manner and that claims are adequately dealt with and paid without delay. In trying to balance between consumers interests and business interests there is a risk that insurers will go too far using personal data and increasingly automated decision-making crossing the line between what is still legal and ethical."

"Contributing to the discussion on the interpretation and use of the right to data portability this paper looks specifically at the role for Article 20 of the General Data Protection Directive to help insurers gain access to personal data they would otherwise not have access to. As proposed in this paper there is potential for data portability to play a role in providing for access to vehicle data... "

"We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies."

"Our model handles typical stop-loss reinsurance contracts. We show that a three-point distribution achieves the worst-case VaR of the total retained loss of the insurer, from which the closed-form solutions of the worst-case distribution and optimal deductible are obtained. Moreover, we show that the worst-case Conditional Value-at-Risk of the total retained loss of the insurer is equal to the worst-case VaR, and thus the optimal deductible is the same in both cases."

" In order to quantify resilience uncertainty across the network resolutions (from macro-scale network statistics to individual node dynamics), we propose an arbitrary polynomial chaos (aPC) expansion method to identify the probability of a node in losing its resilience and how the different model parameters contribute to this risk on a single node."

"The discussion includes both de jure and de facto effects, including China’s explicit laws, recent enforcement actions in the European Union, and proposed privacy legislation in India. The focus is on effects on cybersecurity defense, rather than offensive cyber measures"

"The aim is the design of a risk class independent approach, such that the model validation framework can be equally rolled out over all model dependent functions of a bank. The focus is on structural considerations."