Related papers: A General Surplus Decomposition Principle in Life …
Index insurance is often proposed to reduce protection gaps, especially for emerging risks. Unlike traditional insurance, it bases compensation on a measurable index, enabling faster payouts and lower claim management costs. This approach…
A core feature of complex systems is that the interactions between elements in the present causally constrain each-other as the system evolves through time. To fully model all of these interactions (between elements, as well as ensembles of…
The notion of random self-decomposability is generalized here. Its relation to self-decomposability, Harris infinite divisibility and its connection with a stationary first order generalized autoregressive model are presented. The notion is…
Experience rating in insurance uses a Bayesian credibility model to upgrade the current premiums of a contract by taking into account policyholders' attributes and their claim history. Most data-driven models used for this task are…
We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all…
This study develops a scalable co-optimization strategy for the joint bidding of cascaded hydropower, wind, and solar energy units, treated as a unified entity in the day-ahead market. Although hydropower flexibility can manage the…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is…
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…
This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the…
We consider a physical asset consisting of complex systems, where the systems may require upgrades during the lifetime of the asset. In practice, the asset owner and system supplier can make the upgrade decisions together, requiring a…
In this paper, we analyze the problem of how to adapt the concept of proportionality to situations where several perfectly divisible resources have to be allocated among certain set of agents that have exactly one claim which is used for…
We introduce a framework for incremental-decremental maximization that captures the gradual transformation or renewal of infrastructures. In our model, an initial solution is transformed one element at a time and the utility of an…
We study decompositions of NVALUE, a global constraint that can be used to model a wide range of problems where values need to be counted. Whilst decomposition typically hinders propagation, we identify one decomposition that maintains a…
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists of multiple risky assets (stocks) plus a risk free asset. The…
We empirically analyze a simple heuristic for large sparse set cover problems. It uses the weighted greedy algorithm as a basic building block. By multiplicative updates of the weights attached to the elements, the greedy solution is…
We propose iterative proportional scaling (IPS) via decomposable submodels for maximizing likelihood function of a hierarchical model for contingency tables. In ordinary IPS the proportional scaling is performed by cycling through the…
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result, insurance cash flows and prospective reserves depend on…