142 citations · 159 across the 9 of their papers we have counts for
11 papers
Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems
Daniel Gaigall, Stefan Weber
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interaction…
An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models
Sören Bettels, Stefan Weber
Distortion risk measures play a critical role in quantifying risks associated with uncertain outcomes. Accurately estimating these risk measures in the context of computationally e…
Robust portfolio selection under Recovery Average Value at Risk
Cosimo Munari, Justin Plückebaum, Stefan Weber
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish exi…
Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks
Kerstin Awiszus, Thomas Knispel, Irina Penner +3
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concept…
Multinomial Backtesting of Distortion Risk Measures
Sören Bettels, Sojung Kim, Stefan Weber
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relie…
Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation
Cosimo Munari, Lutz Wilhelmy, Stefan Weber
Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements are an ins…
Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
Sojung Kim, Stefan Weber
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute…
Market Efficient Portfolios in a Systemic Economy
Kerstin Awiszus, Agostino Capponi, Stefan Weber
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective.…
Stochastic mortality models: An infinite dimensional approach
Stefan Tappe, Stefan Weber
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality mode…
Solvency II, or How to Sweep the Downside Risk Under the Carpet
Stefan Weber
Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs…
Measures of Systemic Risk
Zachary Feinstein, Birgit Rudloff, Stefan Weber
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires…