Search Results - subject_exact:"Risk modelling"

Incorporating physical climate risks into banks' credit risk models

Pozdyshev, Vasily; Lobanov, Alexey; Ilinsky, Kirill - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015448625

Impact of the longevity risk on permanent life annuity in the context of IFRS 17

Špirková, Jana; Zelinová, Silvia; Zimmermann, Pavel; … - 2026

Longevity risk - the risk that policyholders outlive expected mortality projections - poses a significant challenge to the financial sustainability of pension insurance. This paper investigates the valuation of permanent life annuities under IFRS 17, the accounting standard that fundamentally...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654680

Enhancing the Cournot model by integrating risk events and attitudes towards risk

Diogo, José; Godinho, Pedro; Costa, João Paulo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015376406

Model averaging and grid maps for modeling heavy-tailed insurance data

Mothibe, Lira B.; Shongwe, Sandile C. - 2026

This work presents a practical approach to improve risk quantification for heavy-tailed insurance claims through model averaging and grid map visualization, addressing the drawbacks of traditional single "best" model selection commonly used in actuarial and model-fitting literature. This is a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611274

Insuring algorithmic operations : liability risk, pricing, and risk control

Liu, Zhiyong John; Park, Jin; Wang, Mengying; Wen, He - 2026

Businesses increasingly rely on algorithmic systems and machine learning models to make operational decisions about customers, employees, and counterparties. These "algorithmic operations" can improve efficiency but also concentrate liability in a small number of technically complex, drifting...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614146

Self-protection and self-insurance in pest management : the role of risk preferences and beliefs

Bougherara, Douadia; Nauges, Céline; Salanié, François; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614466

Guaranteed annuity option under correlated and regime-switching risks

Grozen, Jude Martin B.; Mamon, Rogemar S. - 2026

Guaranteed annuity options (GAOs) allow policyholders to convert accumulated funds into life annuities at maturity at a guaranteed minimum rate. Thus, insurers are exposed to both investment and longevity risks. Accurate valuation of these long-term, survival-contingent contracts is essential...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615258

Risk adjustment for ADRD in medicare advantage and health care experiences

Fu, Wei; Qian, Yuting; Karimi, Seyed; Zarei, Hamid; Chen, Xi - 2026

Failure to account for the full complexity and costs of high-need populations in the risk-adjusted capitated payment model for Medicare Advantage (MA) plans may create financial disincentives for plans to invest in comprehensive care for affected beneficiaries, potentially exacerbating health...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615819

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Risk adjustment for ADRD in medicare advantage and health care experiences

Fu, Wei; Qian, Yuting; Karimi, Seyed; Zarei, Hamid; Chen, Xi - 2026

Book / Working Paper

Optimal insurance with information asymmetry : nonlinear and linear pricing

Han, Xia; Li, Bin; Luo, Yao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015582950

Climate change, catastrophes, insurance and the macroeconomy

Giuzio, Margherita; Rousová, Linda; Kapadia, Sujit; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015583665

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Climate change, catastrophes, insurance and the macroeconomy

Giuzio, Margherita; Rousová, Linda; Kapadia, Sujit; … - 2026

Book / Working Paper

Forecasting out-of-time credit scoring model risk

Yoshida Jr., Valter T.; Schiozer, Rafael Felipe; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625453

In data we trust? : emerging policy and supervisory approaches to AI data use in financial services

Crisanto, Juan Carlos; Currat, Adrien; Ehrentraud, Johannes - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628198

Financial Protection Against Catastrophic Risks : Floods, Fires and Other Major Risks

2026

Increasing damages and losses from large-scale catastrophe risks such as natural hazards and cyber attacks are impacting the availability of affordable insurance coverage. This is forcing governments to increase their focus on addressing the resulting protection gaps. This report aims to support...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015629211

Risk-informed machine learning models for renewal classification in motor insurance

Boonkrong, Pichit; Yang, Junwei; Huang, Xueyuan; … - 2026

This study develops an interpretable machine learning framework for type 1 motor insurance renewal classification using 70,290 real-world Thai policies, providing essential insights for pricing, customer retention, and operational decision making. The dataset was partitioned into a 70% training...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639023

A first step toward a CAT model framework : an ODE-based risk analysis of urban floods triggered by meteorological events

Curioso, Beatriz A.; Esquível, Manuel L.; Guerreiro, … - 2026

This paper presents a physics-based hazard model for catastrophe (CAT) modelling of urban flood risk-a first step toward a complete CAT modelling framework. We introduce a linear second-order ordinary differential equation (ODE) system to simulate the underlying mechanisms of water accumulation,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640213

Advanced insurance risk modeling for pseudo-new customers using balanced ensembles and transformer architectures

Solly, Finn L.; Soriano-Gonzalez, Raquel; Juan, Angel A.; … - 2026

In insurance portfolios, classifying customers without a prior history at a given company is particularly challenging due to the absence of historical behavior, extreme class imbalance, heavy-tailed loss distributions, and strict operational constraints. Traditional machine learning approaches,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640346

Risk scoring for crop insurance at enrollment : evidence and limits

Colonescu, Constantin; Ghosh, Subhadip; Islam, Shahidul - 2026

Crop insurance has to be priced and screened before the season's main losses are known. This paper asks how far an insurer can get using only the information already available when a contract is enrolled: where the farm is, what crop and practice are insured, the chosen coverage level, and the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656236

Equilibrium in the insurance chain under risk and ambiguity aversion

Lima, Luis Adrián - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650822

A climate stress testing exercise on loans to European small and medium enterprises

Chen, Yujia; Ding, Zhenghong; Barbaglia, Luca; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632732

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A climate stress testing exercise on loans to European small and medium enterprises

Chen, Yujia; Ding, Zhenghong; Barbaglia, Luca; … - 2025

Book / Working Paper

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk models

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632814

Risk management practices on U.S. farms and ranches, 1996-2020

Baldwin, Katherine; Miller, Noah; Todd, Jessica E. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632940

Bayesian sensitivity of insurance premium in collective risk model under bivariate prior with dependent frequency and severity of claims

Boratyńska, Agata - 2026

This study deals with the problem of robustness of the collective and Bayes premiums under uncertainty of prior knowledge. The inaccuracy of the prior knowledge concerns the disturbance of independence between variables describing the frequency and average value of claims. Traditionally, these...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667526

Optimal long-term care provision and insurance with heterogeneous preferences and risks

Clavet, Nicholas-James; Michaud, Pierre-Carl; Navaux, Julien - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668191

Dynamic risk adjustment in markets with persistent risk and manipulable signals : market design for health insurance

Chan, Alex - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015665447

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Dynamic Risk Adjustment in Markets with Persistent Risk and Manipulable Signals : Market Design for Health Insurance

Chan, Alex - 2026

Book / Working Paper

Managing basis risks effectively : balancing the trade-offs from uncertain forecasts for anticipatory action and disaster risk financing

Thompson, Erica; Gibbins, Goodwin - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675742

Optimal capital allocation between earth and space insurance : a standard portfolio theory approach

Dai, Yuechen; Watt, Richard; Das, Kuntal K. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015673425

Longevity option and longevity swap de-risking strategies under frailty-based mortality models

Carannante, Maria; D'Amato, Valeria; Haberman, Steven; … - 2026

In this research, we develop longevity option and longevity swap de-risking strategies based on a frailty-based mortality model in order to obtain more effective longevity risk transfer by means of unbiased projections. The main findings show that when an appropriate de-risking strategy is not...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676652

A unified longevity-financial risk framework for evaluating pension funding ratios

Rania, Francesco - 2026

Defined-benefit pension funds face simultaneous exposure to longevity risk and financial market volatility, yet most regulatory frameworks assess these risks in isolation using deterministic methods. This paper examines how their joint occurrence affects fund solvency measured by the funding...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676662

Optimal design of model-contingent insurance contracts

Riedel, Frank; Spengemann, Marco - 2026

We study optimal insurance design under linear transaction costs for a policyholder with smooth ambiguity preferences when the underlying loss distribution is identifiable ex post. Under expected utility, Arrow's classical theorem implies that the optimal contract is a straight deductible. Under...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677183

Risk design : AI and prediction beyond screening in insurance markets

Chan, Alex - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676521

Pooling catastrophic mortality risk in smallholder livestock systems : an ASEAN-5 sovereign risk pool and catastrophe bond

Kiatanantha Lounkaew - 2026

Single-country livestock-mortality insurance programs in smallholder economies face a structural problem: under regime-switching mortality, the capital needed to stay solvent in a bad year can approach annual premium revenue, so public budgets become the insurer of last resort. This paper...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059158

Insurance against risk? : cost and compensation of job loss in different welfare states

Bedük, Selçuk; Fasang, Anette; Harkness, Susan; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016073940

Socio-economic differences in mortality and fairness : pricing and solvency implications for life insurance portfolios

Di Giacinto, Marina; Marino, Mario; Vigna, Elena - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072772

Selecting risk adjusters with penalized regression and expert judgment : evidence from Colombia

Arias, Camilo - 2026

Risk adjustment formulas are essential in health insurance markets, as they mitigate risk selection incentives by aligning revenues with expected healthcare expenses based on enrollee characteristics. However, current formulas can underpredict spending for certain groups, leading to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070984

The future of insurance in a fragmenting world

2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062420

Environmental insurance and resilience in the age of natural disasters

Borghesi, Simone; Colivicchi, Ilaria; Iannucci, Gianluca; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083705

Can risk-rating of incremental premiums improve consumer sorting across coverage options in mandatory health insurance markets?

Antonini, Marcello; Henriquez, Josefa; Kleef, Richard … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071150

Solvency and systemic risk of European life insurers

Chatterjee, Somnath; Humphry, David - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064174

A climate stress testing exercise on loans to European small and medium enterprises

Chen, Yujia; Ding, Zhenghong; Barbaglia, Luca; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015564373

Behavioral economics and insurance

Chouzouris, Michail - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640849

Credit risk meets insurance risk : a unified framework

Delsing, Guusje; Mandjes, Michel; Spreij, Peter; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670581

Solvency requirements for insurers : Ukrainian practices and international experience

Novosolova, Olena - 2025

The relevance of the study was due to the transformation of approaches to regulating the solvency of insurers in the world's leading economies and the need to adapt the Ukrainian insurance supervision system to international standards. Countries with developed insurance markets use capital...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616705

Climate risk, policy, and insurance : a forecast-based model for weather index design in vulnerable economies

Abrego-Perez, Adriana L.; Nuñez-Mora, José A. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654319

Fundamentals of managing risk and insurance : a focus on frontier markets

Andoh, Charles - 2026

Basic Risk Concepts -- Basic Insurance Concepts -- Some forms of Insurance Products and Bonds -- Risk, Insurance and the Home -- Risk, Insurance and the Extractive Industry -- Risk, Insurance and the Transportation Industry -- Risk, Insurance and Other Industries -- Insurance Markets and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015560036