We propose a novel generalization to the Student-t Probabilistic Principal Component methodology which: (1) accounts for an asymmetric distribution of the observation data; (2) is a framework for grouped and generalized multiple-degree-of-freedom structures, which provides a more flexible...

In this manuscript we explore a range of perspectives being adopted by industry and regulators in order to classify cyber crime or cyber risk loss processes. The purposes of this is to better understand and discuss the emerging perspectives on this class of risk process in order to inform...

The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under the new solvency regulations. In particular, a novel Monte Carlo method...

This survey represents a comprehensive elicitation of perspectives on operational risk (OpRisk) modelling and practice, obtained from practitioners in a wide range of countries and sectors. The survey was developed and executed by two leading organizations in operational risk in the financial...

In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different...

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...

Real-time urban climate monitoring provides useful information that can be utilized to help monitor and adapt to extreme events, including urban heatwaves. Typical approaches to the monitoring of climate data include the acquisition of weather station monitoring and also remote sensing via...

The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...