Bayesian MS-VAR model for pricing equity-linked life insurance products.
problem Pricing and hedging equity-linked life insurance products on maximum of several assets.
method Introduces Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process to model economic variables and insured's lifetime.
result Obtains net single premiums and hedging formulas for equity-linked life insurance products.
We use the maximum entropy principle for pricing the non-life insurance and recover the Bühlmann results for the economic premium principle. The concept of economic equilibrium is revised in this respect.
This paper aims to optimize incident-specific cyber insurance design.
problem Complexity in determining optimal risk retention and transfer.
method Economic foundation for incident-specific cyber insurance with Pareto optimality.
result Illustrates feasibility of designing incident-specific indemnities for both parties.
Generative neural networks improve insurance market risk modeling.
problem Creating realistic market risk scenarios for insurance companies.
method Using generative adversarial networks (GANs) to generate economic scenarios.
result GAN-based models produce similar results to traditional regulatory models.
Quantum computing promises faster insurance contract valuation.
problem Computational intensity of insurance contract valuation.
method Investigation of quantum computing's applicability for insurance contracts using Amplitude Estimation.
result Quantum computing can significantly speed up insurance contract valuation.
Validates economic scenarios using statistical tests on stochastic processes.
problem Ensuring the accuracy of real-world economic scenario models.
method Applies Chevyrev and Oberhauser's (2022) signature and maximum mean distance test to various stochastic processes.
result Demonstrates the test's effectiveness across different path properties relevant to financial modeling.
Examines insurance market development and similarity post-2004 EU enlargement.
problem Comparing insurance markets of EU old and new members post-enlargement.
method Analyzes data from 2004 to present to compare insurance markets.
result Identifies similarities and differences in insurance markets post-2004 enlargement.
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…
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.
Study optimal strategies for insurer's dividends, investments, and liabilities.
problem Maximize insurer's utility of dividend payments over an infinite horizon.
method Perturbation approach to obtain optimal strategy and value function in closed form.
result Obtained optimal strategy and value function for log and power utility.
Proposes a decentralized insurance protocol for DeFi.
problem Over-insurance and inefficiencies in DeFi collateral.
method Smart contract-based economic model without external dependencies.
result Solves over-insurance and capital inefficiencies.
Method reconstructs hidden Markov chains from insurance data.
problem Recovering hidden Markov chains from incomplete insurance data.
method Neural architecture to explicitly provide transition probabilities.
result Neural model successfully validates decompression of insurance information.
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and m risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on economic factors that are formulated as the solutions of general stochastic different…
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…
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.
Study proposes a tax-based system to share disaster risk among regions.
problem Systemic risk in catastrophic events and insurer insolvency.
method Public-private partnership with government intervention through taxation.
result Taxation system effectively shares residual claims in case of insurer insolvency.
Model quantifies cyber-attacks' impact on firms and insurers.
problem Impact of cyber-attacks on firms' revenues and insurers' portfolios.
method Stochastic SIR model coupled with granular firm growth model.
result Predicts insurer needs to compensate up to two days of revenue in a 100-day incident.
The paper analyzes optimal investment strategies for life insurance contracts using mean-variance optimization.
problem Optimal portfolio choice for equity holders in life insurance contracts.
method Mean-variance optimization, explicit formulas, Hamilton-Jacobi-Bellman equations, numerical analysis.
result Equity holders increase investment in risky assets during economic downturns.
Climate extreme events are constantly increasing. What is the effect of these potentially catastrophic events on insurance demand in Italy, with particular reference to the economic activities? Extreme precipitation events over most of the midlatitude land masses and over wet tropical regions will very likely become mo…
The paper models SaaS products as insurance, offering new pricing tools.
problem Modeling capped-usage SaaS products with insurance principles.
method Frequency-severity decomposition, premium calculation, Monte Carlo simulations.
result SaaS pricing can be analyzed using insurance actuarial methods.
We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is allowed to increase or decrease. In the latter case, the study is focused on run-…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price follows a correlated diffusion, while the stock of the durable good depreciates dete…
RL-CVaR model improves insurance reserving under economic stress.
problem Managing insurance reserve setting under claim development uncertainty and macroeconomic stress.
method Reinforcement Learning (PPO) with CVaR constraints, trained under regime-aware curriculum.
result RL-CVaR policy reduces solvency violations and tail-risk compared to classical methods.
Study on insurance risk management and sustainable development.
problem Lack of attention to non-climate change aspects of sustainable development in insurance.
method Analysis of recent developments and legislative initiatives in insurance risk management.
result Strategies for small- and medium-sized enterprises to manage sustainable development risks.
The paper introduces a US crime index to assess financial losses from property and cyber crimes.
problem Lack of indices evaluating crime's financial impact on investments.
method Developed an index-based insurance portfolio using FBI financial losses data.
result Real estate, ransomware, and government impersonation are major risk contributors.
Historically, the banking multiplier has been in a range of 4 to 100, with 25% to 1% reserve ratios at most layers of the banking system encompassing the majority of its range in recent centuries. Here it is shown that multipliers over 1 000 can occur from a new mechanism in banking. This new multiplier uses a default …
In the hypothesis of rare loss events, the general expression of the policy value has been determined as a functional of the "expected frequency / loss severity" function and of the retention function. Exponential disutility has been chosen after mathematical characterization of some of its economical aspects, where fu…
This research develops a new model for cyber risk and insurance pricing.
problem Accurate calculation of aggregate losses in cyber insurance pricing.
method A path-based k-generation risk contagion model in a tree-shaped network structure.
result Explicit expressions for mean and variance of local loss on a single path.
This survey explores causal inference in banking, finance, and insurance.
problem Explaining decisions in banking, finance, and insurance using causal inference.
method Categorizes 37 papers on causal inference applications in banking, finance, and insurance.
result Causal inference is still in its infancy in banking and insurance sectors.
It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that comonotonic risks have the convex-largest sum, ASTIN Bulletin 32, 71-80. Cheung (2…
Enhanced loss function boosts fraud detection in auto insurance claims.
problem Class imbalance in auto insurance fraud detection.
method Structured three-stage training framework integrating convex surrogate, non-convex intermediate, and standard focal loss.
result Improves minority-class F1-scores and AUC compared to baseline methods.
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can represent many economic and financial settings, such as the default time of a firm…
Develops a framework to assess infrastructure reliability under natural and malicious events.
problem Assessing reliability and costs of infrastructure under various hazards.
method Coupling mechanical reliability analyses with economical reliability analyses using probabilistic considerations.
result Indicators of probable cost of failure for infrastructure, aiding safety investments.
Fraud causes substantial costs and losses for companies and clients in the finance and insurance industries. Examples are fraudulent credit card transactions or fraudulent claims. It has been estimated that roughly 10 percent of the insurance industry's incurred losses and loss adjustment expenses each year stem from…
We apply the maximum entropy principle to economic systems in equilibrium and find the density function for the market's wealth. This is the same as price density which is used for insurance pricing. The risk aversion parameter of the agent then it's utility function with respect to this density is derived.
Model calculates capital requirements for multi-line insurance companies.
problem Measuring and capitalizing on incurred claims risk for multi-line property and casualty insurers.
method Stochastic model integrating accident semester, development lag effects, autocorrelation, and hierarchical copula.
result Model accurately reproduces empirical loss ratio dynamics and quantifies overall portfolio risk.
This study compares VaR-based portfolio insurance with CPPI in a regime-switching market.
problem Designing dynamic portfolio insurance strategies in a market with multiple regimes.
method Extends VaR-based portfolio insurance to a Markov-modulated regime-switching market, comparing it to CPPI.
result CPPI strategy generally offers better risk-return tradeoff and stability.
Study indifference pricing for insurance policies in a regime-switching market model.
problem Indifference pricing of pure endowment policies in a stochastic-factor model with different economic regimes.
method Stochastic control approach based on Hamilton-Jacobi-Bellman equation, Feynman-Kac formula, and sensitivity analysis.
result Characterization of indifference price as a solution to a linear PDE and a backward PDE.
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic volatility and a defaultable corporate bond. We discuss the optimal investment …
Study optimizes insurance liability cash flows with regulatory capital requirements.
problem Valuation of insurance liabilities under regulatory capital constraints.
method Multiple-prior optimal stopping theory applied to insurance liabilities, considering hypothetical transfer and repeated capital requirements.
result Proposes a valuation functional for non-replicable cash flows, incorporating a margin for regulatory capital considerations.
This paper uses information theory to improve risk modeling in big data.
problem Insufficient application of information theory in actuarial science.
method Explores information theory to uncover performance limits of insurance big data systems.
result Guidance for risk modeling and actuarial pricing systems.
This paper studies insurers' robust strategies in a stochastic game with model uncertainty and volatility risk.
problem Model uncertainty and volatility risk in insurers' surplus processes.
method Formulates robust mean-field games with insurers competing based on mean-variance criterion under worst-case scenario.
result Derives semi-closed forms of equilibrium strategies for insurers and mean-field equilibrium, ensuring existence and uniqueness.
Framework for realistic insurance liability valuation.
problem Economic realism in insurance liability valuation.
method Replication approach of no-arbitrage theory, considering capital and fulfillment conditions.
result Identifies conditions for market price recovery and extends production for insolvency.
Interpretable neural networks improve economic research by balancing accuracy and transparency.
problem Lack of interpretability in neural networks hinders their use in economic research.
method Proposes interpretable neural network models that balance prediction accuracy and interpretability.
result Achieved 94.5% accuracy in predicting employment status using high-dimensional data.
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for all enrollees, regardless of their health status. Unfortunately, current risk a…
Optimal reinsurance strategy with fixed cost and exponential preferences.
problem Maximizing expected utility of terminal wealth with fixed reinsurance cost.
method Two-step procedure: stochastic control and optimal stopping problem.
result Deterministic optimal strategy depends on model parameters.
In this paper, we pay our attention to geometric parameters and their applications in economics and finance. We discuss the multiplicative models in which a geometric mean and a geometric standard deviation are more natural than arithmetic ones. We give two examples from Warsaw Stock Exchange in 1995--2009 and from a b…
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has developed that attempts to provide a market-consistent pricing methodology for these and other long-dated, insurance-type cont…