Related papers: Individual Claims Reserving using Activation Patte…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
This paper introduces yet another stochastic model replicating chain-ladder estimates and furthermore considers extensions that add flexibility to the modeling. In its simplest form, the proposed model replicates the chain-ladder's…
We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…
This paper proposes a new family of Tweedie-based ratemaking models that explicitly account for mid-term policy cancellations. Using an automobile insurance dataset from a Canadian insurer, we document a marked difference in claims…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
Risk management resulting from the actions and states of the different elements making up a operating room is a major concern during a surgical procedure. Agent-based simulation shows an interest through its interaction concepts,…
In actuarial practice, the usual independence assumptions for the collective risk model are often violated, implying a growing need for considering more general models that incorporate dependence. To this purpose, the present paper studies…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heavy-tailedness and systematic effects in data. We tackle this…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
We present a new approach to automatic amortized inference in universal probabilistic programs which improves performance compared to current methods. Our approach is a variation of inference compilation (IC) which leverages deep neural…
The problem of coverage control, i.e., of coordinating multiple agents to optimally cover an area, arises in various applications. However, coverage applications face two major challenges: (1) dealing with nonlinear dynamics while…
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a…
We consider the problem of forecasting debt recovery from large portfolios of non-performing unsecured consumer loans under management. The state of the art in industry is to use stochastic processes to approximately model payment behaviour…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…