In this research, we consider cyber risk in insurance using a quantum approach, with a focus on the differences between reported cyber claims and the number of cyber attacks that caused them. Unlike the traditional probabilistic approach, quantum modeling makes it possible to deal with...

The Danish fire loss dataset records commercial fire losses under three insurance coverages: building, contents, and profits. Existing research has primarily focused on the heavy-tail behaviour of the losses but ignored the relationship among different insurance coverages. In this paper, we aim...

The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets. Before constructing a portfolio, selecting a set of investment opportunities is...

In this paper, the copula theory is used to describe the dependence structure between variables, while the information theory provides the tools necessary to measure the uncertainty associated with these variables. What both theories have in common is copula entropy, which is strictly related to...

It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...