A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper models cloud outages for cyber insurance stress-testing.
We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of an observed yield curve and use its Gâteaux variation to understand the sensiti…
Analyzes systemic risk in European insurance sector using MST and deltaCoVaR.
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a determination of the crediting rate to policyholders that is close to the p…
This paper explores how insurance contracts can be traded in financial markets.