Summary
RESEARCH UPDATES
LATEST PROJECTS
Short-lived gasses, carbon markets and climate risk mitigation (with S. Biagini, K. Salezadeh Nobari), presented at a conference celebrating Prof. Pierre Picard at Ecole Polytechnique and now incorporating the insightful feedback received.
Insurance contract design and endogenous frailty (with D. Benedetti), an old working paper reshaped for presentation at the 50th EGRIE Seminar.
Climate stress testing and sovereign risk (with A. Ghambir, S. Mittal, K. Salezadeh Nobari).
Unsupervised model selection in climate stress testing (with G. Brandi and S. Wang).
A class of changes of measure for climate sensitive valuation and stress testing (with P. Millossovich and S. Wang).
Wage rigidity and retirement in optimal portfolio choice (with S. Biagini, F. Gozzi and M. Zanella). September 2022 revision. The paper supersedes a previous version titled "Optimal portfolio choice with path dependent labor income: Finite retirement time".
UPDATES BY TOPIC
Climate risk
Workshop on "Climate Risk Management and Analytics", July 3, 2023, Knightsbridge, London. Workshop programme here. In memoriam of Prof. Ken Seng Tan, Nanyang Business School. The slides for the keynote speech by Ray Pierrehumbert can be dowloaded here.
"New Trends in Agtech: Insights from Brazil and beyond", Sustatinable Tech Lab at Imperial-X, June 7, 2023, South Ken Campus.
Forestry-backed Assets Design (with G. Brandi, L. Lee, A. Snavely), Singapore Green Finance Centre, January 2023.
Forestry-backed Asset Valuation (with G. Brandi, L. Lee, K. Salezadeh Nobari, A. Snavely).
Climate stress testing and sovereign risk (with A. Ghambir, S. Mittal, K. Salezadeh Nobari).
Downscaling of physical risks for climate scenario design (with S. Wang), White Paper, Singapore Green Finance Centre, April 2022.
Parametric Insurance and Technology Adoption in Developing Countries (with E. Chavez, A. Louaas, P. Picard), The Geneva Risk and Insurance Review, 2022, 47, pp. 7-44. SSRN working paper here. FT Responsible Business Education Research Award 2022:article. Featured as part of Imperial College's REF 2021 impact output. Related material here and here.
Climate change and financial innovation (氣候風險與金融創新), 2022, in Green and sustainable finance: From vision to market practice, volume 2, pp. 491-520, Hong Kong Exchange. Launched at Green Asia Summit 2021.
Conference on "Integration of ESG and Climate Risk in Risks in Investment Management", Brevan Howard Centre for Financial Analysis, Ping An Technology, Grantham Institute for Climate Change April 22, 2021 - recording available here.
Climate Change Investment Risk: Optimal Portfolio construction ahead of the transition to a lower-carbon economy (with I. Simm, D. Benedetti, F. Chatzimichalakis, L. Fedele), Annals of Operations Research, 2021, vol. 299, pp. 847-871. SSRN working paper here.
Climate disclosures and financial performance. AI driven indicators, green washing detection, and firm characteristics (with C. Yu, W. Cui, Z. Li, F. Rocciolo). Ping An Digital Economic Research Center and Brevan Howard Centre, November 2020. Some press coverage: warning on ESG ratings, AI and greenwashing detection.
Where We Stand with Climate Disclosures and Why We Need Them - A textual analysis approach to company sustainability reporting (with C. Yu, W. Cui, Z. Li, E. Chavez), Ping An Digital Economic Research Center and Brevan Howard Centre, September 2020.
Satellite data and machine learning for weather risk management and food security (with E. Chavez), 2017, Risk Analysis, vol. 37(8), pp. 1508–1521. SSRN working paper here.
Carbon risk for investors: Building a “smart carbon” portfolio, IMPAX Asset Management and Imperial College Business School (joint work with I. Simm, J. Winter, and F. Chatzimichalakis).
Portfolio choice
Wage rigidity and retirement in optimal portfolio choice (with S. Biagini, F. Gozzi and M. Zanella). September 2022 revision. The paper supersedes a previous version titled "Optimal portfolio choice with path dependent labor income: Finite retirement time".
A Pricing Formula for Delayed Contingent Claims: Appreciating the Past to Value the Future (with B. Goldys, C. Prosdocimi, M. Zanella). December 2022 revision. SSRN working paper here. ArXiv working paper here. To appear in Mathematics and Financial Economics.
Health Insurance, Portfolio Choice, and Retirement Incentives (with E. Barucci, D. Marazzina), September 2022, European Journal of Operational Research. SSRN working paper and on-line appendix here.
Optimal Portfolio Choice with Path Dependent Labor Income: The Infinite Horizon Case (with F. Gozzi, C. Prosdocimi). SIAM Journal of Control and Optimization, 2020, vol. 58(4), pp. 1906-1938. SSRN working paper here.
Risk Analysis
Security Posture Assessment in Conflict Areas: The Value of Spatio-Temporal Information (with D. Benedetti, M. Shoukru). Email me for paper.
Large Commercial Exposures and Tail Risk: Evidence from the Asia-Pacific P&C Insurance Market (with D. Benedetti and A. Milidonis). In progress.
Quantifying the economic value of space weather forecasting for power grids: An exploratory study (with J. Eastwood, M. Hapgood, D. Benedetti, M.M. Bisi, L. Green, R.D. Bentley, and C. Burnett), 2018, Space Weather, vol. 16(12), pp. 2052-2067.
The economic impact of space weather – where do we stand? (with J. Eastwood, M.A. Hapgood MA, L. Green, M.M. Bisi, R.D. Bentley, R. Wicks, L.A. McKinnell, M. Gibbs, C. Burnett), 2017, Risk Analysis, vol. 37(2), pp. 206-218.
The cross-section of Asia-Pacific mortality dynamics: Implications for longevity risk sharing (with Y. Lin and A. Milidonis), 2017, Journal of Risk and Insurance, Vol: 84, Pages: 515-532.
OTHER
See here for older publications on Longevity Risk, Ruin Theory, Asset Liability Management, and various Insurance related work.