Related papers: A General Surplus Decomposition Principle in Life …
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
Optimizing maintenance scheduling is a major issue to improve the performance of hydropower plants. We study a system of several physical components of the same family: either a set of turbines, a set of transformers or a set of generators.…
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…
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
I generalize state-of-the-art approaches that decompose differences in the distribution of a variable of interest between two groups into a portion explained by covariates and a residual portion. The method that I propose relaxes the…
Datalog reasoning based on the semina\"ive evaluation strategy evaluates rules using traditional join plans, which often leads to redundancy and inefficiency in practice, especially when the rules are complex. Hypertree decompositions help…
In designing dynamic shared service systems that incentivize customers to opt for shared rather than exclusive service, the traditional notion of individual rationality may be insufficient, as a customer's estimated utility could fluctuate…
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that,…
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…
Reinsurance optimization is a cornerstone of solvency and capital management, yet traditional approaches often rely on restrictive distributional assumptions and static program designs. We propose a hybrid framework that combines…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with…
We study T. Cover's rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $\$1$ deposit into the best of…
Infinite horizon off-policy policy evaluation is a highly challenging task due to the excessively large variance of typical importance sampling (IS) estimators. Recently, Liu et al. (2018a) proposed an approach that significantly reduces…
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including…
Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the micro-level approach, which estimates reserves at the…
Causal decomposition has provided a powerful tool to analyze health disparity problems, by assessing the proportion of disparity caused by each mediator. However, most of these methods lack \emph{policy implications}, as they fail to…
We introduce a novel framework for decomposing interventional causal effects into synergistic, redundant, and unique components, building on the intuition of Partial Information Decomposition (PID) and the principle of M\"obius inversion.…