Cyber risk has emerged as a significant threat to businesses that have increasingly relied on new and existing information technologies (IT). Across various businesses in different industries and sectors, a distinct pattern of IT network architectures, such as the client-server network...

Power network models often incorporate risks from extreme weather events to inform public policy but lack consideration of emerging risks such as cyberattacks. This is due to the increased risk of cyberattacks being difficult to model. In this work, we propose a stochastic approach to...

In this paper, we propose two important extensions to cluster-weighted models (CWMs). First, we extend CWMs to have generalized cluster-weighted models (GCWMs) by allowing modeling of non-Gaussian distribution of the continuous covariates, as they frequently occur in insurance practice....

This paper introduces a probabilistic framework for the joint survivorship of couples in the context of dynamic stochastic mortality models. The new framework gives an intuitive and flexible pairwise cohort-based probabilistic mechanism that can accommodate both deterministic and stochastic...

The paper describes a model that evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to longevity risk and financial risks. Liabilities are evaluated at fair-value. Interest-rate risk can affect both assets and liabilities. Longevity risk is described via a...

This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described...

We propose a supervised learning approach to statistically quantify the magnitude of extreme events on vulnerable communities using publicly available panel data directly reflective of the different dimensions and manifestations of social suffering. The manifestations along these dimensions...

In this article we demonstrate the practical application of standard partial equilibrium, in backward stochastic differential equation (BSDE) framework, to pricing longevity bonds which are essential for functioning of the life market. The market for mortality linked instruments or so-called...

This paper constructs a class of multivariate Gaussian marked Poisson processes to model asset returns. The model proposed accommodates the cross section properties of trades, allows for returns to be correlated conditional on trading activity, and preserves the economic intuition of normality...

At present, academic actuarial research involving the mortality modeling of multiple populations mainly focuses on factor-based approaches. This comes with little attention to interpretable models of mortality that take patterns across space into consideration. To address this, we propose a...