Related papers: Dynamic and granular loss reserving with copulae
A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of…
Vine copulas are a flexible tool for multivariate non-Gaussian distributions. For data from an observational study where the explanatory variables and response variables are measured together, a proposed vine copula regression method uses…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a challenging prediction task as losses frequently take years…
An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from selling a new insurance product. We develop…
Long-term reservoir management often uses bounds on the reservoir level, between which the operator can work. However, these bounds are not always kept up-to-date with the latest knowledge about the reservoir drainage area, and thus become…
Predicting the time series of future evolutions of renewable injections and demands is of utmost importance for the operation of power systems. However, the current state of the art is mostly focused on mean-value time series predictions…
The trustworthiness of AI decision-making systems is increasingly important. A key feature of such systems is the ability to provide recommendations for how an individual may reverse a negative decision, a problem known as algorithmic…
This paper deals with the problem of clearing sequential electricity markets under uncertainty. We consider the European approach, where reserves are traded separately from energy to meet exogenous reserve requirements. Recently pro- posed…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In…
Subsurface storage of CO$_2$ is an important means to mitigate climate change, and to investigate the fate of CO$_2$ over several decades in vast reservoirs, numerical simulation based on realistic models is essential. Faults and other…
Recommender systems have become an integral part of online platforms. Every day the volume of training data is expanding and the number of user interactions is constantly increasing. The exploration of larger and more expressive models has…
We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
We consider some crucial problems related to the secure and reliable operation of power systems with high renewable penetrations: how much reserve should we procure, how should reserve resources distribute among different locations, and how…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
Regulatory requirements dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent…
A first proposal of a sparse and cellwise robust PCA method is presented. Robustness to single outlying cells in the data matrix is achieved by substituting the squared loss function for the approximation error by a robust version. The…