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.
Optimizes insurance profits under regulatory constraints.
problem Maximizing profits while adhering to regulatory and risk policies.
method Developed a formalism for in-force business profit optimisation.
result Identified optimal asset allocation and annual opportunity cost.
Seed selection affects Solvency II ratio, impacting insurance company stability.
problem Impact of RNG seed selection on Solvency II ratio stability.
method Detailed explanation of Solvency II ratio, theoretical background, and quality criteria for RNGs.
result True randomness is essential for stable Solvency II ratio results.
New method quantifies life insurance risk using Monte Carlo simulations.
problem Quantifying long-term risks in insurance portfolios over a one-year horizon.
method Least-squares Monte Carlo methods to quantify impact of new experience.
result Model can be used as an internal model under Solvency II or SST.
This paper formalizes autodeleveraging as online learning, providing robustness results and algorithms for better performance.
problem Autodeleveraging as a mechanism to restore solvency in perpetual futures markets when liquidation and insurance buffers are insufficient.
method Formalizes autodeleveraging as online learning on a PNL-haircut domain, using an algorithm to recover solvency.
result The optimized algorithm achieves about 2.6% of an upper bound on regret, reducing overshoot to $3M.
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…
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.
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 capital allocation formula for insurance companies compliant with Solvency II.
problem No specific capital allocation formula is provided for insurance companies using the Solvency II Standard Formula.
method Develops a closed formula for capital allocation that is coherent with Solvency II requirements.
result Demonstrates that the proposed allocation formula is consistent with the Euler's allocation principle.
The paper assesses methods to model parameter uncertainty in reserve risk under Solvency II.
problem Parameter uncertainty impacts reserve risk under Solvency II.
method Comparing standard methods to Solvency II requirements, the paper evaluates and adapts a method to model parameter uncertainty.
result The adapted method yields a risk capital model for reserve risk achieving the required confidence level.
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…
Analyzes how financial network dependencies can lead to multiple equilibrium outcomes and optimal bailout strategies.
problem Multiple equilibrium outcomes in financial networks due to dependency cycles.
method Characterized necessary and sufficient conditions for bank solvency, and provided upper bounds on optimal bailout payments.
result Minimum bailout payments needed to ensure systemic solvency and prevent cascading defaults.
Paper proposes a copula method to generate unfavorable VaR scenarios.
problem Creating unfavorable VaR scenarios for insurance models.
method Patchwork copulas to create unfavorable VaR scenarios with given marginal distributions.
result Demonstrated with a 19-dimensional real-life insurance losses data set.
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.
problem Computational challenges in Monte Carlo simulations for life insurance solvency.
method Use of neural networks as a proxy model for risk-neutral pricing.
result Neural networks solve feature engineering and selection problems in replicating portfolios.
Solvency II's V@R method hides downside risk, study shows.
problem Solvency II's V@R method fails to capture extreme risks.
method Analyzes distortion risk measures and network portfolio allocations.
result Firms can reduce capital requirements by transferring risk within a network.
The paper explores machine learning methods for proxy modeling in life insurance solvency capital requirements.
problem Life insurance companies need to estimate solvency capital requirements from full loss distributions, but computational limitations restrict full simulations.
method The paper presents various adaptive machine learning approaches to approximate the risk-dependent proxy function using least-squares Monte Carlo.
result The machine learning methods significantly improve the accuracy and efficiency of proxy modeling compared to traditional regression techniques.
Method generates VaR scenarios for dependent risks under Solvency II.
problem Stress testing and VaR calculation for dependent risks.
method Monte Carlo simulation using product beta distributions.
result Direct scenario estimation of joint density from transformed data.
Neural network improves SCR calculation efficiency.
problem Complex SCR calculation under Solvency II.
method Incorporating neural network into nested Monte Carlo simulation.
result Neural network significantly reduces computational complexity.
The abstract establishes a model-independent relationship for life insurance valuation and validation.
problem Validating best estimate calculation models in traditional life insurance.
method Derives a model-independent relationship and lower bound formula for valuation.
result Validates models for Solvency~II best estimate calculation using publicly available data.
Study uses AI techniques to predict bank customer solvency.
problem Predicting the solvency of bank customers.
method Data preprocessing, CART decision tree method, SPSS tool.
result Model accuracy and precision of 71%, error rate of 29%.
Study assesses health plan risk measures for Solvency Capital Requirement.
problem Assessing risk measures for health plans to meet Solvency Capital Requirement.
method Three-part regression model with three GLMs for claim counts, episode allocation, and severity.
result Reduction in regression models compared to traditional methods.
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.
Modeling financial contagion through bank networks, revealing solvency correlations.
problem Understanding how financial shocks propagate through interconnected banks.
method Simulated financial network of 100 banks, randomly generated with varying link probabilities, and shocks applied to 15 banks.
result Ranges of probability values and banks' solvency are positively correlated.
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…
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
problem Maximizing dividends while adhering to solvency requirements in the face of correlated asset and liability movements.
method Developed verification lemmas to show optimal barrier dividend strategies in two cases: with and without shareholder funding.
result Optimal dividend strategies are barrier-type, derived in closed form and illustrated.
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…
Introduces a new system for modeling bank solvency contagion with heterogeneous impacts and exposures.
problem Modeling bank solvency contagion with asymmetric interactions and heterogeneous exposures.
method Develops a heterogeneous McKean-Vlasov system to characterize solvency contagion in interbank markets.
result Derives a unique solution for the system under certain conditions, resolving instability issues.
Extends classical model of transaction costs to convex costs and multivariate positions.
problem Risk arbitrage and hedging under transaction costs with convex costs and multivariate positions.
method Extends classical model to convex transaction costs and multivariate acceptable positions, using results for unbounded and non-closed random sets.
result Formulates no arbitrage conditions and explores their connections, leading to a decrease in superhedging prices.
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 proves ADL mechanisms face a trilemma and optimizes them for fairness, revenue, and exchange solvency.
problem The impossibility of a perpetual futures exchange achieving solvency, revenue, and fairness.
method Formal model of ADL, proving trilemma, and analyzing three ADL mechanisms.
result Optimized ADL mechanisms can reduce trader losses while maintaining exchange solvency.
Optimizes pension fund management under funding risks.
problem Managing DB pension fund under underfunded and overfunded conditions.
method Stochastic model with Ornstein-Uhlenbeck interest rate, geometric Brownian motion for benefits, and cash, bond, stock investments.
result Optimal wealth process, portfolio, and efficient frontier obtained under various tolerance levels for solvency risk.
Corrects mortality data anomalies for longevity risk assessment in Solvency 2 framework.
problem Impact of mortality data anomalies on longevity risk assessment in Solvency 2 framework.
method Developed and extended an approach to correct mortality tables for three countries, using historical data and stochastic models.
result Corrected mortality tables improve data quality and slightly decrease the Solvency Capital Requirement.
The article proposes a method to make valid insurance claim predictions without relying on specific models.
problem Prediction of insurance claims using statistical models can be unreliable due to model misspecification, selection effects, and lack of finite-sample validity.
method The article employs conformal prediction, a machine learning strategy that is model-free and tuning-parameter-free, ensuring finite-sample validity.
result The proposed method guarantees valid predictions at a pre-assigned coverage probability level and performs well in insurance applications, including meeting Solvency II requirements.
This paper optimizes insurance reinsurance design under solvency constraints.
problem Optimizing risk transfer from an insurance company to a reinsurer under solvency constraints.
method Martingale method to derive optimal reinsurance design maximizing terminal value of surplus.
result Optimal reinsurance designs include a combination of proportional and stop-loss protection.
New algorithm improves insurance company's asset allocation decisions.
problem Strategic asset allocation with multiple objectives (risk, return, solvency, distance to current portfolio).
method Exact multi-objective optimization algorithm incorporating four objectives.
result Significant improvement in portfolio quality and decision-making process.
A new method for calculating ES from VaR under Solvency II.
problem The need for a more appropriate risk measure (ES) than VaR.
method Developed PELVE method for multiple insurers, analyzing existence, uniqueness, and expressions for different payoff distributions.
result The choice of method is crucial when payoffs are from different distribution families.
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.
problem Optimizing risky investments, dividends, and capital structure under Basel III constraints.
method Formulated as a stochastic control problem, reducing dynamics to a one-dimensional process in leverage ratio.
result Simple policy: pay dividends at an upper barrier and recapitalize at the distress boundary.
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.
problem Quantifying demographic risk in insurance portfolios.
method Cohort-based approach with market-consistent valuation.
result Formal closed formula for idiosyncratic risk (accidental mortality).
New eco-systemic prudential policies aim to finance green companies, reducing systemic financial risk.
problem Insufficient financing for green companies despite available savings and monetary management.
method Reorient corporate accounting towards socio-environmental solvency, facilitating access with public guarantees.
result Green financing increases, reducing systemic financial risk and promoting less leveraged investments.
New formulas estimate life insurance benefits with less computation.
problem Estimating future discretionary benefits in life insurance.
method Derive analytic formulas for lower and upper bounds of FDB.
result Simple estimator for FDB with average of lower and upper bounds.
This study compares direct and indirect methods for estimating own funds in life insurance, finding indirect methods more effective under realistic asset-liability coupling.
problem Computing own funds for life insurers using direct and indirect methods in a risk-neutral pricing framework.
method Introduced a novel family of mixed estimators including both direct and indirect methods, integrated into a control variate framework for variance reduction.
result The indirect method is more effective under realistic asset-liability coupling, but neither method is universally superior.
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.
The paper assesses VASPs' solvency using multiple data sources.
problem Insolvency risk in VASPs without systematic auditing.
method Cross-referencing cryptoasset wallets, balance sheets, and supervisory data.
result Inconsistent data between DLT transactions and balance sheets for some VASPs.
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…
Study validates Libor model for insurance benefits calculation.
problem Valuation of long-term insurance guarantees.
method Mean-field Libor market model, numerical ALM, aggregated life insurance data.
result Derives estimators for future discretionary benefits.