Risks, Volume 11, Issue 10

In a recent paper “Stochastic Chain-Ladder Reserving with Modeled General Inflation”, the effects of modeled general inflation on non-life claims reserving were studied using, along with the so called “market approach”, a stoc...

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a representative s...

In the evolving economic landscape, Industry 4.0 emphasizes strategic planning and operational progress for large enterprises. This transformation relies on smart robotization technologies like AGVs (Automated Guided Vehicles) and AMRs (Autonomous Mo...

Unemployment insurance provides temporary cash benefits to eligible unemployed workers. Benefits are sometimes extended by discretion during economic slumps. In a model that features temporary benefits and sequential job opportunities, a worker’s res...

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models—in terms...

Log-concavity and log-convexity play a key role in various scientific fields, especially in those where the distinction between exponential and non-exponential distributions is necessary for inferential purposes. In the present study, we introduce a...

We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs...

Correlation in cyber risk represents an additional source of concern for utility and industrial infrastructures, where risks may be introduced by connected systems. A major means of reducing risk is to transfer it through insurance. In this paper, we...