Quantitative Finance · Fri, Nov 6, 2026

arXiv Quantitative Finance (q-fin).

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arXiv q-fin.RM · stat.AP

Portfolio-aware scenario transfer of reserve movements: evidence from Lloyd's syndicates

In briefTransferring reserve-movement stress scenarios between insurance portfolios of different sizes

SummaryThe paper uses 632 syndicate-years from 117 Lloyd's syndicates over 2015-2024 to estimate how a claims-development reserve movement observed on one portfolio can be transferred as a stress scenario to a portfolio of a different size. Dispersion of the movement falls with reserve size, and a size-based scale predicts held-out syndicates better than a single market-wide scale. However, the transferred upper tail understates the smallest books.

Colin Priest

arXiv cs.LG · cs.CE · q-fin.TR

Does a Trading Policy Need to Know What It Trades? Microstructure Invariance and Zero-Shot Transfer of Execution Policies

In briefDoes a trading policy need to know what it trades? A study of whether execution policies trained on one set of stocks transfer zero-shot to other assets and markets.

SummaryThe paper tests whether order-execution policies learned on one set of stocks can transfer to unseen assets without retraining. Policies were trained on 954 Nasdaq stocks from 2019 and evaluated on stocks from later years, crypto pairs, and a second exchange. A policy using normalised features such as trade rate, trade size, spread and tick cost performed close to one trained on the evaluated stock. However, the advantage over raw features was small, and no representation extrapolated to unseen spread regimes.

Hieu Tran, Hong Yu