For centuries, mathematicians and, later, statisticians, have found natural research and
employment opportunities in the realm of insurance. By definition, insurance offers financial …

Reinsurance is an effective way for an insurance company to control its risk. How to design
an optimal reinsurance contract is not only a key topic in actuarial science, but also an …

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry
and regulatory standard for the calculation of risk capital in banking and insurance. This …

This article develops a unifying framework for allocating the aggregate capital of a financial
firm to its business units. The approach relies on an optimization argument, requiring that the …

Drawing from many sources in the literature, Stochastic Dominance and Applications to
Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a …

Despite the fact that the Euler allocation principle has been adopted by many financial
institutions for their internal capital allocation process, a comprehensive description of Euler …

We introduce autoregressive implicit quantile networks (AIQN), a fundamentally different
approach to generative modeling than those commonly used, that implicitly captures the …

Risk aggregation with dependence uncertainty refers to the sum of individual risks with
known marginal distributions and unspecified dependence structure. We introduce the …

A portfolio choice model in continuous time is formulated for both complete and incomplete
markets, where the quantile function of the terminal cash flow, instead of the cash flow itself …

Generative Flow Networks (GFlowNets) are a new family of probabilistic samplers where an
agent learns a stochastic policy for generating complex combinatorial structure through a …