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Study Data from Parthenope University Update Knowledge of Machine Learning (Machine Learning Techniques In Nested Stochastic Simulations for Life Insurance)

2021 FEB 11 (NewsRx) -- By a News Reporter-Staff News Editor at Engineering Business Daily-- Current study results on Machine Learning have been published. According to news reporting from Naples, ...
Business Wire

Towers Watson Introduces Updated Version of MoSes Financial Modeling Solutions for U.S. Life Insurers

NEW YORK--(BUSINESS WIRE)--To help U.S. life insurers improve risk and capital management, global professional services company Towers Watson (NYSE, NASDAQ: TW) has released an updated version of ...
Risk

Stochastic kriging for efficient nested simulation of expected shortfall

We use stochastic kriging, a metamodeling technique, to speed up nested simulation of expected shortfall, a portfolio risk measure. Evaluating a risk measure of a portfolio that includes derivative ...
Risk

A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

In this paper, we propose a latent variable credit risk model for large loan port- folios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure ...