Related papers: A three dimensional stochastic Model for Claim Res…

Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in…

Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate…

We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for changes over time in the estimated cost of already reported claims…

Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…

One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…

Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…

This paper is concerned with forecast error, particularly in relation to loss reserving. This is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their…

Production planning must account for uncertainty in a production system, arising from fluctuating demand forecasts. Therefore, this article focuses on the integration of updated customer demand into the rolling horizon planning cycle. We…

We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…

Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…

Nowadays insurers have to account for potentially complex dependence between risks. In the field of loss reserving, there are many parametric and non-parametric models attempting to capture dependence between business lines. One common…

We revisit the famous Mack's model which gives an estimate for the conditional mean squared error of prediction of the chain-ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model the…

In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…

We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving…

We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…

This paper proposes a flexible and analytically tractable class of frequency and severity models for predicting insurance claims. The proposed model is able to capture nonlinear relationships in explanatory variables by characterizing the…

In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…

Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss…