10 citations · 10 across the 2 of their papers we have counts for
4 papers
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients
Parisa Davar, Frédéric Godin, Jose Garrido
This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process…
On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model
Zied Ben Salah, José Garrido
We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival aft…
Bayesian Credibility for GLMs
Oscar Alberto Quijano Xacur, José Garrido
We revisit the classical credibility results of Jewell and Bühlmann to obtain credibility premiums for a GLM using a modern Bayesian approach. Here the prior distributions can be c…
Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
Ramin Okhrati, Alejandro Balbás, José Garrido
In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Follmer-Schweizer decompositions are discussed in a structural model. This…