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.
Derives a size premium from automated market makers in decentralized AI subnets.
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a …
We find that when measured in terms of dollar-turnover, and once -neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of , the "Cold-Minus-Hot" (CMH) anomaly is certainly not less significant than other well-known factors such as Value or Quality. As compared to marke…
Study analyzes AI's impact on firms, markets, and workers using large language model data.
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to detect the change time as soon as possible in order to re-evaluate a new fair v…
Study on price formation in financial markets with a single default event.
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The control mechanism chooses the size of dividend payments. The obje…
The paper proposes a method for predicting equity premium using penalized quantile regression.
Study optimal reinsurance strategies in a game between insurer and two reinsurers.
We find the wealth distribution for an economic agent in the financial market, in analogy with standard derivation of generaliz Boltzman (Tsallis) factor in statistical mechanics. In this respect, Tsallis entropic index separates two different regimes, the large and small size market. The Pareto like wealth distributio…
The study reveals unspanned risks in equity option risk premiums, explaining negative premiums for certain options.
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to be. This property, usually called loading monotonicity, is satisfied by premiums that appear in the literature. The inc…
Examines US equity risk premiums amid COVID-19.
A new insurance and reinsurance pricing scheme based on realized loss.
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even if the company covers its entire costs by collecting the respective fees from i…
A new method calculates risk loadings in classification ratemaking without subjective parameters.
A new method to break down insurance costs into risk and uncertainty.
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data library. This model is somewhat similar to generalized volatility-stabilized model…
We present in this paper a new premium computation principle based on the use of prior information from multiple sources for computing the premium charged to a policyholder. Under this framework, based on the use of Ordered Weighted Averaging (OWA) operators, we propose alternative collective and Bayes premiums and des…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among life insurance, income, and the probability of dying and thus losing that income…
We consider the concept of equilibrium in economic systems from statistical mechanics viewpoint. A new method is suggested for computing the premium on this basis. The Bühlmann economic premium principle is derived as a special case of our method.
Proposes a fix for IRS calculation of Obamacare tax credits.
Endogenous reinsurance pricing in large insurance markets
Introduces an unobservable intrinsic electricity price to link storage theory with risk premium.
New model solves equity premium puzzle with risk aversion coefficient.
SPAC data shows premium investors get better terms, non-premium get quid pro quo deals.
We present an analytical study of an insurance company. We model the company's performance on a statistical basis and evaluate the predicted annual income of the company in terms of insurance parameters namely the premium, total number of the insured, average loss claims etc. We restrict ourselves to a single insurance…
Analyzes premium data of Indian non-life insurers, finding GEV distribution best fits Lognormal and GEV extremes.
New model solves equity premium puzzle.
Paper finds significant impact of stock market swings on equity risk premium predictability.
The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.
Study on cyber insurance viability using statistical models.
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches for estimating the equity risk premium. The first is survey based, it consists in …
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to establish a diffusion approximation …
The aim of this contribution is to derive a general matrix formula for the net period premium paid in more than one state. For this purpose we propose to combine actuarial technics with the graph optimization methodology. The obtained result is useful for example to more advanced models of dread disease insurances allo…
Climate change is widely expected to increase weather related damage and the insurance claims that result from it. This will increase insurance premiums, in a way that is independent of a customer's contribution to the causes of climate change. Insurance provides a financial mechanism that mitigates some of the consequ…
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…
We model the quantities appearing in Internal Revenue Service (IRS) tax guidance for calculating the health insurance premium tax credit created by the Patient Protection and Affordable Care Act, also called Obamacare. We ask the question of whether there is a procedure, computable by hand, which can calculate the appr…
Study finds carbon emissions affect stock value, but not bought emissions.
Optimal insurance strategy for maximizing RDEU under various premium principles.
The paper models exchange rate risk premium using mean-reverting dynamics.
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated i…
Study optimal reinsurance contracts to prevent moral hazard under non-concave premium principles.
New concept of attitude towards probability introduced in risk sharing problems.
Optimal insurance policy for exponential utility maximization with convex premium calculation.
Study investigates ruin probability with random premiums and risky investments.
The study uses equity order flow to forecast stock returns and resolves the liquidity premium puzzle.
Paper analyzes strategic underreporting in competitive insurance markets.