Related papers: A three dimensional stochastic Model for Claim Res…
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…
Two-part models and Tweedie generalized linear models (GLMs) have been used to model loss costs for short-term insurance contract. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to…
This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in this context constitutes in the proper…
To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modeling issues that should be resolved…
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…
Current contingency reserve criteria ignore the likelihood of individual contingencies and, thus, their impact on system reliability and risk. This paper develops an iterative approach, inspired by the current security-constrained unit…
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal…
From an economic point of view, a common criterion for assessing the merits of a reserve investment is its impacts on social welfare. The underlying assumption in using this criterion is that side payments may be used to distribute the…
The Tweedie generalized linear models are commonly applied in the insurance industry to analyze semicontinuous claim data. For better prediction of the aggregated claim size, the mean and dispersion of the Tweedie model are often estimated…
We consider various stochastic models that incorporate the notion of risk-averseness into the standard 2-stage recourse model, and develop novel techniques for solving the algorithmic problems arising in these models. A key notable feature…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the reserve, it does not allow to identify the whole distribution…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
Incurred but not reported (IBNR) loss reserving is an important issue for Property & Casualty (P&C) insurers. The modeling of the claim arrival process, especially its temporal dependence, has not been closely examined in many of the…
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian…
A main difficulty in actuarial claim size modeling is that there is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body and the tail of the data. In particular, covariates may have…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
Reliability-based design optimization (RBDO) is traditionally formulated as a nested optimization and reliability problem. Although surrogate models are generally employed to improve efficiency, the approach remains computationally…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…