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...

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...

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time fac- tor approach. The model allows for imperfect correlation of mortality intensity across generations. It is implemented on UK data for the period...

The majority of work in mortality modeling involves factor-based approaches, with little use of information on the determinants and interpretable risk factors of mortality. At the same time, in the demographic community, there has been a lack of research attention towards the study of mortality...

We propose a new overarching interpretation of multidimensional information flows and their relation to market movements. The new conceptualization hinges on results of two distinct mathematical theories, Lévy processes and marked Poisson processes, bridged in Jevtić et al. (2016) and applied...

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 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...

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....

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...