This paper examines SVB's failure and its impact on bank stocks.
problem SVB failure and its contagion effects on bank stocks.
method Analyzed bank-specific vulnerabilities and stock performance.
result Uninsured deposits and unrealized losses were key factors in SVB's impact.
A second order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditions at the singular points, and some natural assumptions, the problem is a singular initial problem with limit normalizing conditions at inf…
Bank deposits are analyzed as having dual characteristics, akin to quantum physics.
problem Understanding the dual nature of bank deposits.
method Application of quantum physics concepts to bank deposits.
result Bank deposits have a hybrid nature, combining debt and equity features.
Analysis finds no evidence of banks managing deposit run risk prior to 2023 Regional Banking Crisis.
problem Determining factors for deposit run risk management before a regional banking crisis.
method Cross-sectional analysis of interest rate and equity use by banks.
result No evidence of banks managing deposit run risk via their balance sheet.
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…
Paper models non-maturing deposits using a Lévy-driven Ornstein-Uhlenbeck process.
problem Managing non-maturing deposits as a major funding source for banks.
method Develops a multivariate Lévy-driven Ornstein-Uhlenbeck process with three sources of randomness.
result Models rare but severe events in deposit volumes with positive probability.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
problem Calculating prices for multi-step barrier options with varying barriers and time steps.
method Derives a general, explicit expression for option prices using the Black-Scholes model and a multi-step reflection principle.
result Derives a multi-step reflection principle that generalizes the reflection principle of Brownian motion.
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrate…
One of the most important applications of seismic reflection is the hydrocarbon exploration which is closely related to salt deposits analysis. This problem is very important even nowadays due to it's non-linear nature. Taking into account the recent developments in deep learning networks TGS-NOPEC Geophysical Company …
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking network model composed of banks and bank assets and propose a cascading failure model …
Dual ML approach predicts peak temperatures in AFSD, improving process optimization.
problem Lack of understanding between process parameters and resulting microstructure in AFSD.
method Combines supervised machine learning and physics-informed neural networks.
result Ensemble techniques like gradient boosting outperform other SML methods in predicting peak temperatures.
Commercial banks and other depository institutions in some countries are required to hold in reserve against deposits made by their customers at their Central Bank or Federal Reserve. Although some countries have been eliminated it, this requirement is useful as one of many Central Bank's regulation made to control rat…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank reserves to the base model with loans and demand deposits and use it to describe a fr…
GAN improves financial risk prediction by generating synthetic minority events.
problem Data imbalance in financial market supervision.
method Generative Adversarial Networks (GAN) to generate synthetic data.
result GAN-generated synthetic data significantly improves prediction accuracy.
A computer vision approach improves neutral particle detection in particle flow algorithms.
problem Optimal reconstruction of particle content and kinematics in calorimeter images.
method Computer vision techniques applied to calorimeter images, using deep learning and super-resolution.
result Significantly improved reconstruction of neutral particle calorimeter energy deposits.
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
In this paper, a novel architecture of Recurrent Neural Network (RNN) is designed and experimented. The proposed RNN adopts a computational memory based on the concept of stigmergy. The basic principle of a Stigmergic Memory (SM) is that the activity of deposit/removal of a quantity in the SM stimulates the next activi…
Study on Spanish households' investment choices in housing, deposits, and stocks.
problem Investment decisions of Spanish households in housing, deposits, and stocks.
method Theoretical model considering indivisible and illiquid housing assets, financial constraints, and actual choices compared.
result Households underinvest in stocks and deposits compared to optimal choices, but mortgage investments are efficient.
Framework optimizes expensive manufacturing processes efficiently.
problem Optimizing input parameters for advanced manufacturing methods.
method Bayesian optimization with tailored acquisition function and parallel acquisition.
result Framework efficiently finds optimal parameters with minimal process cost.
Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.
problem Understanding the dependence structure between insurance and financial risks.
method Dynamic equilibrium analysis of insurance pricing with worst-case beliefs.
result Correlation ambiguity does not necessarily increase insurance prices or reduce insurers' utility.
Paper proves Pareto efficient insurance for multiple entities.
problem Optimizing insurance for multiple policyholders and insurers.
method Sum-minimization characterization and pairwise implementability analysis.
result Characterization of Pareto efficient insurance arrangements.
Study on systemic risk in European insurance sector, showing insurer connections during stress.
problem Understanding systemic risk connectedness in European insurance sector.
method Common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall.
result Insurers are a significant component of systemic risk connectedness, especially during stress episodes.
The paper examines how risk reduction and insurance choices interact under convex premium principles.
problem Interaction between self-protection and insurance demand under convex premium principles.
method Investigates optimal prevention efforts and insurance shares using distortion risk measures.
result Self-protection and insurance are complementary, but ex ante moral hazard can turn this into a substitution effect.
Parametric insurance offers better risk-sharing in high-risk settings than traditional indemnity insurance.
problem High-risk environments where traditional indemnity insurance is unaffordable or ineffective.
method Comparison of excess-of-loss indemnity insurance and parametric insurance within a mean-variance framework, considering fixed costs and binding budget constraints.
result Parametric insurance yields higher welfare for risk-averse individuals, especially when indemnity insurance is impractical.
The paper examines insurance market dynamics and optimal regulation.
problem Equilibrium outcomes in dynamic insurance markets.
method Analyzes three equilibrium outcomes: positive, zero, and market failure.
result Insurers may accept underwriting losses by investing profits, especially with negative correlations.
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize her/his expected total d…
Optimal insurance contract limits insurer's risk exposure variance.
problem Designing an optimal insurance contract limiting insurer's risk exposure variance.
method Derive optimal policy semi-analytically, focusing on actuarially fair case.
result Expected coverage is larger for wealthier insured, indicating normal good.
Paper models demand and solvency for index insurance, combining traditional and measurable index-based coverage.
problem Reducing protection gaps for emerging risks.
method Develops a model for demand and solvency conditions, combining traditional and index-based insurance.
result Deduces a product that benefits from both traditional and index-based insurance approaches.
Two pension funds mutually insure against longevity risk.
problem Mutual insurance against systematic longevity risk for pension funds.
method Mathematical demonstration and market clearing condition.
result Insurance provides little benefit when fund preferences are similar, but can be beneficial when preferences vary significantly.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
problem Decreasing capital guarantees in life insurance products.
method Dynamic investment-reinsurance optimization problem with simultaneous Value-at-Risk and no-short-selling constraints. Introduced guarantee-equivalent utility gain for comparison.
result Optimally managed reinsurance allows insurers to offer higher capital guarantees without reducing expected utility.
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we account for finite memory effects on the dynamics of the latent order book. We compute…
We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal portfolios, completely different from each other, and extremely sensitive to any changes…
The study examines how formal index insurance compares to informal risk sharing in managing natural disasters.
problem The challenges of natural disasters and the effectiveness of index insurance in risk management.
method A three-strategy evolutionary game model to analyze the competitive relationship between formal index insurance, informal risk sharing, and non-insurance.
result Basis risk and loss ratio significantly impact the adoption rate of index insurance, with different strategies preferred under varying conditions.
This paper explores how insurance contracts can be traded in financial markets.
problem The exclusion of arbitrage in insurance contracts due to their non-tradability.
method Defining strategies on insurance portfolios and combining them with financial trading strategies.
result The existence of an insurance-finance-consistent probability, leading to the expected discounted cash-flows.
Paper analyzes strategic underreporting in competitive insurance markets.
problem Strategic underreporting by insureds in competitive insurance markets.
method Develops a dynamic insurance market model with two competing companies and a continuum of insureds, examines the interaction between strategic underreporting and competitive pricing under a Bonus-Malus System framework.
result Establishes the existence and uniqueness of the insureds' optimal reporting barrier and its dependence on BMS premiums; proves the existence of Nash equilibrium premium strategies.
Study of insurer games with model uncertainty in reinsurance and investment strategies.
problem Model uncertainty and competitive insurers' performance under worst-case scenarios.
method Formulated robust mean-field game for non-linear system, derived closed-form solutions.
result Relative concerns lead to new hedging terms in investment and reinsurance strategies.
A hierarchical Bayesian classifier is trained at pixel scale with spectral data from the CRISM (Compact Reconnaissance Imaging Spectrometer for Mars) imagery. Its utility in detecting rare phases is demonstrated with new geologic discoveries near the Mars-2020 rover landing site. Akaganeite is found in sediments on the…
New model for insurance states using Markov jump processes with non-countable state space.
problem Modeling insurance states with non-countable state spaces.
method Developed a new Thiele's differential equation for continuous time rehabilitation rates.
result Allows for consistent calculation of reserves in disability insurance.
The paper models insurance market dynamics under uncertainty and financial frictions.
problem Modeling insurer behavior under uncertainty and financial frictions.
method Dynamic equilibrium model of insurance market with competitive insurers maximizing shareholder value.
result Investment can lead to lower insurance prices and negative loadings under certain conditions.
Study of insurance market equilibria with risk-averse policyholders.
problem Analyzing optimal insurance contracts in a monopoly market with risk-averse policyholders.
method Modeling Stackelberg equilibria with a profit-maximizing insurer and a risk-averse policyholder.
result Equilibrium contracts exhibit a layer-type structure, providing full insurance over pessimistic loss layers and no coverage over optimistic ones.
Develops a Bonus-Malus model for cyber risk insurance to incentivize cybersecurity.
problem Lack of effective insurance strategies to incentivize cybersecurity.
method Proposes a Bonus-Malus model and a mathematical model with a numerical algorithm.
result Demonstrates how a Bonus-Malus system resolves moral hazard and benefits the insurer.
Optimal insurance strategy for maximizing RDEU under various premium principles.
problem Maximizing a risk-averse individual's RDEU with insurance priced by a distortion-deviation principle.
method Proved necessary and sufficient conditions for the optimal solution, considered ambiguity orders, and analyzed specific examples.
result Conditions for no insurance or deductible insurance to be optimal.
Study compares ruin probabilities under independence vs. dependence assumptions.
problem Underestimation of ruin probability when claims are dependent.
method Copulas for claim dependence analysis, sensitivity analysis.
result Dependent claims lead to underestimation of ruin probability.
The paper calculates bonus values in complex insurance schemes.
problem Calculating bonus payments in multi-state with-profit life insurance.
method Combines financial risk simulation with insurance risk methods.
result Efficient numerical procedures for bonus calculation.
Study classifies liability insurance policies using machine learning.
problem Classifying liability insurance policies with or without claims.
method Used machine learning models like nearest neighbour and logistic regression on Actuarial Challenge dataset.
result Models accurately classified policies into claims and non-claims groups.
Study optimal investment-reinsurance strategies in equity-linked insurance products using Stackelberg game theory.
problem Optimizing investment and reinsurance strategies in equity-linked insurance products with capital guarantees.
method Modelled as a Stackelberg game where reinsurer acts as leader and insurer as follower, with general utility functions and power utility functions analyzed.
result Derive Stackelberg equilibrium for general utility functions and calculate it explicitly for power utility functions, finding reinsurer optimizes premium to incentivize maximal reinsurance purchase.
Study finds environmental liability insurance reduces industrial carbon emissions.
problem Reduction of industrial carbon emissions.
method Two-way fixed effect model using provincial (city) level panel data from 2010 to 2020.
result Environmental liability insurance reduces industrial carbon emissions at both direct and indirect levels, with varying effects.
Study finds farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
problem Determining the demand factors and WTP for agricultural insurance.
method Conducted a survey of 200 farmers to analyze the impact of socio-demographic variables and premium on insurance purchase decisions.
result Farmers are willing to pay higher premiums for higher coverage in agricultural insurance.