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Related publications (27)

Page 1 of 2

Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses

Erwan Fabrice Koch

H & uuml;sler-Reiss vectors and Brown-Resnick fields are popular models in multivariate and spatial extreme-value theory, respectively, and are widely used in applications. We provide analytical formulas for the correlation between powers of the components ...

Springer2024

Wind, Hail, and Climate Extremes: Modelling and Attribution Studies for Environmental Data

Ophélia Mireille Anna Miralles

This thesis presents work at the junction of statistics and climate science. We first provide methodology for use by climate scientists when performing fast event attribution using extreme value theory, and then describe two interdisciplinary projects in c ...

EPFL2023

Promoting synergies for sustainability through peer-to-peer sharing: an analysis of drivers and barriers

Claudia Rebeca Binder Signer, Ralph Hansmann

Peer-to-peer (P2P) sharing may foster sustainability synergistically by saving resources, reducing costs and promoting satisfaction of consumer needs and social connectivity. A survey of Swiss and Swedish consumers (N = 1522) was conducted to analyze drive ...

TAYLOR & FRANCIS INC2023

High spatial resolution dataset of La Mobiliere insurance customers

Claudia Rebeca Binder Signer, Emanuele Massaro

We present the La Mobiliere insurance customers dataset: a 12-year-long longitudinal collection of data on policies of customers of the Swiss insurance company La Mobiliere. To preserve the privacy of La Mobiliere customers, we propose the data aggregated ...

NATURE PORTFOLIO2022

Stochastic derivative estimation for max-stable random fields

Erwan Fabrice Koch

We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...

ELSEVIER2022

Leveraging insurance customer data to characterize socioeconomic indicators of Swiss municipalities

Claudia Rebeca Binder Signer, Emanuele Massaro

The availability of reliable socioeconomic data is critical for the design of urban policies and the implementation of location-based services; however, often, their temporal and geographical coverage remain scarce. We explore the potential for insurance c ...

2021

Augmenting the performance of impoverished sensor networks using machine learning and time reversal: Application to lightning nowcasting and location

Amirhossein Mostajabi

Lightning is formed in the atmosphere through the combination of intricate dynamic and microphysical processes. Mainly due to this complexity, attempts to solve the important problem of lightning prediction have generally failed to yield accurate results. ...

EPFL2021

Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market

Jiahua Xu

The value of a life settlement investment, manifested through a traded life insurance policy, is highly dependent on the insured's life expectancy (LE). LE estimation in life settlements relies heavily on medical underwriting. Employing different evaluatio ...

2020

Planning Supply with 'Opportunity Goods' : Complementing Premium Parts with Select Discount Components

Thomas Alois Weber

In this paper, we introduce the notion of an "opportunity good" as a discount production input that may prove of satisfactory quality upon inspection and otherwise can be returned to the supplier. While in a quality-sensitive setting it is never optimal to ...

2020

Critical Infrastructure Resilience: Lessons from Insurance

Marie-Valentine Renée Agnès Florin

This policy brief suggests five factors and describes use cases to guide and inspire attempts to develop resilience-based insurance solutions and to enhance a positive feedback between insurance and resilience. ...

EPFL International Risk Governance Center (IRGC)2019

Insurance: models, digitalization, and data science

Damir Filipovic

This article summarizes the main topics and findings from the Swiss Risk and Insurance Forum 2018. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the challenges arising from the impact ...

2019

Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)

Jiahua Xu

Due to its enormous size and capital base, the insurance industry has the potential to play a key role in countering climate change. To this end, the major capital flows associated with its investment and underwriting businesses would need to be redirected ...

PALGRAVE MACMILLAN LTD2019

Asset-liability management for long-term insurance business

Damir Filipovic, Joël Wagner

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as well as f ...

2018

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

A severe hail storm in complex topography in Switzerland-Observations and processes

Nikola Besic

This paper studies a damaging hail storm that occurred on 6 June 2015 in the complex topography of Switzerland. The storm persisted for several hours and produced large hail resulting in significant damage. Storms of comparable severity occur on average on ...

ELSEVIER SCIENCE INC2018

Semiparametric Bayesian Risk Estimation for Complex Extremes

Thomas Lugrin

Extreme events are responsible for huge material damage and are costly in terms of their human and economic impacts. They strike all facets of modern society, such as physical infrastructure and insurance companies through environmental hazards, banking an ...

EPFL2018

Unspanned stochastic volatility in the multifactor CIR model

Damir Filipovic, Martin Larsson, Francesco Statti

Empirical evidence suggests that fixed-income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin-Dufresne and Goldstein (2002, Journal of Finance, 57, ...

2019

Incorporating model uncertainty into optimal insurance contract design

Anna Timonina-Farkas

In stochastic optimization models, the optimal solution heavily depends on the selected probability model for the scenarios. However, the scenario models are typically chosen on the basis of statistical estimates and are therefore subject to model error. W ...

Elsevier2017

Robust Portfolio Optimization

Zheng Wei Yap

Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...

EPFL2017

Essays on Capital Calculation in Insurance

Mathieu Jacques David Cambou

In order to be able to bear the risk they are taking, insurance companies have to set aside a certain amount of cushion that can guarantee the payment of liabilities, up to a dened probability, and thus to remain solvent in case of bad events. This amount ...

EPFL2016