Jules SADEFO KAMDEM- Master of Math & MBA & PhD MathFi & HDR Econ.Math.Risk.
- Professor (Full) at Université de Montpellier
Jules SADEFO KAMDEM
- Master of Math & MBA & PhD MathFi & HDR Econ.Math.Risk.
- Professor (Full) at Université de Montpellier
Founder & director of Master "ACTUARIAT" and Founder & director of Master "INGENIERIE FINANCIERE", Faculty of Economics
About
127
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Introduction
Jules is currently full Professor of Economics & Finance at "Université of Montpellier (UM)". He was professor at the "Université de Guyane" (4 y), and lecturer in UM (8 y). After a Phd in Mathematical Finance and the qualification to be MCF in Applied Mathematics (CNU 26), he obtains HDR in Economics and the qualifications to be Professor in Economics (CNU 05) and Management(CNU 06). Jules has published economics, finance or mathematics articles in journals such as, Insurance: Mathematics and Economics, Environmental Modeling and Assessment, JORS, IJTAF, Economic Modeling, Journal of Multivariate Analysis, Quantitative Economics, ROIW, Annals of Finance, CSDA, CVS,CSF, IEEE.... My Research : Finance & Risk, Econometrics , Resource & Energy Economics, , Poverty, Fuzzy Sets
Current institution
Additional affiliations
September 2004 - September 2005
Position
- Professor (Associate)
Description
- I teach Financial Applications with Matlab for students of the Master in Finance.
September 2004 - September 2005
Position
- Professor (Associate)
Description
- I teach the course "Financial Applications with Matlab" for students from Master in Finance (Universiteit Van Antwerpen Management School)
September 2019 - present
Education
February 2013 - December 2013
Field of study
- Thesis : Contribution à la Finance et L'économétrie de L'incertain
September 2001 - December 2004
Field of study
- Title: Méthodes Analytiques pour le risque des portefeuilles financiers
Publications
Publications (127)
In this paper, we present a pricing model for a vulnerable Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and stochastic interest rate model. We use Mil-stein scheme to find the sample paths of asset price and its volatility, and the sample paths of interest rates of asset price movement. We use the doub...
In this paper, we provide a general framework for analyzing the optimal harvest of a renewable resource (i.e. fish, shrimp) assuming that the price and biomass evolve stochastically and harvesters have a constant relative risk aversion (CRRA). In order to take into account the impact of a sudden change in the environment linked to the ecosystem, we...
As a follow-up to the recommendations of the Kyoto Protocol to reduces climate change, the European Union has created carbon financial markets (such as "European Union Emissions Trading Scheme" (EU ETS)) allowing the introduction of a cap and trade system where mandated companies are granted carbon dioxide emission permits. These markets allow comp...
In the face of changing investment intentions, the integration of environmental, social and governance (ESG) considerations into portfolio optimization is becoming the norm. Indeed, the purely financial dimension of investments is beginning to give way to the sustainable or responsible dimension which aims to generate long-term financial returns. S...
![Neural network with input bias x0=+1\documentclass[12pt]{minimal}...](profile/Jules-Sadefo-Kamdem/publication/374743526/figure/fig1/AS:11431281237776150@1713664873524/Neural-network-with-input-bias-x0-1documentclass12ptminimal-usepackageamsmath_Q320.jpg)
This paper aims to highlight in a relevant way the interest of hybrid models (coupling of ARIMA processes and machine learning models) for economic or financial agents. These models are likely to allow better consideration of certain stylized facts (not necessarily taken into account by often-used models such as ARIMA-GARCH), observed in the analys...
This paper introduces an innovative interest rate model in which the dynamics of each factor influencing the underlying short-term interest rate is described using a mixed modified fractional Vasicek framework. The study focuses on (a) Formulating the short-term interest rate model and identifying its key parameters, including expectations, varianc...
This paper analyzes the optimal effort for a risk-averse fisherman where the biomass process follows a Hawkes jump-diffusion process with Gilpin-Ayala drift. The main feature of the Hawkes process is to capture the phenomenon of clustering. The price process is of the mean-reverting type. We prove a sufficient maximum principle for the optimal cont...
This study assesses the efficiency of French regional hospitals (excluding DOM-TOM and Corsica) from 2018 to 2021, distinguishing the prepandemic (2018-2019) and pandemic (2020-2021) periods using data envelope analysis (DEA). Two models were developed: one minimizing deaths as an adverse outcome, and the other incorporating both deaths and emergen...
This paper provides new mathematical tools to describe and quantify fuzzy risk in some economic context mainly impacted by fuzzy random phenomena. More precisely, the concept of fuzzy risk measure is defined and characterized in order to deal with randomness and impreciseness in some economic areas. Furthermore, we implement the fuzzy risk measure...
Pandemics are critical events that profoundly affect societies by exposing vulner-abilities in public health systems, economies, and global cooperation mechanisms. This study provides a comparative analysis of three major pandemics, Black Death, Spanish Flu, and Covid-19, looking at their socioeconomic, environmental, and health impacts. Through de...
In this paper, we adapt the optimal fishery management approach developed by Sarkar (2009) for optimal harvesting to depict stock biomass dynamics. Departing from the classical approach, where the harvest production function depends linearly on both fishing effort and stock, we consider the Cobb-Douglas form. This formalism allows a straightforward...
The aim of this paper is to present a new option pricing model for the financial market, named MMFSV for Mixed Modified Fractional Stochastic Volatility. We use this model to estimate the underlying price and the volatility of the DSX 15M index. The first step is to estimate the parameters of the MMFSV model and reconstruct historical volatility ba...
COVID-19 has spread worldwide and has been confirmed in more than 190 countries 1. Since December 2019, it has affected the lives of many people and had a negative impact on the economies of countries all over the world. Forecasting for COVID-19 has been a hot topic for the past 2 years, attracting many researchers from different fields due to its...
This paper analyzes the determinants of asset replacement investment decisions with maintenance and operation cost uncertainty governed by a mixed modified fractional Brownian motion(MMFBM). It addresses a crucial issue in investment decision-making and offers an innovative approach using MMFBM. The contingent claims method from the real options li...
In this study, we propose a novel conceptualization and methodology for extended intervals, defining them as subsets of the Cartesian product , where R × Z 2 , where Z 2 = {0, 1} represents the direction of interval traversal. This new framework simplifies the representation and computation of extended intervals by introducing a unique metric d γ d...
We investigate the optimal hedging strategy in a continuous time framework that is more adequate for commodities. We consider the consumption-investment problem where all asset prices follow mean-reverting jump-diffusion processes. The optimal investment and consumption strategies are derived in closed form. The framework is used to address one of...
An extended interval is a range A = [A, A] where A may be bigger than A. This is not really natural, but is what has been used as the definition of an extended interval so far. In the present work we introduce a new, natural, and very intuitive way to see an extended interval. From now on, an extended interval is a subset of the Cartesian product R...
Background: Failure to treat many pathogens is a concern. Identifying a priori, patients with potential failure treatment outcome of a disease could allow measures to reduce the failure rate. Objective: The objectives of this study were to use the Scoring method to identify factors associated with the tuberculosis unsuccessful treatment outcome and...
In the face of changing investment intentions, the integration of environmental, social and governance (ESG) considerations into portfolio optimization is becoming the norm. Indeed, the purely financial dimension of investments is beginning to give way to the sustainable or responsible dimension which aims to generate long-term financial returns. S...
In recent years, the real options theory has greatly developed in many industries. Owing to energy markets liberalization, it has become a highly uncertain and competitive sector. In this context, traditional valuation tools such as net present value have shown significant limits, particularly in terms of valorization of managerial flexibility. Now...
In this paper, we find analytic expressions of the lower partial moment and kappa index of linear portfolios when the returns are elliptically distributed. We also introduced the notion of Target Semi-Kurtosis of portfolio return and discuss the robust optimization Mean-LPM problem with non-gaussian risk factors. Special attention is given to the p...
Forecasts of spot or future prices for agricultural commodities make it possible to
anticipate the favorable or above all unfavorable development of future profits from the
exploitation of agricultural plantations or agri-food enterprises. Previous research has
shown that cyclical behavior is a dominant feature of the time series of prices of certa...
In the context of supervised learning and more precisely classification, a quality data over which a model could be trained on earnest has to be balanced, which means the model would need to see relatively the same amount of information on each of the classes during the training process for a better generalization. When the training data is not bal...
In the context of supervised learning and more precisely classification, a quality data over which a model could be trained on earnest has to be balanced, which means the model would need to see relatively the same amount of information on each of the classes during the training process for a better generalization. When the training data is not bal...
Du fait de sa situation géographique, la Guyane, région française d'Outre-mer, reste fortement dépendante des énergies fossiles importées. Avec un unique réseau électrique alimentant le littoral d'un territoire de 83 534 km 2 , les enjeux énergétiques sont nombreux et notamment liés à la diversification du mix électrique qui repose principalement s...
In this paper, we focus on a farmer’s risky income when using commodity futures, when price and output processes are randomly correlated and represented by jump-diffusion models. We evaluate the expected utility of the farmer’s wealth and determine the optimal consumption rate and hedging position at each point in time given the harvest timing and...
COVID-19 has spread worldwide and has been confirmed in more than 190 countries 1. Since December 2019, it has affected the lives of many people and had a negative impact on the economy of countries all over the world. Forecasting for
The credit risk of oil-exporting countries could depend on the evolution of oil market.
Indeed, the instability of oil prices can cause defaults on debt repayments, with a consequent deterioration in the credit quality of exporting countries. In this paper, through
an econometric analysis between oil price and other variables of oil market and CDS...
This paper extends the work of Pindyck [1] by taking into consideration a large class family of different utility functions of economic agents. As in Pindyck [1], instead of considering a social utility function that is characterized by constant relative risk aversion (C.R.R.A), we use the expo-power utility function of Saha [2]. In fact, depending...
In this paper, we estimate the cost of a data breach using the number of compromised
records. The number of such records is predicted by means of a machine learning model,
particularly the Random Forest. We further analyse the fat tail phenomena which capture
the underlying dynamics in the number of affected records. The objective is to calculate t...
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The aim of this paper is to analyze the dynamic evolution of six liquidity proxies on time, and to find their causality with the French CAC 40 stock market index returns, over the period from January 2007 to December 2018. For that, we use a vector autoregressive approach and the impulse response function, to do causality test between the CAC 40 in...
This paper introduces a new approach of multifactor asset pricing model estimation. This approach assumes that the monthly returns of financial assets are fuzzy random variables and estimates the multifactor asset pricing model as a fuzzy linear model. The fuzzy random representations allows us to incorporate bias on prices induced by the market mi...
In this paper, we use the Mellin transform to obtain the analytical formulas of European option (call or put) values, when the evolution of the underlying asset return is governed by a mixed modified fractional stochastic process. As an extension of the Dupire Model [12], we also introduce the so-called 'Mixed-Modified-Fractional-Dupire model', by...
We price options so as to take into account the existence of memory (short or long) characterizing the stochastic processes that generate prices, volatility and interest rates. In particular, we propose a model for Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and stochastic interest rate model. We prop...
This paper deals with the management of the financial risks of carbon emitters, generated by the high volatility of spot prices on the carbon market. The entry into force of the Euro-pean carbon market quota has led the players involved in this market to take into account the additional costs of carbon emissions in the production costs of their com...
Yang and Iwamura [19] introduced a new fuzzy measure as a convex linear combination of possibility and necessity measures. This measure generalizes the credibility measure and the real parameter associated to the possibility measure is considered as the decision making's optimism level. In this paper, we introduce by means of that measure, two new...
Published article: see the link: https://www.revuecca.com/index.php/home/article/view/684
Small and Meduim Entreprize, crucial part of Cameroonian economic tissue, face difficulties in accessing to credit through bank in particular and credit market in general. This phenomenon leads these companies to seek alternative financing. This article aims to determine the criteria
explaining the choice of finance by leasing by Cameroonian SMEs....
In this paper, we propose a pricing model for Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and stochastic interest rate model. We discretize the stochas-tic process with Milstein discretization scheme and we price bull spread option by using Monte Carlo algorithm. This traditionnal method requires much...
The main purpose of this work is to contribute to the study of set-valued random variables by providing a kind of Wold decomposition theorem for interval-valued processes. As the set of set-valued random variables is not a vector space, the Wold decomposition theorem as established in 1938 by Herman Wold is not applicable for them. So, a notion of...
This paper deals with the causal relationship analysis between Gross Domestic Product (GDP), Energy Intensity (EI) and CO2 emissions in Morocco from 1975 to 2017, by means of Johansen cointegration tests and Granger causality tests based on a multivariate Vector Error Correction Modeling. Results indicate that there is a set of bi-directional causa...
In this paper, the generalized Mixed-Modified-Fractional-Merton like partial differential equation with multi-assets under mixed modified fractional geometric Brownian motion was derived. The multidimensional Mellin transform was applied to derive the integral equation for the price of the European put option on a bear spread basket of multi-assets...
Le but de cette étude est d'évaluer la rente économique potentielle générée par le secteur hydroélectrique en Afrique. La méthodologie utilisée consiste à calculer cette rente comme étant la différence entre les coûts totaux minimisés de deux systèmes énergétiques hypothétiques : l'un avec l'hydroélectricité et l'autre sans hydroélectricité. Nos es...
Over the past few years, the application of deep learning models to finance has received much attentionfrom investors and researchers. Our work continues this trend, presenting an application of a Deep learningmodel namely; the long-term short-term memory (LSTM) model, for the forecasting of commodity prices.The obtained results predict with great...
In this paper, we study the problem of optimal fishing for regime switching in the growth dynamics of a given fish species which is described by the differential stochastic logistic model with two states: prior or during floods and after. The resulting dynamic programming principle leads to a system of two variational inequalities. By using viscosi...
The main purpose of this work is to contribute to the study of set-valued random variables by providing a kind of Wold decomposition theorem for interval-valued processes. As the set of set-valued random variables is not a vector space, the Wold decomposition theorem as established in 1938 by Herman Wold is not applicable for them. So, a notion of...
Possibility, Necessity and Credibility measures are used in the literature in order to deal with imprecision. Recently, Yang and Iwamura [11] introduced a new measure as convex linear combination of possibility and necessity measures and they determined some of its axioms. In this paper, we introduce characteristics (parameters) of a fuzzy variable...
In this paper we study the problem of optimal fishing for regime switching, which may be regarded as sequential optimal problem with changes of regimes. The growth dynamics of a given fish species is described by the differential stochastic logistic model in which we take into account two states: prior or during floods and after. The resulting dyna...
Over the past few years, the application of deep learning models to finance has received much attention from investors and researchers. Our work continues this trend, presenting an application of a Deep learning model namely; the long-term short-term memory (LSTM) model, for the forecasting of commodity prices. The obtained results predict with gre...
In static framework, many hedging strategies can be settled following the various hedge ratios that have been developed in the literature. However, it is difficult to choose among them the best the appropriate strategy according the to preference or economic behavior of the decision-maker such as prudence and temperance. This is so even with the he...
In this paper, our main objective is to show that the determination of the optimal hedge ratio for a raw material producer, who is submitted to income risk, depends on the type of its utility function. More precisely, we maximize the expected utility of wealth for the following four utility functions : quadratic, exponential, power and expo-power....
In this paper, following Smith (1978) and Ludwig (1979), we examine the optimal rate of extraction from a stochastically regime-switching growing resource stock (typically to maximize the expected flow of utility from net revenue). Assuming a continuous-time stochastic regime switching for the biomass Gilpin-Ayala growth function, and CRRA utility...
Le but de cette étude est d'évaluer la rente économique potentielle générée par le secteur hydroélectrique en Afrique. La méthodologie utilisée consiste à calculer cette rente comme étant la différence entre les coûts totaux minimisés de deux systèmes énergétiques hypothétiques : l'un avec l'hydroélectricité et l'autre sans hydroélectricité. Nos es...
This paper investigates the dynamic causal relationships between energy consumption, economic growth and carbone dioxide emissions in Morocco. We use a Johansen multivariate cointegration approach and incorporate the investment rate as a control variable. The results indicate that there exists at least a long-run relationship between energy consump...
In this paper, we focus on the farmer's risk income, by using commodity futures, when price and output processes are correlated random represented by jump-diffusion models. We evaluate the expected utility of the farmer's wealth and we determine, at each instant of time, the optimal consumption rate and hedge position at given the time to harvest a...
![Figure 2. Energy mix in 2016 [10]](profile/Jules-Sadefo-Kamdem/publication/327041161/figure/fig2/AS:692922383093760@1542216978416/Energy-mix-in-2016-10_Q320.jpg)
![Figure 4. Energy mix in 2030 [13]](profile/Jules-Sadefo-Kamdem/publication/327041161/figure/fig3/AS:692922383073281@1542216978472/Energy-mix-in-2030-13_Q320.jpg)
Faced with the growing challenges of global warming, the deployment of renewable energy appears to be a necessary condition to achieve sustainable development. Having a crucial role in reducing global greenhouse gas emissions, they can also contribute to ensure universal access to modern energy services. French Guiana as a French overseas
territory...
Iwamura (2008) introduced a new parametric fuzzy measure as a convex linear combination of possibility and necessity measures. This measure generalizes the credibility measure and the parameter of the possibility measure is considered as the decision making (investors) op-timism's level. In this paper, we introduce by means of that measure two new...
Le but de cette étude est d'évaluer la rente économique potentielle générée par le secteur hydroélectrique en Afrique. La méthodologie utilisée consiste à calculer cette rente comme étant la différence entre les coûts totaux minimisés de deux systèmes énergétiques hypothétiques : l'un avec l'hydroélectricité et l'autre sans hydroélectricité. Nos es...
Peng et al. [14] introduced, by means of the credibility measure, two dominance relations on fuzzy variables, namely the first and the second order dominances.
In this paper, we characterize each of these dominance relations and we justify that the first order dominance is stronger than the second order one. We justify that each of these dominance...
Peng et al. [14] introduced, by means of the credibility measure, two
dominance relations on fuzzy variables, namely the first and the second order dominances.
In this paper, we characterize each of these dominance relations and we justify that the first order dominance is stronger than the second order one. We justify that each of these dominance...
International Statistical Institute Proceeding, the 61st World Statistical
Congress, Marrakeck, Morocco, 15-17 July 2017
Sarkar [1] has developed a real option approach for an optimal harvesting of a renewable resource such as fish, when the variation of the stock is govern by a Gaussian process. However, the [1] model does not take into account the occurrence of large and sudden fluctuations that cannot be modeled by the Gaussian white noise, for examples hurricanes...
This paper extends the work of Pindyck [1] by taking into consideration a large class family of different utility functions of economic agents. As in Pindyck [1], instead of considering a social utility function that is characterized by constant relative risk aversion (C.R.R.A), we use the expo-power utility function of Saha [2]. In fact, depending...
Possibility, Necessity and Credibility measures are the most used in the literature which deal with imprecision. Recently, Yang and Iwa-mura [9] introduced a new measure as convex linear combination of possibility and necessity measures and they determined some of its axioms. In this paper, based on that measure, we introduce characteristics (param...
In this paper, interactions or co-movement between the CER and EUA futures prices are examined in order to shed light on the dependency between the European Union Emissions Trading Scheme (EU ETS) and the clean development mechanism (MDP). Our analysis uses the wavelet method to model the correlation between CER and EUA in the time-frequency domain...
Depuis l'entrée en vigueur en 2005 du système communautaire d'échange de quotas d'émission Européen (SCEQE), la mise en place d'un prix sur les quotas carbone a permis aux différents indus-trièls de prendre conscience de l'impact de leurs émissions sur l'environnement et sur la biodiversité. Plusieurs études ont été réalisées sur le fonctionnement...
This paper applies He’s homotopy perturbation method to compute a large variety of integral transforms. The Esscher, Fourier, Hankel, Laplace, Mellin and Stieljes integrals transforms are particular cases of our generalized integral transform. Our method is of practical importance in order to derive new integration formulae, to approximate certain...
Over the last four decades, several estimation issues of the beta have been discussed extensively in many articles. An emerging consensus is that the betas are time-dependant and their estimates are impacted by the return interval and the length of the estimation period. These findings lead to the prominence of the practical implementation of the C...
This paper is concerned with linear portfolio value-at-risk (VaR) and expected shortfall (ES) computation when the portfolio risk factors are leptokurtic, imprecise and/or vague. Following Yoshida (2009), the risk factors are modeled as fuzzy random variables in order to handle both their random variability and their vagueness. We discuss and exten...
We propose a generalization of the decomposition by population subgroups of the α-Gini index, the so-called multi-level subgroup decomposition. We demonstrate that all components obtained from the decomposition, can integrate in their functional form a parameter of inequality sensitivity being either related to overall inequalities (α) or to betwee...
The hedge funds performance evaluation requires an adequate characterization of returns distributions shape. This characterization is made by thorough probabilistic moments. Different types of moments were used in the literature, namely, the conventional (central or raw) moments (Sharpe, 1966, Treynor and Black, 1973), the partial moments (Sortino...
The aim of this paper is to consider the moments and the semi-moments for credibilistic portfolio selection with fuzzy risk factors (for example trapezoidal risk factors). In order to measure the leptokurtocity of credibilistic portfolio return, notions of moments (for example Kurtosis) and semi-moments (for example Semi-kurtosis) for credibilistic...
In this paper, following the notion of probabilistic risk adjusted performance measures, we introduce that of fuzzy risk adjusted performance measures (FRAPM). In order to deal efficiently with the closing-based returns bias induced by market microstructure noise, as well as to handle their uncertain variability, we combine fuzzy set theory and pro...
This paper studies three notions of fuzzy dominance based on credibility measure, namely, the fuzzy mean-risk dominance, the rst credibilistic dominance and the second credibilistic dominance. More precisely, we introduce and examine some properties of the Fuzzy Lower Partial Moments (FLPM) of a fuzzy variable and, we deduce the Fuzzy Kappa index (...
Cet article analyse la performance des fonds spéculatifs en supposant que les facteurs de risque sont des variables floues. Dans le but de mesurer le risque relatif aux pertes, on introduit la notion de risque de perte est nouvellement introduite avec la théorie de la crédibilité, et on étudie ses propriétés mathématiques. En se basant sur les conce...
The aim of this paper is to analyze the hedge fund performance assuming that the risk factors are fuzzy variable. In order to measure the risk relating to loss, the notion of downside risk is originally introduced in this paper with credibility theory, and their mathematical properties are studied. Based on the concept of upside and downside partia...
This paper provides explicit expression for the lower bound and the upper bound of the overall VaR of a portfolio of business units when the joint risks factors of each business unit follows a mixture of multivariate elliptic distributions with dynamic conditional correlation matrix. We use copula to measure the dependence between the profits and l...
Questions
Questions (55)
- "The Emotional President: How Stress Affects Presidential Decision Making"Shapiro, R. Y., & Jacobs, L. R. (2013). Presidential Studies Quarterly, 43(2), 221-242.
- "Leadership in Times of Crisis: A Framework for Assessment"Boin, A., Hart, P. T., Stern, E., & Sundelius, B. (2005). International Review of Administrative Sciences, 71(3), 283-305.
- "Stress and Decision Making in the European Union"Laffan, B. (2009). West European Politics, 32(4), 789-805.
- "The Impact of Stress on Police Officers' Decision Making: An Analysis of Decision-Making in High-Stress Situations"Lahera, G., Caparrós, B., Sánchez-Morla, E. M., Díaz-Marsá, M., Ayesa-Arriola, R., Rodríguez-Quiroga, A., & López-Jaramillo, C. (2016). Frontiers in Psychology, 7, 1985.
- "Political Decision Making in Crisis: The Dutch Experience During the 2009 H1N1 Pandemic"Teunissen, L., & de Graaf, G. (2013). Policy & Politics, 41(2), 191-207.
- "Crisis Decision Theory: Decisions in the Face of Negative Events"Drury, J., Cocking, C., & Reicher, S. (2009). Psychological Science, 20(3), 327-333.
In the current context of geopolitical uncertainty, how could a better appreciation or understanding of the "butterfly effect" help avoid possible chaos in the future?
What insurance response to cyber risks?
The phenomenon of cyberattacks is booming in the digital age. It would be important to know the real costs of a cyberattack and their potential consequences on business, economic intelligence and security, in order to adopt the appropriate protective measures. To limit the risks of cyberattack, several actions can be implemented. First, you need to assess the level of cyber risk to which your business is exposed. Then, depending on your aversion to risk and your caution in corporate governance or public policy, the use of insurance policies against cyber risks could prove useful. Some specific insurance offers are likely to cover data misappropriation and cyber-extortion, operational costs (decontamination, repair of the computer system, etc.). In addition to the non-standardization of the insurance contracts offered, and the imbalance between demand and supply, it is the difficulty of quantifying the damage and its link with the risk of reputation that make it complicated, for the actuary, to calculate the loss-to-premium ratio.
IT IS BECOME URGENT FOR ACTUARIES TO WORK ON THE QUANTIFICATION OR PRICING OF CYBERISKS.....!
Do you know the relevant bibliographical references on this subject?
The rise of geopolitical risk in a world affected by the Covid-19 pandemic. What are the impacts for markets and firms?
Following a survey in 19 countries of the European Union, the 2014 Ferma (Federation of European Risk Managers Associations) survey reveals that political risk has moved from 10th place to 1st place for risk managers.
In view of the actual crises news, what do you think?
Infinity is often thought of as the inverse of zero. Thus, the difficulties found when dealing with an infinity of data (or massive data), should be of the same magnitude as those found in the context of very small amounts of data (one or two observations). For example, predicting rare events such as the covid-19 pandemic is obviously not easy, as there is very little historical data on pandemics. Work on statistical or learning methods applied to massive data is quite flourishing. However, almost everything remains to be done to process fairly small data. This question remains to this day, still quite open and will certainly be one of the concerns of the scientific community in the years to come. What do you think ? Do you know of any significant contributions concerning the analysis of very small quantities of data (allowing to analyze and then predict the occurrence of rare events, such as the Covid 19 pandemic or certain natural disasters) ?
Let's not forget that infinity is the inverse of zero. So, if today we are deeply concerned with big data analysis, the hardest part remains when it comes to risk analysis. We will encounter the same problems when dealing with a "fairly small amount" of data.
As a corollary, research on forecasting models based on a very small number of observations is crucial to anticipate extreme risks (natural disasters, cyber risks, pandemics, etc.).
I think this very open question deserves special attention.
Was the Covid-19 crisis predictable ...!
Do you have any ideas in this direction? if so, I await your suggestions ...
