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...

The Axelrod model is a spatial stochastic model for the dynamics of cultures which, similar to the voter model, includes social influence, but differs from the latter by also accounting for another social factor called homophily, the tendency to interact more frequently with individuals who are...

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...

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...

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 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...

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...