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.
Optimizes insurance profits under regulatory constraints.
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…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical reserving focusing on the estimation error of claims reserves are in general not approp…
Study assesses health plan risk measures for Solvency Capital Requirement.
RL-CVaR model improves insurance reserving under economic stress.
The underlying stochastic nature of the requirements for the Solvency II regulations has introduced significant challenges if the required calculations are to be performed correctly, without resorting to excessive approximations, within practical timescales. It is generally acknowledged by practising actuaries within U…
Framework for realistic insurance liability valuation.
Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs to the family of distortion risk measures. A serious deficiency of V@R is that firms can hide their total downside risk in corporate network…
Within the Own Risk and Solvency Assessment framework, the Solvency II directive introduces the need for insurance undertakings to have efficient tools enabling the companies to assess the continuous compliance with regulatory solvency requirements. Because of the great operational complexity resulting from each comple…
Paper develops a model to assess capital requirement for demographic risk using stochastic methods.
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…
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a non-life insurance company and is applied within the framework of the French legislat…
New risk measure improves creditor protection in financial regulation.
The article proposes a method to make valid insurance claim predictions without relying on specific models.
A new method for calculating ES from VaR under Solvency II.
In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: o calculating the \textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC of the European Parliament and of the Council) when the market and non-market ri…
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
The paper proves ADL mechanisms face a trilemma and optimizes them for fairness, revenue, and exchange solvency.
Generative neural networks improve insurance market risk modeling.
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…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to…
Compact formulas for evaluating insurance policies' risks.
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In a life insurance societ…
New algorithm improves insurance company's asset allocation decisions.
This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in this context constitutes in the proper representation of long term risks in the profit-loss distribution over a one year …
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 article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number generator (RNG) used. The theoretical background and the main quality criteria for RNGs are explained in detail. To serve as a gauge for RNGs, a…
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for i…
Neural networks improve life insurance solvency calculations.
The paper assesses VASPs' solvency using multiple data sources.
This paper formalizes autodeleveraging as online learning, providing robustness results and algorithms for better performance.
Study examines how EU's Value at Risk constraints affect insurance oligopolies.
Analyzes how financial network dependencies can lead to multiple equilibrium outcomes and optimal bailout strategies.
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational capacities to fully simulate these distributions, the insurers have t…
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…
Study uses AI techniques to predict bank customer solvency.
Paper models demand and solvency for index insurance, combining traditional and measurable index-based coverage.
Modeling financial contagion through bank networks, revealing solvency correlations.
Study shows OAT decomposition generates unexplained profit and loss, while SU decompositions depend on risk factor order.
Introduces a new system for modeling bank solvency contagion with heterogeneous impacts and exposures.
We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data. This is of particular interest for the construction of Internal Models and requirements on evaluation processes formulated in the Commission Delegated Regulation. The…
This study compares direct and indirect methods for estimating own funds in life insurance, finding indirect methods more effective under realistic asset-liability coupling.
Optimizes pension fund management under funding risks.
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible transfers that range from the free movement of capital to excluding any transac…
This paper introduces a Decision Tree Learner as an early warning system for classification of the non-life insurance companies according to their financial solid as strong, moderate, weak, or insolvency. In this study, we ran several experiments to show that the proposed model can achieve a good result using standard …
Paper proposes a copula method to generate unfavorable VaR scenarios.