The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non …-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We … simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back …

simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of … Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the …

pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper … correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and … correlation swaps with semi-Markov volatilities are presented as well. The formulas that are detailed within the paper are …

to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …