Related papers: A three dimensional stochastic Model for Claim Res…
This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
Real-time dispatch practices for operating the electric grid in an economic and reliable manner are evolving to accommodate higher levels of renewable energy generation. In particular, stochastic optimization is receiving increased…
We study the hedging and valuation of European and American claims on a non-traded asset $Y$, when a traded stock $S$ is available for hedging, with $S$ and $Y$ following correlated geometric Brownian motions. This is an incomplete market,…
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…
Our study focuses on fractional order compartment models derived from underlying physical stochastic processes, providing a more physically grounded approach compared to models that use the dynamical system approach by simply replacing…
We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…
The rapid integration of variable energy sources (VRES) into power grids increases variability and uncertainty of the net demand, making the power system operation challenging. Operating reserve is used by system operators to manage and…
We propose a scalable method for computing global solutions of nonlinear, high-dimensional dynamic stochastic economic models. First, within a time iteration framework, we approximate economic policy functions using an adaptive,…
This paper sets out a framework for the valuation of insurance liabilities that is intended to be economically realistic, elementary, reasonably practically applicable, and as a special case to provide a basis for the valuation in…
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also…
As the use of machine learning in high impact domains becomes widespread, the importance of evaluating safety has increased. An important aspect of this is evaluating how robust a model is to changes in setting or population, which…
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov…
The Chain-Ladder (CL) method remains the dominant macro-level technique for claims reserving in non-life insurance, yet its classical formulation lacks a coherent probabilistic foundation. Existing stochastic extensions-including the Mack…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…
The increasing penetration of renewable energy in recent years has led to more uncertainties in power systems. In order to maintain system reliability and security, electricity market operators need to keep certain reserves in the…
Point and interval estimation of future disability inception and recovery rates are predominantly carried out by combining generalized linear models (GLM) with time series forecasting techniques into a two-step method involving parameter…