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Showing 1 to 5 of 5 for “"Risk aggregation"”.
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Risk aggregation and capital allocation using copulas
Banking is a risk and return business; in order to obtain the desired returns, banks are required to take on risks. Following the demise of Lehman Brothers in September 2008, the Basel III Accord proposed considerable increases in capital charges for banks. Whilst this ensures greater economic …
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On Laplace transforms, generalized gamma convolutions, and their applications in risk aggregation
… variables. In Chapter 4, we explore the topic of risk aggregation with moment matching \\approximations. We put forward a refined moment matching approximation (MMA) method for approximating the distributions of the sums of insurance risks. Our method approximates the distributions of interest to …
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Beyond Cryptography: Deniable Privacy for Secure Data Aggregation
… of the count function, an essential data aggregation primitive, in the context of a real-world secure data aggregation platform called SCRAM (Secure Cyber Risk Aggregation and Measurement). Subject to the constraints of few data contributors and a limited tolerance for noise in the output …
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Advancing SCRAM: Privacy-Centric Approaches in Cyber Risk Measurement
The Secure Cyber Risk Aggregation and Measurement (SCRAM) framework allows multiple parties to compute aggregate cyber-risk measurements without the need to disclose publicly any information about their identity and their personal data. The framework, through the use of Multi-Party Computation …
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Capital allocation and risk management in insurance
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-11-11 without embargo terms