Report NEP-RMG-2026-06-29

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Marek Rutkowski & Huansang Xu, 2026, "Valuation of Variable Annuities with Equity Protection Swaps under Jumps and Default Risks," Papers, arXiv.org, number 2605.25450, May.
• Roberto Baviera & Pietro Manzoni & Michele Domenico Massaria, 2026, "Modeling dependence in sparse time series of Insurance Claims," Papers, arXiv.org, number 2605.25559, May.
• Denuit, Michel & Flores-Contro, José Miguel & Robert, Christian Y., 2026, "Linear risk sharing in community-based insurance: ruin reduction in the compound poisson model," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2026007, Mar.
• Marcel Muller & Arno Botha & Conrad Beyers, 2026, "An extendable, integrated, and dynamic approach to forecasting and stress-testing credit risk," Papers, arXiv.org, number 2606.19052, Jun.
• Lescart, Mirco & Kiriliouk, Anna & Naveau, Philippe, 2026, "A sub-asymptotic model for bivariate threshold exceedances," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2026011, Apr.
• Pablo Rodriguez Manzi, 2026, "Volatility Surface Reconstruction using Deep Learning under No-Arbitrage Constraints," Papers, arXiv.org, number 2605.24031, May.
• Sara A. Safari & Christoph Schmidhuber, 2026, "Trends, Volatility, Correlations, and Critical Phenomena in Financial Markets," Papers, arXiv.org, number 2606.20145, Jun.
• Pierre Brugière & Gabriel Turinici, 2026, "Model-Free Deep Hedging with Transaction Costs and Light and Augmented Data Methods," Post-Print, HAL, number hal-05642615, Jun.
• Hwee Kwan Chow & Jordan Lee, 2026, "Projecting Inflation Tail Risks in a Small Open Economy: Some Evidence from Singapore," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 04-2026, Feb.
• Alex Chan, 2026, "Dynamic Risk Adjustment in Markets with Persistent Risk and Manipulable Signals: Market Design for Health Insurance," NBER Working Papers, National Bureau of Economic Research, Inc, number 35325, Jun.
• Bianchi, Michele Leonardo & Ruzzi, Dario & Segura, Anatoli, 2026, "Banks’ Dynamic Interest Rate Risk Hedging," CEPR Discussion Papers, Centre for Economic Policy Research, number 21588, Jun.
• Takaaki Koike & Marius Hofert & Haruki Tsunekawa, 2026, "Measuring multivariate maximal tail dependence," Papers, arXiv.org, number 2605.25766, May.
• Alessandro Doldi & Marco Frittelli & Marco Maggis, 2026, "Collective completeness and pricing-hedging duality II," Papers, arXiv.org, number 2606.19038, Jun.
• Nicole Bauerle & Anne MacKay, 2026, "Mean-Variance Optimization in Ambiguous Financial Markets with Learning," Papers, arXiv.org, number 2606.11318, Jun.
• Weilun Cheng & Zongxia Liang & Sheng Wang & Xiang Yu, 2026, "Mean-field game of mean-variance portfolio optimization with peer-based risk aversion," Papers, arXiv.org, number 2605.25824, May, revised Jul 2026.
• Dong Yan & Wenrui Ye & Zhiyue Zong & Wenting Chen, 2026, "Asymmetric Nonlinear Return Extrapolation and Optimal Portfolio Choice under Stochastic Volatility," Papers, arXiv.org, number 2606.10805, Jun, revised Jun 2026.
• Beyer, Marcel, 2026, "Determinants of insurance distress recovery," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 56/26.
• Arvai, Kai & Coimbra, Nuno & Pinchetti, Marco, 2026, "Fool's Gold? How the US Dollar Lost its Shine," CEPR Discussion Papers, Centre for Economic Policy Research, number 21575, Jun.
• Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2026, "A Structural Matrix Autoregressive Model for the Joint Dynamics of Volume, Volatility, and Returns," Papers, arXiv.org, number 2606.08141, Jun.