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We study a diagnostic strategy which is based on the anticipation of the diagnostic process by simulation of the dynamical process starting from the initial findings. We show that such a strategy could result in more accurate diagnoses…
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance depend on the number of claims the driver…
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,…
Every time drivers take to the road, and with each mile that they drive, exposes themselves and others to the risk of an accident. Insurance premiums are only weakly linked to mileage, however, and have lump-sum characteristics largely. The…
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we…
We consider local alignments without gaps of two independent Markov chains from a finite alphabet, and we derive sufficient conditions for the number of essentially different local alignments with a score exceeding a high threshold to be…
We consider parametric Markov decision processes (pMDPs) that are augmented with unknown probability distributions over parameter values. The problem is to compute the probability to satisfy a temporal logic specification with any concrete…
Motivated by a bidimensional discrete-time risk model in insurance, we study the second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggregate net losses including two business lines. These are…
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 a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
Let $X_1,X_2,...$ be a sequence of random variables satisfying the distributional recursion $X_1=0$ and $X_n= X_{n-I_n}+1$ for $n=2,3,...$, where $I_n$ is a random variable with values in $\{1,...,n-1\}$ which is independent of…
This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where the intensity of the jumps depends not only on the occurrence…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
Understanding the dynamics of antibody levels is crucial for characterizing the time-dependent response to immune events: either infections or vaccinations. The sequence and timing of these events significantly influence antibody level…
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…
We propose a bottom-up approach to the study of possession and its outcomes for association football, based on probabilistic finite state automata with transition probabilities described by a Markov process. We show how even a very simple…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
We consider a strictly substochastic matrix or an stochastic matrix with absorbing states. By using quasi-stationary distributions one shows there is a canonical associated stationary Markov chain. Based upon $2-$stringing representation of…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…