Related papers: Individual Claims Reserving using Activation Patte…
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…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
We present a framework for generating multiple imputations for continuous data when the missing data mechanism is unknown. Imputations are generated from more than one imputation model in order to incorporate uncertainty regarding the…
In recent years it has become possible to collect GPS data from drivers and to incorporate this data into automobile insurance pricing for the driver. This data is continuously collected and processed nightly into metadata consisting of…
Policy evaluation in empirical microeconomics has been focusing on estimating the average treatment effect and more recently the heterogeneous treatment effects, often relying on the unconfoundedness assumption. We propose a method based on…
We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…
We propose a new class of claim severity distributions with six parameters, that has the standard two-parameter distributions, the log-normal, the log-Gamma, the Weibull, the Gamma and the Pareto, as special cases. This distribution is much…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…
In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protected policyholder characteristics are implicitly inferred from…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
Nowadays, auto insurance companies set personalized insurance rate based on data gathered directly from their customers' cars. In this paper, we show such a personalized insurance mechanism -- wildly adopted by many auto insurance companies…
Trade credit insurance (TCI) is a specialized line of property and casualty insurance, protecting businesses against financial losses due to buyer's insolvency. Predictive modeling for TCI claims poses formidable challenges due to the…
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…
A delay between the occurrence and the reporting of events often has practical implications such as for the amount of capital to hold for insurance companies, or for taking preventive actions in case of infectious diseases. The accurate…
Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…
We approximate the distribution of total expenditure of a retail company over warranty claims incurred in a fixed period [0, T], say the following quarter. We consider two kinds of warranty policies, namely, the non-renewing free…
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…
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…
Contemporary insurance theory is concentrated on models with different types of polices and shock events may influence the payments on some of them. Jordanova (2018) considered a model where a shock event contributes to the total claim…