TY  - JOUR
A1  - Gaigall, Daniel
ED  - AitSahlia, Farid
T1  - Allocating and forecasting changes in risk
JF  - Journal of risk
N2  - We consider time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components. For this purpose we adopt established allocation principles. We also use our approach to obtain forecasts for changes in the risk of the portfolio’s components. To put the approach into practice we present an implementation based on the output of a simulation. Allocation is illustrated with an example portfolio in the context of Solvency II. The quality of the forecasts is investigated with an empirical study.
KW  - portfolio risk
KW  - allocation
KW  - forecast
KW  - covariance principle
KW  - conditional expectation principle
Y1  - 2023
U6  - https://doi.org/10.21314/JOR.2022.048
SN  - 1755-2842
SN  - 1465-1211
VL  - 25
IS  - 3
SP  - 1
EP  - 24
PB  - Infopro Digital Risk
CY  - London
ER  - 
TY  - JOUR
A1  - Sildatke, Michael
A1  - Karwanni, Hendrik
A1  - Kraft, Bodo
A1  - Zündorf, Albert
T1  - A distributed microservice architecture pattern for the automated generation of information extraction pipelines
JF  - SN Computer Science
N2  - Companies often build their businesses based on product information and therefore try to automate the process of information extraction (IE). Since the information source is usually heterogeneous and non-standardized, classic extract, transform, load techniques reach their limits. Hence, companies must implement the newest findings from research to tackle the challenges of process automation. They require a flexible and robust system that is extendable and ensures the optimal processing of the different document types. This paper provides a distributed microservice architecture pattern that enables the automated generation of IE pipelines. Since their optimal design is individual for each input document, the system ensures the ad-hoc generation of pipelines depending on specific document characteristics at runtime. Furthermore, it introduces the automated quality determination of each available pipeline and controls the integration of new microservices based on their impact on the business value. The introduced system enables fast prototyping of the newest approaches from research and supports companies in automating their IE processes. Based on the automated quality determination, it ensures that the generated pipelines always meet defined business requirements when they come into productive use.
KW  - Architectural design
KW  - Model-driven software engineering
KW  - Software and systems modeling
KW  - Enterprise information systems
KW  - Information extraction
Y1  - 2023
U6  - https://doi.org/10.1007/s42979-023-02256-4
SN  - 2661-8907
N1  - Corresponding authors: Michael Sildatke, Hendrik Karwanni
IS  - 4, Article number: 833
PB  - Springer Singapore
CY  - Singapore
ER  -