2 papers
q-fin.RM2026
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…
q-fin.RM2025
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…