In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure betw...
Measuring the risk aggregation is an important exercise for any risk bearing carrier. It is not restricted to evaluation of the known portfolio risk position only, and could include complying with regulatory requirements, diversification, etc. The ma...
We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula familie...
Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing...
One of the important goals of the EU is to ensure a secure, sustainable, and competitive energy system that is less dependent on external energy supply. Greater independence is planned to be achieved by diversifying energy sources, as well as investi...
We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from t...
A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Bas...
With the global net-zero strategy implementation, decarbonisation of transport by massive deployment of electric vehicles (EVs) has been considered to be an essential solution. However, charging EVs and integration into electricity grids is going to...
This work addresses crucial questions about the robustness of the PSDization process for applications in insurance. PSDization refers to the process that forces a matrix to become positive semidefinite. For companies using copulas to aggregate risks...
This research investigates the micro-aggregation problem in secure statistical databases by integrating the divide and conquer concept with a genetic algorithm. This is achieved by recursively dividing a micro-data set into two subsets based on the p...
This paper develops a two-stage stochastic and dynamically updated multi-period mixed integer linear program (SD-MILP) for optimal coordinated bidding of an electric vehicle (EV) aggregator to maximize its profit from participating in competitive day...
We examine the impact of aggregate tax policy uncertainty on firm-level default risk. Due to uncertainties associated with tax policies, firms could have difficulties in determining their optimal debt level and use too much debt to increase their val...
In this paper, we study an extension of the classical compound Poisson risk model with a dependence structure among the inter-claim time and the subsequent claim size. Under a flexible dependence structure and assuming that the claim amounts are heav...
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and...
We argue for an integrated, decision-oriented enterprise risk management (ERM) system focused on value drivers rather than risk minimization and using quantitative risk aggregation based on the best available information. Our holistic view on ERM inc...
The usage of indicators as constituent parts of composite indices is an extended practice in many fields of knowledge. Even if rigorous statistical analyses are implemented, many of the methodologies follow simple arithmetic assumptions to aggregate...
Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, mo...
The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with variance-cov...
In the context of a high proportion of new energy grid connections, demand-side resources have become an inevitable choice for constructing new power systems due to their high flexibility and fast response speed. However, the response capability of d...
Since the demand response (DR) market was introduced in Korea, load aggregators have also been allowed to participate in the electricity market. However, a risk-management-based method for the efficient operation of demand response resources (DRRs) h...
Determining contingency reserve is critical to project risk management. Classic methods of determining contingency reserve significantly rely on historical data and fail to effectively incorporate certain types of uncertainties such as vagueness, amb...
The aggregation of blood platelets is the pivotal step that leads to thrombosis. The risk of thrombotic events increases with age. Available data suggest that minerals taken with diet can affect the course of thrombosis. However, little is known abou...
The analysis of loss data is of utmost interest in many branches of the financial and insurance industries, in structural engineering and in operation research, among others. In the financial industry, the determination of the distribution of losses...
Risk-mitigation decisions in risk-management systems are usually based on complex risk indicators. Therefore, aggregation is an important step during risk assessment. Aggregation is important when determining the risk of components or the overall ris...
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte C...
This paper proposes the problem of decision making of an electric vehicle (EV) aggregator in a competitive market in the presence of different uncertain resources. In the proposed model, a bi-level problem is formulated where, in the upper-level, the...
This study proposes a component-based model for assessing risks in the design of high-tech products. The model took into account the novelty of components, which affected the risk level in the development process. The risk assessment was based on fuz...
In order to understand the distribution, occurrence forms, and influencing factors of chromium (Cr), nickel (Ni), and copper (Cu) in soil aggregates, a five-step extraction method was used to determine their forms in soil aggregates of different size...
We propose a theoretical basis for analyzing several features of genetic diseases caused by dominant alleles, including: disease prevalence, genotype penetrance, and the relationship between causal genotype frequency and disease frequency. In additio...
One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-s...
Climate change is becoming one of the main threats to fishery resources, with the attendant possibilities of decreasing income and food security. Sea surface temperature (SST) is considered a major environmental indicator of climate change, one that...
In many host–parasite systems, overdispersion in the distribution of macroparasites leads to parasite aggregation in the host population. This overdispersed distribution is often characterized by the negative binomial or by the power law. The a...
This paper proposes a stochastic bi-level decision-making model for an electric vehicle (EV) aggregator in a competitive environment. In this approach, the EV aggregator decides to participate in day-ahead (DA) and balancing markets, and provides ene...
Heavy metal pollution in soils, especially in mineral aggregation areas, presents significant sustainability challenges affecting ecosystem health and human well-being. This study conducted source apportionment and risk analysis of soil heavy metals...
Modeling risk management systems in construction projects is a complex process because of various internal and external factors and their interrelationships. Fuzzy system dynamics (FSD) have been commonly employed to model and analyze construction ri...
Land degradation under the influence of global warming and ecological environmental destruction due to poor land management is the main challenge facing the Mongolian Plateau, and its future ecological risk change trends and drivers are also unclear....
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This paper applies probabilistic risk assessment in quantifying risks from cumulative and aggregate risk pathways for selected goitrogens in water and food. Results show that the percentages of individuals with a Hazard Index (HI) value above 1 range...
The present research aims at investigating the vibration period of structural units (SUs) of a typical masonry aggregate located in the historical center of Mirandola, a municipality in the province of Modena. The clustered building consists of eight...
The present paper aims at inspecting the structural behaviour of a typical masonry aggregate located in the historical centre of Cercola, a municipality in the province of Naples. The clustered building under study consists of four structural units m...
The widely used Poisson count process in insurance claims modeling is no longer valid if the claims occurrences exhibit dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting proce...
In the compound Poisson insurance risk model under a dividend barrier strategy, this paper aims to analyze jointly the aggregate discounted claim amounts until ruin and the total discounted dividends until ruin, which represent the insurer’s payments...
The economic sustainability of agricultural production is a crucial concern for most farmers, especially for pig producers who face dynamic changes in the market. Approaches for economic sustainability assessment found in the literature are mainly fo...
This paper investigates the estimation of the value at risk (VaR) across various probability levels for the log-returns of a comprehensive dataset comprising four thousand crypto-assets. Employing four recently introduced adaptive conformal inference...
Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside ris...
This paper performs a comprehensive analysis of the wind energy potential of onshore regions in Greece with emphasis on quantifying the volume risk and the spatial covariance structure. Optimization techniques are employed to derive efficient wind ca...
In the present paper, an investigation on the natural and anthropic radioactivity and heavy metals content in a basalt aggregate for concrete from Sicily, Southern Italy, was performed as a case study. In particular, the evaluation of the specific ac...
A multitude of laboratory and clinical interferences influence the utility of platelet-based diagnostic indices, including immature platelet fraction, in longitudinal monitoring and prognostication of patients with chronic liver disease (CLD). The co...
This paper mainly discusses the demand bidding and risk management of user aggregators by considering profit and risk. The covariance matrix of demand price was used to analyze the risk model under an uncertain demand price. By considering revenue an...
The PRISM (partial risk map) methodology is a novel risk assessment method developed as the combination of the failure mode and effect analysis and risk matrix risk assessment methods. Based on the concept of partial risks, three different aggregatio...
Twin and adoption studies point towards a genetic contribution to tinnitus; however, how the genetic risk applies to different forms of tinnitus is poorly understood. Here, we perform a familial aggregation study and determine the relative recurrence...
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