Related papers: Asymptotics for the sum of three state Markov depe…
We derive a general multiple state model for critical illness insurances. In contrast to the classical model, we take into account that the probability of death for a dread disease sufferer may depend on the duration of the disease, and the…
Convergence of order $O(1/\sqrt{n})$ is obtained for the distance in total variation between the Poisson distribution and the distribution of the number of fixed size cycles in generalized random graphs with random vertex weights. The…
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…
We provide a new algorithm for solving Risk Sensitive Partially Observable Markov Decisions Processes, when the risk is modeled by a utility function, and both the state space and the space of observations is finite. This algorithm is based…
Motivated by disease progression-related studies, we propose an estimation method for fitting general non-homogeneous multi-state Markov models. The proposal can handle many types of multi-state processes, with several states and various…
Computing the probability of evidence even with known error bounds is NP-hard. In this paper we address this hard problem by settling on an easier problem. We propose an approximation which provides high confidence lower bounds on…
This paper explores an optimal investment and reinsurance problem involving both ordinary and catastrophe insurance businesses. The catastrophic events are modeled as following a compound Poisson process, impacting the ordinary insurance…
We describe a Markov-Chain-Monte-Carlo algorithm which can be used to generate naturally labeled n-element posets at random with a probability distribution of one's choice. Implementing this algorithm for the uniform distribution, we…
This work is entirely devoted to compare the largest claims from two heterogeneous portfolios. It is assumed that the claim amounts in an insurance portfolio are nonnegative absolutely continuous random variables and belong to a general…
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…
We propose a penalized pseudo-likelihood criterion to estimate the graph of conditional dependencies in a discrete Markov random field that can be partially observed. We prove the convergence of the estimator in the case of a finite or…
In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter to be a mixed random variable, we capture the heterogeneity…
Data on count processes arise in a variety of applications, including longitudinal, spatial and imaging studies measuring count responses. The literature on statistical models for dependent count data is dominated by models built from…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
In this paper, we present a probabilistic adaptation of an Assume/Guarantee contract formalism. For the sake of generality, we assume that the extended state machines used in the contracts and implementations define sets of runs on a given…
Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in [6]. We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…
The paper introduces an approach to telematics devices data application in automotive insurance. We conduct a comparative analysis of different types of devices that collect information on vehicle utilization and driving style of its…
We are studying long term sequence prediction (forecasting). We approach this by investigating criteria for choosing a compact useful state representation. The state is supposed to summarize useful information from the history. We want a…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…