Related papers: Designing a Bonus-Malus system reflecting the clai…
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…
Accidental damage is a typical component of motor insurance claim. Modeling of this nature generally involves analysis of past claim history and different characteristics of the insured objects and the policyholders. Generalized linear…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
A well-designed framework for risk classification and ratemaking in automobile insurance is key to insurers' profitability and risk management, while also ensuring that policyholders are charged a fair premium according to their risk…
In reinsurance, Poisson and Negative binomial distributions are employed for modeling frequency. However, the incomplete data regarding reported incurred claims above a priority level presents challenges in estimation. This paper focuses on…
Large-scale portfolio choice is highly sensitive to estimation error, making the preliminary asset selection essential in empirical implementation. Existing selection rules typically rely on scalar returns or low dimensional high frequency…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
In this paper, we investigate the optimization of mutual proportional reinsurance --- a mutual reserve system that is intended for the collective reinsurance needs of homogeneous mutual members, such as P&I Clubs in marine mutual insurance…
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…
In this paper, two-state Markov switching models are proposed to study accident frequencies. These models assume that there are two unobserved states of roadway safety, and that roadway entities (roadway segments) can switch between these…
A powerful method for mobility spectrum analysis is presented, based on Bryan's maximum entropy algorithm. The Bayesian analysis central to Bryan's algorithm ensures that we avoid overfitting of data, resulting in a physically reasonable…
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.…
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…
We develop a Magnus formalism for periodically driven systems which provides an expansion both in the driving term and the inverse driving frequency, applicable to isolated and dissipative systems. We derive explicit formulas for a driving…
Artificial intelligence(AI)-assisted method had received much attention in the risk field such as disease diagnosis. Different from the classification of disease types, it is a fine-grained task to classify the medical images as benign or…
Simulations with an adaptive time-dependent bias, such as metadynamics, enable an efficient exploration of the conformational space of a system. However, the dynamic information of the system is altered by the bias. With infrequent…
In this paper, we propose a novel frequency-severity joint trip-level risk index that combines the frequency of abnormal driving patterns with a severity component reflecting how extreme such behavior is relative to a portfolio-level…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
The win ratio (WR) statistic is increasingly used to evaluate treatment effects based on prioritized composite endpoints, yet existing Bayesian adaptive designs are not directly applicable because the WR is a summary statistic derived from…
Poisson random effect models with a shared random effect have been widely used in actuarial science for analyzing the number of claims. In particular, the random effect is a key factor in a posteriori risk classification. However, the…