arXiv - QuantFin - Risk Management最新文献_第2页

Spectral signatures of structural change in financial networks 金融网络结构变化的光谱特征

arXiv - QuantFin - Risk Management Pub Date : 2024-09-05 DOI: arxiv-2409.03349

Valentina Macchiati, Emiliano Marchese, Piero Mazzarisi, Diego Garlaschelli, Tiziano Squartini

{"title":"Spectral signatures of structural change in financial networks","authors":"Valentina Macchiati, Emiliano Marchese, Piero Mazzarisi, Diego Garlaschelli, Tiziano Squartini","doi":"arxiv-2409.03349","DOIUrl":"https://doi.org/arxiv-2409.03349","url":null,"abstract":"The level of systemic risk in economic and financial systems is strongly\u0000determined by the structure of the underlying networks of interdependent\u0000entities that can propagate shocks and stresses. Since changes in network\u0000structure imply changes in risk levels, it is important to identify structural\u0000transitions potentially leading to system-wide crises. Methods have been\u0000proposed to assess whether a real-world network is in a (quasi-)stationary\u0000state by checking the consistency of its structural evolution with appropriate\u0000maximum-entropy ensembles of graphs. While previous analyses of this kind have\u0000focused on dyadic and triadic motifs, hence disregarding higher-order\u0000structures, here we consider closed walks of any length. Specifically, we study\u0000the ensemble properties of the spectral radius of random graph models\u0000calibrated on real-world evolving networks. Our approach is shown to work\u0000remarkably well for directed networks, both binary and weighted. As\u0000illustrative examples, we consider the Electronic Market for Interbank Deposit\u0000(e-MID), the Dutch Interbank Network (DIN) and the International Trade Network\u0000(ITN) in their evolution across the 2008 crisis. By monitoring the deviation of\u0000the spectral radius from its ensemble expectation, we find that the ITN remains\u0000in a (quasi-)equilibrium state throughout the period considered, while both the\u0000DIN and e-MID exhibit a clear out-of-equilibrium behaviour. The spectral\u0000deviation therefore captures ongoing topological changes, extending over all\u0000length scales, to provide a compact proxy of the resilience of economic and\u0000financial networks.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142191291","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Lapse-supported life insurance and adverse selection 失效支持人寿保险和逆向选择

arXiv - QuantFin - Risk Management Pub Date : 2024-09-03 DOI: arxiv-2409.01843

Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald

{"title":"Lapse-supported life insurance and adverse selection","authors":"Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald","doi":"arxiv-2409.01843","DOIUrl":"https://doi.org/arxiv-2409.01843","url":null,"abstract":"If individuals at the highest mortality risk are also least likely to lapse a\u0000life insurance policy, then lapse-supported premiums magnify adverse selection\u0000costs. As an example, we model 'Term to 100' contracts, and risk as revealed by\u0000genetic test results. We identify three methods of managing lapse surplus:\u0000eliminating it by design; disposing of it retrospectively (through\u0000participation); or disposing of it prospectively (through lapse-supported\u0000premiums). We then assume a heterogeneous population in which: (a) insurers\u0000cannot identify individuals at high mortality risk; (b) a secondary market\u0000exists that prevents high-risk policies from lapsing; (c) financial\u0000underwriting is lax or absent; and (d) life insurance policies may even be\u0000initiated by third parties as a financial investment (STOLI). Adverse selection\u0000losses under (a) are typically very small, but under (b) can be increased by\u0000multiples, and under (c) and (d) increased almost without limit. We note that\u0000the different approaches to modeling lapses used in studies of adverse\u0000selection and genetic testing appear to be broadly equivalent and robust.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"194 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142191355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal Ratcheting of Dividends with Irreversible Reinsurance 利用不可逆再保险优化红利梯级分配

arXiv - QuantFin - Risk Management Pub Date : 2024-08-30 DOI: arxiv-2408.16989

Tim J. Boonen, Engel John C. Dela Vega

{"title":"Optimal Ratcheting of Dividends with Irreversible Reinsurance","authors":"Tim J. Boonen, Engel John C. Dela Vega","doi":"arxiv-2408.16989","DOIUrl":"https://doi.org/arxiv-2408.16989","url":null,"abstract":"This paper considers an insurance company that faces two key constraints: a\u0000ratcheting dividend constraint and an irreversible reinsurance constraint. The\u0000company allocates part of its reserve to pay dividends to its shareholders\u0000while strategically purchasing reinsurance for its claims. The ratcheting\u0000dividend constraint ensures that dividend cuts are prohibited at any time. The\u0000irreversible reinsurance constraint ensures that reinsurance contracts cannot\u0000be prematurely terminated or sold to external entities. The dividend rate level\u0000and the reinsurance level are modelled as nondecreasing processes, thereby\u0000satisfying the constraints. The incurred claims are modelled via a Brownian\u0000risk model. The main objective is to maximize the cumulative expected\u0000discounted dividend payouts until the time of ruin. The reinsurance and\u0000dividend levels belong to either a finite set or a closed interval. The optimal\u0000value functions for the finite set case and the closed interval case are proved\u0000to be the unique viscosity solutions of the corresponding\u0000Hamilton-Jacobi-Bellman equations, and the convergence between these optimal\u0000value functions is established. For the finite set case, a threshold strategy\u0000is proved to be optimal, while for the closed interval case, an\u0000$epsilon$-optimal strategy is constructed. Finally, numerical examples are\u0000presented to illustrate the optimality conditions and optimal strategies.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142191290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Quantifying the degree of risk aversion of spectral risk measures 量化频谱风险度量的风险规避程度

arXiv - QuantFin - Risk Management Pub Date : 2024-08-28 DOI: arxiv-2408.15675

E. Ruben van Beesten

引用次数: 0

Assessing solution quality in risk-averse stochastic programs 评估风险规避随机程序的解决方案质量

arXiv - QuantFin - Risk Management Pub Date : 2024-08-28 DOI: arxiv-2408.15690

E. Ruben van Beesten, Nick W. Koning, David P. Morton

引用次数: 0

Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning 利用增量批量学习评估信用 VIX (CDS IV) 预测方法

arXiv - QuantFin - Risk Management Pub Date : 2024-08-27 DOI: arxiv-2408.15404

Robert Taylor

引用次数: 0

A novel k-generation propagation model for cyber risk and its application to cyber insurance 新型网络风险 k 代传播模型及其在网络保险中的应用

arXiv - QuantFin - Risk Management Pub Date : 2024-08-26 DOI: arxiv-2408.14151

Na Ren, Xin Zhang

{"title":"A novel k-generation propagation model for cyber risk and its application to cyber insurance","authors":"Na Ren, Xin Zhang","doi":"arxiv-2408.14151","DOIUrl":"https://doi.org/arxiv-2408.14151","url":null,"abstract":"The frequent occurrence of cyber risks and their serious economic\u0000consequences have created a growth market for cyber insurance. The calculation\u0000of aggregate losses, an essential step in insurance pricing, has attracted\u0000considerable attention in recent years. This research develops a path-based\u0000k-generation risk contagion model in a tree-shaped network structure that\u0000incorporates the impact of the origin contagion location and the heterogeneity\u0000of security levels on contagion probability and local loss, distinguishing it\u0000from most existing models. Furthermore, we discuss the properties of\u0000k-generation risk contagion among multi-paths using the concept of d-separation\u0000in Bayesian network (BN), and derive explicit expressions for the mean and\u0000variance of local loss on a single path. By combining these results, we compute\u0000the mean and variance values for aggregate loss across the entire network until\u0000time $t$, which is crucial for accurate cyber insurance pricing. Finally,\u0000through numerical calculations and relevant probability properties, we have\u0000obtained several findings that are valuable to risk managers and insurers.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"217 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142191296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal insurance design with Lambda-Value-at-Risk 利用 Lambda 风险价值进行最佳保险设计

arXiv - QuantFin - Risk Management Pub Date : 2024-08-19 DOI: arxiv-2408.09799

Tim J. Boonen, Yuyu Chen, Xia Han, Qiuqi Wang

引用次数: 0

Contemporaneous and lagged spillovers across crude oil, carbon emission allowance, climate change, and agriculture futures markets: Evidence from the $R^2$ decomposed connectedness approach 原油、碳排放配额、气候变化和农产品期货市场的同期和滞后溢出效应：来自 $R^2$ 分解关联性方法的证据

arXiv - QuantFin - Risk Management Pub Date : 2024-08-19 DOI: arxiv-2408.09669

Yan-Hong Yang, Ying-Hui Shao, Wei-Xing Zhou

引用次数: 0

Using Fermat-Torricelli points in assessing investment risks 利用费马-托里切利点评估投资风险

arXiv - QuantFin - Risk Management Pub Date : 2024-08-17 DOI: arxiv-2408.09267

Sergey Yekimov

引用次数: 0