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.
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we consider separately life and non-life companies. To achieve this goal we apply …
Network theory assesses systemic risk in the insurance sector.
problem Detecting critical insurance companies in systemic risk.
method Complex network approach with weighted effective resistance centrality.
result Identifies companies with significant influence on network robustness.
New approach uses MST and copula-DCC-GARCH for systemic risk analysis in European insurance sector.
problem Analyzing systemic risk in European insurance sector through indirect connections.
method Combining copula-DCC-GARCH model and Minimum Spanning Trees (MST) for interlinkage dynamics analysis.
result Proposed approach useful for systemic risk analysis in insurance sector, with MST topological indicators as predictors.
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in the European insurance sector which are obtained using correlation networks. These…
Study clusters Kenyan medical insurance companies based on financial performance and reporting consistency.
problem Identifying financial health and reporting consistency in Kenyan medical insurance companies.
method Advanced clustering techniques (KMeans, DTW) on financial ratios and time series data.
result Four distinct clusters identified, each representing different financial performance and reporting consistency combinations.
The subject of the present article is the study of correlations between large insurance companies and their contribution to systemic risk in the insurance sector. Our main goal is to analyze the conditional structure of the correlation on the European insurance market and to compare systemic risk in different regimes o…
This work is an answer to the EIOPA 2017 report. It follows from the latter that in order to assess the potential systemic risk we should take into account the build-up of risk and in particular the risk that arises in time, as well as the interlinkages in the financial sector and the whole economy. Our main tools used…
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.
Study uses SVM to predict weather-induced home insurance claims and losses.
problem Assessing future weather-induced home insurance claims and losses for disaster preparedness.
method Support Vector Machine (SVM) regression for forecasting future claim dynamics.
result Illustrates SVM approach in forecasting weather-induced home insurance claims in a Canadian city.
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches…
AI attacks threaten insurance systems, requiring new defenses.
problem Adversarial attacks on AI in insurance.
method Categorize and discuss various types of attacks and defense methods.
result Need for improved AI systems to resist attacks.
This paper analyzes P2P collaborative insurance products and network structure impact.
problem Analyzing P2P collaborative insurance products and their network structure impact.
method Examined a P2P insurance product with reciprocal risk sharing contracts, studied network structure impact on risk reduction, and discussed optimal reciprocal commitments.
result The network structure, particularly the distribution of degrees, significantly impacts risk reduction in P2P insurance products.
Study on cyber insurance viability using statistical models.
problem Exploring insurability of cyber risk and its factors.
method Regression models (GAMLSS, ordinal regressions) and utility modelling.
result Provides insights into insurability of cyber risk.
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.
Study aims to measure and mitigate biases in motor insurance pricing.
problem Ethical biases in motor insurance pricing that affect fairness and regulatory compliance.
method Statistical methodologies and data analysis to measure and mitigate biases.
result Developed tools to measure and mitigate ethical biases in motor insurance pricing.
X-SHAP assesses multiplicative variable contributions in machine learning models.
problem Understanding multiplicative interactions in machine learning models.
method Model-agnostic method that extends SHAP to assess multiplicative contributions.
result X-SHAP proves useful in capturing multiplicative feature importance.
Study optimal dividend strategies for insurers with natural catastrophe claims.
problem Maximizing dividends for a catastrophe insurer over its lifetime.
method Two-dimensional stochastic control problem, viscosity solutions, numerical approximation.
result Optimal dividend strategies identified for natural catastrophe insurers.
This paper explores NLP techniques for insurance, detailing methods and applications.
problem Extracting value from insurance reports using complex text data.
method Detailed explanation of NLP methods and their implementation in insurance.
result Enhanced risk monitoring and policyholder benefits through NLP.
SwiGAN generates drought scenarios for climate risk management.
problem Natural catastrophes and droughts increase insurance costs.
method Conditional GANs for generating spatio-temporal SWI maps.
result Simulates drought patterns up to 2050 for French regions.
Optimizes diversification in catastrophe risk pooling using asymptotic analysis.
problem Maximizing diversification benefit from catastrophic events in insurance pools.
method Asymptotic analysis to solve high-dimensional optimization problem.
result Derives an asymptotically optimal pool that approximates practical optimal pool.
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network science. Following [1] a Time-Varying Parameter Vector AutoRegressive (TVP-VAR) app…
Investigates optimal PPI strategies to reduce carbon emissions while managing financial risk.
problem Optimizing portfolio insurance strategies to mitigate carbon emissions.
method Modelled risky assets using stochastic factor model with partial information, solved optimization problem using CRRA utility function.
result Optimal carbon penalized PPI strategies reduce carbon emissions without sacrificing financial performance.
A new method for efficient nested Monte Carlo simulations in financial modeling.
problem Computational challenges in nested stochastic modeling for financial risk assessment.
method Sample recycling approach to speed up inner loop estimations.
result Significantly more efficient than traditional techniques.
Study shows how missing data from certain groups can unfairly bias risk models.
problem Data missingness without indicators of missingness can unfairly bias risk models.
method Developed an analytically tractable model of differential feature under-reporting and proposed new methods to mitigate bias.
result Under-reporting typically leads to increasing disparities in risk models.
p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods
problem Evaluating investment strategies in stock markets
method Using p-index risk measure with European put option
result Efficient-contrarian strategy outperforms others in low-sentiment periods
A new privacy-preserving deep learning scheme for asymmetrically collaborative machine learning.
problem Privacy and efficiency in collaborative machine learning across different data owners.
method Decomposes neural network steps for privacy-preserving training; novel protocol for information leakage.
result Efficient training with stable performance and significant speedup.
This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can asse…
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.
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…
Framework ranks sectors influenced by Indian Union Budgets.
problem Real-time analysis of budgetary impacts on sector-specific equity performance.
method Fine-tuned embeddings and language models for sector identification and performance ranking.
result 0.997 NDCG score in predicting sector ranks based on post-budget performances.
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.
For a finitely generated discrete group Γ, the Γ-sectors of an orbifold Q are a disjoint union of orbifolds corresponding to homomorphisms from Γ into a groupoid presenting Q. Here, we show that the inertia orbifold and k-multi-sectors are special cases of the Γ-sectors, and that the Γ-sectors are orbif…
Study compares information flow between Chinese and US stock sectors.
problem Analyzing how information flows between sectors in Chinese and US stock markets.
method Daily sector indices, transfer entropy of daily returns, comparing 2000-2017.
result Most active sectors in information exchange differ between China and US, reflecting market dynamics.
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.
Market sectors play a key role in the efficient flow of capital through the modern Global economy. We analyze existing sectorization heuristics, and observe that the most popular - the GICS (which informs the S&P 500), and the NAICS (published by the U.S. Government) - are not entirely quantitatively driven, but rather…
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.
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.