Related papers: Auto-balanced common shock claim models

This paper is concerned with modelling multiple claim arrays that are subject to one or more common shocks. It uses a structure that involves very general forms both idiosyncratic and common shock components of cell means. The dependencies…

Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In…

Structural models with no solution are incoherent, and those with multiple solutions are incomplete. We show that models with occasionally binding constraints are not generically coherent. Coherency requires restrictions on the parameters…

Multivariate spatial phenomena are ubiquitous, spanning domains such as climate, pandemics, air quality, and social economy. Cross-correlation between different quantities of interest at different locations is asymmetric in general. This…

In this paper, we present a new Marshall-Olkin exponential shock model. The new construction method gives the proposed model further ability to allocate the common joint shock on each of the components, making it suitable for application in…

There is growing interest in using safety analytics and machine learning to support the prevention of workplace incidents, especially in high-risk industries like construction and trucking. Although existing safety analytics studies have…

We propose a generalized extreme shock model with a possibly increasing failure threshold. While standard models assume that the crucial threshold for the system may only decrease over time, because of weakening shocks and obsolescence, we…

Aggregate shocks affect most households' and firms' decisions. Using three stylized models we show that inference based on cross-sectional data alone generally fails to correctly account for decision making of rational agents facing…

Imbalanced problems can arise in different real-world situations, and to address this, certain strategies in the form of resampling or balancing algorithms are proposed. This issue has largely been studied in the context of classification,…

This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…

The goal of these lecture notes is to present in a unified way various models for the dynamics of aligning self-propelled rigid bodies at different scales and the links between them. The models and methods are inspired from [12,13], but, in…

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…

We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…

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…

Imbalanced data poses a significant challenge in classification as model performance is affected by insufficient learning from minority classes. Balancing methods are often used to address this problem. However, such techniques can lead to…

The self-consistent cranking method is tested by comparing the cranking calculations in the interacting boson model with the exact results obtained from the SU(3) and O(6) dynamical symmetries and from numerical diagonalization. The method…

Many real-world classification problems are significantly class-imbalanced to detriment of the class of interest. The standard set of proper evaluation metrics is well-known but the usual assumption is that the test dataset imbalance equals…

A simple one-dimensional spring-block chain with asymmetric interactions is considered to model an idealized single-lane highway traffic. The main elements of the system are blocks (modeling cars), springs with unidirectional interactions…

A disordered system is denominated `annealed' when the interactions themselves may evolve and adjust their values to lower the free energy. The opposite (`quenched') situation when disorder is fixed, is the one relevant for physical…

Traditional methods for covariate adjustment of treatment means in designed experiments are inherently conditional on the observed covariate values. In order to develop a coherent general methodology for analysis of covariance, we propose a…