Statistical analysis provides a risk assessment of nuclear safety based on historical data. We use classical probabilistic models from risk theory to analyze data on nuclear power accidents from 1952 to 2011. Findings are that the severities of nuclear power accidents should be modeled with an...

We engage in a scholarly discussion with artificial intelligence chatbot ChatGPT on concepts in quantitative risk management important for actuarial practice and analyze the interaction. We investigate the extent to which ChatGPT can grasp concepts from the realm of risk, risk measures, time...

This paper presents an intellectual exchange with ChatGPT, an artificial intelligence chatbot, about correlation pitfalls in risk management. The purpose of this discussion is to evaluate ChatGPT’s understanding of these pitfalls and to offer readers an engaging alternative for learning about...

A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical...

Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is...

CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market’s perception of the future loss distribution of the underlying credit portfolio. Applying Sklar’s seminal decomposition to the distribution of the vector of default times, the portfolio-loss...