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In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller's risk attitude. Building on the work of Meyers (1980) and Chen et al.…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…
Insurance products frequently cover significant claims arising from a variety of sources. To model losses from these products accurately, actuarial models must account for high-severity claims. A widely used strategy is to apply a mixture…
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…
Analysing dependent risks is an important task for insurance companies. A dependency is reflected in the fact that information about one random variable provides information about the likely distribution of values of another random…
It has become standard practice in the non-life insurance industry to employ Generalized Linear Models (GLMs) for insurance pricing. However, these GLMs traditionally work only with a priori characteristics of policyholders, while nowadays…
Modeling the dependence between multiple risk types is a central challenge in contemporary insurance risk management. The standard approaches, L\'evy copulas and zero-mixed models, often face practical difficulties in simulation and…
In actuarial practice the dependency between contract limitations (deductibles, copayments) and health care expenditures are measured by the application of the Monte Carlo simulation technique. We propose, for the same goal, an alternative…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial…
Insurers are increasingly adopting more demand-based strategies to incorporate the indirect effect of premium changes on their policyholders' willingness to stay. However, since in practice both insurers' renewal premia and customers'…
We develop a claim score based on the Bonus-Malus approach proposed by [7]. We compare the fit and predictive ability of this new model with various models for of panel count data. In particular, we study in more details a new dynamic model…
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…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
Powered with telematics technology, insurers can now capture a wide range of data, such as distance traveled, how drivers brake, accelerate or make turns, and travel frequency each day of the week, to better decode driver's behavior. Such…
In general insurance, risks from different categories are often modeled independently and their sum is regarded as the total risk the insurer takes on in exchange for a premium. The dependence from multiple risks is generally neglected even…
The multilevel model (MLM) is the popular approach to describe dependences of hierarchically clustered observations. A main feature is the capability to estimate (cluster-specific) random effect parameters, while their distribution…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…