Related papers: A Marked Cox Model for IBNR Claims: Model and Theo…
We propose an individual claims reserving model based on the conditional Aalen-Johansen estimator, as developed in Bladt and Furrer (2023b). In our approach, we formulate a multi-state problem, where the underlying variable is the…
In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o's calculus and the trend functions of the proposed process is calculated. The…
We propose a procedure for imputing missing values of time-dependent covariates in a survival model using fully conditional specification. Specifically, we focus on imputing missing values of a longitudinal marker in joint modeling of the…
Modeling insurance claim amounts and classifying claims into different risk levels are critical yet challenging tasks. Traditional predictive models for insurance claims often overlook the valuable information embedded in claim…
We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price…
The Cox model is an indispensable tool for time-to-event analysis, particularly in biomedical research. However, medicine is undergoing a profound transformation, generating data at an unprecedented scale, which opens new frontiers to study…
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…
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…
A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assumed to be independent variables. If this assumption is…
A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of…
Conserved quantities increasingly underpin the inference of physical models. Recently new conserved quantities have been found in this context, that currently lack an interpretation. Here, we show that irreversible reactions in CRNs and…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…
INteger Auto-Regressive (INAR) processes are usually defined by specifying the innovations and the operator, which often leads to difficulties in deriving marginal properties of the process. In many practical situations, a major modeling…
We introduce a novel modeling approach for time series imputation and forecasting, tailored to address the challenges often encountered in real-world data, such as irregular samples, missing data, or unaligned measurements from multiple…
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…
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…
Prudent management of insurance investment portfolios requires competent asset pricing of fixed-income assets with time-to-event contingent cash flows, such as consumer asset-backed securities (ABS). Current market pricing techniques for…
We introduce a continuum model describing data losses in a single node of a packet-switched network (like the Internet) which preserves the discrete nature of the data loss process. {\em By construction}, the model has critical behavior…
The drift sequential parameter estimation problems for the Cox-Ingersoll-Ross (CIR) processes under the limited duration of observation are studied. Truncated sequential estimation methods for both scalar and {two}-dimensional parameter…
This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several…