arXiv research

Let $\scr A^*=\{l_1,l_2,\cdots,l_n\}$ be a line arrangement in $\Bbb{CP}^2$, i.e., a collection of distinct lines in $\Bbb{CP}^2$. Let $L(\scr A^*)$ be the set of all intersections of elements of $A^*$ partially ordered by $X\leq Y\Leftrightarrow Y\subseteq X$. Let $M(\scr A^*)$ be $\Bbb{CP}^2-\bigcup\scr A^*$ where $\…

In this paper, we propose an efficient algorithm for mining novel `Set of Contrasting Rules'-pattern (SCR-pattern), which consists of several association rules. This pattern is of high interest due to the guaranteed quality of the rules forming it and its ability to discover useful knowledge. However, SCR-pattern has n…

As part of the new regulatory framework of Solvency II, introduced by the European Union, insurance companies are required to monitor their solvency by computing a key risk metric called the Solvency Capital Requirement (SCR). The official description of the SCR is not rigorous and has lead researchers to develop their…

Paper uses MLMC for SCR calculation and stress tests, showing computational efficiency.

SCR improves GNN training with consistency regularization.

Study on lightlike submanifolds in statistical manifold geometry.

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…

Acute Kidney Injury (AKI) is a common clinical syndrome characterized by the rapid loss of kidney excretory function, which aggravates the clinical severity of other diseases in a large number of hospitalized patients. Accurate early prediction of AKI can enable in-time interventions and treatments. However, AKI is hig…

In this paper we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial Supervisory Authority (FSA). We aim at finding marginal distributions of, and dependence between, losses on the five largest lines of business (LoBs) in order to create models for Solvency Cap…

Solvency II Directive 2009/138/EC requires an insurance and reinsurance undertakings assessment of a Solvency Capital Requirement by means of the so-called "Standard Formula" or by means of partial or full internal models. Focusing on the first approach, the bottom-up aggregation formula proposed by the regulator permi…

Background elimination for noisy character images or character images from real scene is still a challenging problem, due to the bewildering backgrounds, uneven illumination, low resolution and different distortions. We propose a stroke-based character reconstruction(SCR) method that use a weighted quadratic Bezier cur…

The aim of this paper is to introduce a method for computing the allocated Solvency II Capital Requirement (SCR) of each Risk which the company is exposed to, taking in account for the diversification effect among different risks. The method suggested is based on the Euler principle. We show that it has very suitable p…

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance policies in the context of capital reduction for a range of possible extreme los…

The paper proves the law of one price in a continuous-time setting without friction.

We propose Style Conditioned Recommendations (SCR) and introduce style injection as a method to diversify recommendations. We use Conditional Variational Autoencoder (CVAE) architecture, where both the encoder and decoder are conditioned on a user profile learned from item content data. This allows us to apply style tr…

In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919 and 1920, for which the period tables provided by the Human Mortality Database …

This study compares direct and indirect methods for estimating own funds in life insurance, finding indirect methods more effective under realistic asset-liability coupling.