Related papers: Quantifying mortality risk in small defined-benefi…
In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…
The Solvency Capital Requirement (SCR) calculation is computationally intensive, relying on the market-consistent estimation of own funds. While Solvency II prioritizes the direct valuation method, it theoretically yields the same value as…
A new method is proposed for variable screening, variable selection and prediction in linear regression problems where the number of predictors can be much larger than the number of observations. The method involves minimizing a penalized…
A load sharing system has several components and the failure of one component can affect the lifetime of the surviving components. Since component failure does not equate to system failure for different system designs, the analysis of the…
The collective risk model differentiates usually between claims frequencies (and their distribution) and claim sizes (and their distribution). For the claims frequencies typically classical discrete distributions are considered, such as…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
Risk adjustment in health care aims to redistribute payments to insurers based on costs. However, risk adjustment formulas are known to underestimate costs for some groups of patients. This undercompensation makes these groups unprofitable…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly…
The study deals with the assessment of risk measures for Health Plans in order to assess the Solvency Capital Requirement. For the estimation of the individual health care expenditure for several episode types, we suggest an original…
As cancer patient survival improves, late effects from treatment are becoming the next clinical challenge. Chemotherapy and radiotherapy, for example, potentially increase the risk of both morbidity and mortality from second malignancies…
Interest in targeted disease prevention has stimulated development of models that assign risks to individuals, using their personal covariates. We need to evaluate these models, and to quantify the gains achieved by expanding a model with…
Proper econometric analysis should be informed by data structure. Many forms of financial data are recorded in discrete-time and relate to products of a finite term. If the data comes from a financial trust, it will often be further subject…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
The paper considers an Euler discretization based numerical scheme for approximating functionals of invariant distribution of an ergodic diffusion. Convergence of the numerical scheme is shown for suitably chosen discretization step, and a…
In clinical trials involving both mortality and morbidity, an active treatment can influence the observed risk of the first non-fatal event either directly, through its effect on the underlying non-fatal event process, or indirectly,…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
Cardiovascular diseases are major causes of mortality globally. They often co-occur and are interrelated, leading to partial-order relationships among their onset times. However, these onset times are subject to informative censoring due to…
Reliable mortality estimates at the subnational level are essential in the study of health inequalities within a country. One of the difficulties in producing such estimates is the presence of small populations, where the stochastic…