This white paper presents analysis of Advisen Cyber Loss dataset (www.advisenltd.com/data/cyber-loss-data/) containing a historical view of cyber events, collected from reliable and publicly verifiable sources. The dataset analyzed in this study comprehends 132,126 cyber events during 2008-2020,...

Presentation on fundamentals of Operational Risk Modelling. The core components of a quantitative operational risk modelling framework. Based on references:1. Cruz MG, Peters GW, Shevchenko PV. Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk. John...

In this paper, we propose a general methodology to sample sequentially from a sequence of probability distributions known up to a normalizing constant and defined on a common space. These probability distributions are approximated by a cloud of weighted random samples which are propagated over...

This is the supplementary appendix to the paper `On-chain analytics for sentiment-driven statistical causality in cryptocurrencies', by Chalkiadakis, Ioannis and Zaremba, Anna and Peters, Gareth and Chantler, Michael John.The appendix contains additional studies and research results for the main...

This represents the original developments of Sequential Monte Carlo Samplers in the class of solutions that generalise SMC filtering methods to the case of a fixed state-space. This makes such methods exact and applicable for Bayesian inference in context otherwise typically treated by Markov...

Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is...

It is important to understand the statistical features of mortality data if one is to accurately undertake mortality projection and forecasting when constructing life tables. The ability to accurately forecast mortality is a critical aspect for the study of demography, life insurance product...

The pricing of life insurance products depends critically on the ability to model and forecast three core stochastic drivers. Firstly, the ability to accurately forecast expected mortality rates by age group for a given population in order to construct estimates of the life expectancy required...

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this...