Related papers: Modeling and measuring incurred claims risk liabil…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
We introduce a counting process to model the random occurrence in time of car traffic accidents, taking into account some aspects of the self-excitation typical of this phenomenon. By combining methods from probability and differential…
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…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
We introduce a novel machine learning model for credit risk by combining tree-boosting with a latent spatio-temporal Gaussian process model accounting for frailty correlation. This allows for modeling non-linearities and interactions among…
This paper investigates market-consistent valuation of insurance liabilities in the context of, for instance, Solvency II and to some extent IFRS 4. We propose an explicit and consistent framework for the valuation of insurance liabilities…
Actuaries use predictive modeling techniques to assess the loss cost on a contract as a function of observable risk characteristics. State-of-the-art statistical and machine learning methods are not well equipped to handle hierarchically…
We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is of autoregressive form of order $p$ and is achieved through the use of latent variables. We…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…
Modeling insurance claim amounts and classifying claims into different risk levels are critical yet challenging tasks. Traditional predictive models for insurance claims often overlook the valuable information embedded in claim…
A key goal of the System-Theoretic Process Analysis (STPA) hazard analysis technique is the identification of loss scenarios - causal factors that could potentially lead to an accident. We propose an approach that aims to assist engineers…
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…
This paper develops a dynamic equilibrium model of the insurance market that jointly characterizes insurers' underwriting, investment, recapitalization, and dividend policies under model uncertainty and financial frictions. Competitive…
We present a design and financial analysis of a health insurance based on an SIH-type epidemic model. Specifically, we first construct the model in a continuous form, study its dynamical properties, and formulate the financial quantities…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…