Related papers: A three dimensional stochastic Model for Claim Res…
We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-cooperative relationship between the insurer and reinsurers,…
Most high-dimensional estimation and prediction methods propose to minimize a cost function (empirical risk) that is written as a sum of losses associated to each data point. In this paper we focus on the case of non-convex losses, which is…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an…
By building on a recently introduced genetic-inspired attribute-based conceptual framework for safety risk analysis, we propose a novel methodology to compute construction univariate and bivariate construction safety risk at a situational…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
Thiele's differential equation explains the change in prospective reserve and plays a fundamental role in safe-side calculations and other types of actuarial model comparisons. This paper presents a `model lean' version of Thiele's equation…
The economic warehouse lot scheduling problem is a foundational inventory-theory model, capturing computational challenges in dynamically coordinating replenishment decisions for multiple commodities subject to a shared capacity constraint.…
This paper introduces a generalised 3rd-order Spectral Representation Method for the simulation of multi-dimensional stochastic fields with asymmetric non-linearities. The simulated random fields satisfy a prescribed Power Spectrum and…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model, which is a collection of probability…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…
Since its inception in the mid-60s, the inventory staggering problem has been explored and exploited in a wide range of application domains, such as production planning, stock control systems, warehousing, and aerospace/defense logistics.…
Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios and the inner-level simulations are run in each outer…
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
This paper discusses a methodology for determining a functional representation of a random process from a collection of scattered pointwise samples. The present work specifically focuses onto random quantities lying in a high dimensional…
A free boundary diffusive logistic model finds application in many different fields from biological invasion to wildfire propagation. However, many of these processes show a random nature and contain uncertainties in the parameters. In this…
We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Zhao (2011), combining Hawkes and Cox processes with shot…