arXiv research

This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase the default probabilities of all surviving subsidiaries. The total dividend pro…

An adversarial process between two deep neural networks is a promising approach to train a robust model. In this paper, we propose an adversarial process using cosine similarity, whereas conventional adversarial processes are based on inverted categorical cross entropy (CCE). When used for training an identification mo…

Study examines how bank holding structures affect financial stress spread.

Study examines stock price correlations between Indonesian holding companies and their subsidiaries.

Network analysis techniques remain rarely used for understanding international management strategies. Our paper highlights their value as research tool in this field of social science using a large set of micro-data (20,000) to investigate the presence of networks of subsidiaries overseas. The research question is the …

This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-co…

New Hausdorff integrations for Lie algebroids and symplectic groupoids.

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constr…

The paper proves existence and behavior of Lagrangian tori in complex projective plane.

This paper proves cohomology invariants for differentiable stacks.

How are economic activities linked to geographic locations? To answer this question, we use a data-driven approach that builds on the information about location, ownership and economic activities of the world's 3,000 largest firms and their almost one million subsidiaries. From this information we generate a bipartite …

We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the final fraction of failed nodes on a reference layer. The results are compared with…

Paper proposes a method to evaluate SME credit risk using meta paths.

This paper contains the technical foundations from stochastic differential geometry for the construction of geometrically intrinsic nonlinear recursive filters. A diffusion X on a manifold N is run for a time interval T, with a random initial condition. There is a single observation consisting of a nonlinear function o…

This paper deals with multidimensional dynamic risk measures induced by conditional $g$-expectations. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and…

Multinational corporations use highly complex structures of parents and subsidiaries to organize their operations and ownership. Offshore Financial Centers (OFCs) facilitate these structures through low taxation and lenient regulation, but are increasingly under scrutiny, for instance for enabling tax avoidance. Theref…

Geometric correspondence between spinors and horospheres in hyperbolic space.

In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global econom…

In this thesis, we consider the knot energy "integral Menger curvature" which is the triple integral over the inverse of the classic circumradius of three distinct points on the given knot to the power $p\in [2,\infty)$. We prove the existence of the first variation for a subset of a certain fractional Sobolev space if…

Model quantifies cyber-attacks' impact on firms and insurers.