Tag: Insurance and Financial Risk Management
Dependence uncertainty affects risk evaluation in joint life insurance
What the study found The study found that, for some standard joint life insurance contracts, risk evaluation based on a distortion risk measure is monotone with respect to the concordance order of the underlying copula, which is a way to describe dependence between two lifetimes. The authors also report that bounds for the mean, Value-at-Risk,…
RNN-based distortion models improved CAT bond pricing
Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.
Expectiles can minimize basis risk in parametric insurance
Expectiles characterize basis risk-optimal payment schemes in parametric insurance contracts, minimizing asymmetric loss functions while retaining operational efficiency.
