Related papers: A General Surplus Decomposition Principle in Life …
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it…
I present a novel mathematical technique for dealing with the infinities arising from divergent sums and integrals. It assigns them fine-grained infinite values from the set of hyperreal numbers in a manner that refines the standard…
Multiplicative self-decomposable laws describe random variables that can be decomposed into a product of a scaled-down version of themselves and an independent residual term. Shanbhag et al.~(1977) have shown that the gamma distribution is…
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We…
Survival Analysis (SA) constitutes the default method for time-to-event modeling due to its ability to estimate event probabilities of sparsely occurring events over time. In this work, we show how to improve the training and inference of…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…
In this paper, we establish a sum rule that connects the pseudoentropy and entanglement entropy of a superposition state. Through analytical continuation of the superposition parameter, we demonstrate that the transition matrix and density…
Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar…
It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world…
Extant literature on fair pricing methods for actuarial contexts has primarily focused on the regression setting. While such approaches are well-suited to short-term products, it is unclear how they generalize to long-term products, whose…
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…
This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some…
The premise of industrial symbiosis IS is that advancing a circular economy that reuses byproducts as inputs in production is valuable for the environment. We challenge this premise in a simple model. Ceteris paribus, IS is an…
Attribution methods in explainable AI rely on upsampling techniques that were designed for natural images, not saliency maps. Standard bilinear and bicubic interpolation systematically corrupts attribution signals through aliasing, ringing,…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
Importance sampling (IS) is a popular technique in off-policy evaluation, which re-weights the return of trajectories in the replay buffer to boost sample efficiency. However, training with IS can be unstable and previous attempts to…
This work proposes a non-iterative strategy for missing value imputations which is guided by similarity between observations, but instead of explicitly determining distances or nearest neighbors, it assigns observations to overlapping…
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not applicable in this scenario, and additional assumptions are…