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As climate change poses new and more unpredictable challenges to society, insurance is an essential avenue to protect against loss caused by extreme events. Traditional insurance risk models employ statistical analyses that are inaccurate…
Mean-variance analysis is widely used in portfolio management to identify the best portfolio that makes an optimal trade-off between expected return and volatility. Yet, this method has its limitations, notably its vulnerability to…
Unmeasured or latent variables are often the cause of correlations between multivariate measurements, which are studied in a variety of fields such as psychology, ecology, and medicine. For Gaussian measurements, there are classical tools…
Various methods have been developed to combine inference across multiple sets of results for unsupervised clustering, within the ensemble clustering literature. The approach of reporting results from one `best' model out of several…
Maritime accidents and corresponding consequences vary substantially across spatial dimensions as affected by various factors. Understanding the effects of key factors on maritime accident consequence would be of great benefit to prevent…
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heavy-tailedness and systematic effects in data. We tackle this…
The Generalized Additive Model (GAM) is a powerful tool and has been well studied. This model class helps to identify additive regression structure. Via available test procedures one may identify the regression structure even sharper if…
Detection and modeling of change-points in time-series can be considerably challenging. In this paper we approach this problem by incorporating the class of Dynamic Generalized Linear Models (DGLM) into the well know class of Product…
Model uncertainty is a central challenge in statistical models for binary outcomes such as logistic regression, arising when it is unclear which predictors should be included in the model. Many methods have been proposed to address this…
Parametric insurance has emerged as a practical way to cover risks that may be difficult to assess. By introducing a parameter that triggers compensation and allows the insurer to determine a payment without estimating the actual loss,…
Due to the ease of modern data collection, applied statisticians often have access to a large set of covariates that they wish to relate to some observed outcome. Generalized linear models (GLMs) offer a particularly interpretable framework…
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient…
We extend prior work comparing linear multilevel models (MLM) and fixed effect (FE) models to the generalized linear model (GLM) setting, where the coefficient on a treatment variable is of primary interest. This leads to three insights.…
A delay between the occurrence and the reporting of events often has practical implications such as for the amount of capital to hold for insurance companies, or for taking preventive actions in case of infectious diseases. The accurate…
Immediately following a disaster event, such as an earthquake, estimates of the damage extent play a key role in informing the coordination of response and recovery efforts. We develop a novel impact estimation tool that leverages a…
The accuracy and precision of high-energy spallation models are key issues for the design and development of new applications and experiments. We present a method to estimate model parameters and associated uncertainties by leveraging the…
The task of modeling claim severities is addressed when data is not consistent with the classical regression assumptions. This framework is common in several lines of business within insurance and reinsurance, where catastrophic losses or…
Power law scaling models have been used to understand the complexity of systems as diverse as cities, neurological activity, and rainfall and lightning. In the scaling framework, power laws and standard linear regression methods are widely…
In this article, we apply non-convex regularization methods in order to obtain stable estimation of loss development factors in insurance claims reserving. Among the non-convex regularization methods, we focus on the use of the log-adjusted…
The widespread use of generative models has created a feedback loop, in which each generation of models is trained on data partially produced by its predecessors. This process has raised concerns about model collapse: A critical degradation…