Financial services
InsuranceMaturity: concept
Risk pricing, scenario modelling, claims/fraud analysis and portfolio management concepts.
concept — An idea we find credible. Nothing has been built or measured.
What this is
The problem
Pricing risk requires modelling scenarios where the losses correlate — the flood that damages many policies at once, the event that triggers claims across a whole book. Correlated tail risk is what turns a bad year into an insolvency.
Where the current approach strains
Catastrophe models are detailed for known perils and weaker for compound events. Correlation structures are estimated from limited historical data, and the events that matter most are the least represented in it.
What we are exploring
Scenario modelling and portfolio-level risk aggregation, with particular attention to the correlated tail rather than the well-served central case.
What would have to be true
Validation against historical catastrophe events, and a clear statement of which perils and correlations the model does not cover — the exclusions are as important as the coverage.
Where it applies
Related
Trading Optimization
Execution optimisation, transaction costs, market impact and dynamic allocation.
Risk Management
Scenario analysis, stress testing, VaR and constraint optimisation.
Portfolio Optimisation
QUBO, VQE/QAOA and hybrid concepts for asset allocation and risk-return trade-offs.