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Found 11 papers, 1 papers with code
Optimal dynamic climate adaptation pathways: a case study of New York City
We model the severity of extreme sea level events using the block maxima approach from extreme value theory, and then develop a real options framework, factoring in climate change, sea level rise uncertainty, and the growth in asset exposure.
Life cycle insurance, bequest motives and annuity loads
A key finding of the literature is that the demand for life insurance and the demand for life annuities are symmetrical.
Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity
We argue that the choice of such methods is akin to a form of model risk and we study the risk sensitivity that arise from choices relating to the class of robust estimation adopted and the impact of the settings associated with such methods on key actuarial tasks such as premium calculation in cyber insurance.
The Nature of Losses from Cyber-Related Events: Risk Categories and Business Sectors
In this study we examine the nature of losses from cyber related events across different risk categories and business sectors.
Importance sampling for option pricing with feedforward neural networks
We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks.
Cyber Risk Frequency, Severity and Insurance Viability
We address these questions through a combination of regression models based on the class of Generalised Additive Models for Location Shape and Scale (GAMLSS) and a class of ordinal regressions.
Impact of COVID-19 type events on the economy and climate under the stochastic DICE model
We reformulate and solve the DICE model as an optimal control dynamic programming problem with six state variables (related to the carbon concentration, temperature, and economic capital) evolving over time deterministically and affected by two controls (carbon emission mitigation rate and consumption).
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
In the worst case scenario, the optimal robust strategy can be obtained in a semi-analytical form as a solution of a system of nonlinear equations.
Parsimonious Feature Extraction Methods: Extending Robust Probabilistic Projections with Generalized Skew-t
We propose a novel generalisation to the Student-t Probabilistic Principal Component methodology which: (1) accounts for an asymmetric distribution of the observation data; (2) is a framework for grouped and generalised multiple-degree-of-freedom structures, which provides a more flexible approach to modelling groups of marginal tail dependence in the observation data; and (3) separates the tail effect of the error terms and factors.
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors.
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated static and optimal behaviors of both the investor and insurer.
