Related papers: A three dimensional stochastic Model for Claim Res…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
In the property and casualty (P&C) insurance industry, reserves comprise most of a company's liabilities. These reserves are the best estimates made by actuaries for future unpaid claims. Notably, reserves for different lines of business…
An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the…
We introduce an approach to inferring the causal architecture of stochastic dynamical systems that extends rate distortion theory to use causal shielding---a natural principle of learning. We study two distinct cases of causal inference:…
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when optimal investment and reinsurance strategies have to be…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
The variance--covariance matrix plays a central role in the inferential theories of high-dimensional factor models in finance and economics. Popular regularization methods of directly exploiting sparsity are not directly applicable to many…
Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities…
Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directive. We add to the existing literature by performing…
Estimation of high-dimensional covariance matrices in latent factor models is an important topic in many fields and especially in finance. Since the number of financial assets grows while the estimation window length remains of limited…
This paper introduces yet another stochastic model replicating chain-ladder estimates and furthermore considers extensions that add flexibility to the modeling. In its simplest form, the proposed model replicates the chain-ladder's…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity…