Related papers: mCube: Multinomial Micro-level reserving Model
Writing high performance solvers for engineering applications is a delicate task. These codes are often developed on an application to application basis, highly optimized to solve a certain problem. Here, we present our work on developing a…
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…
The appropriate estimation of incurred but not reported (IBNR) reserves is traditionally one of the most important task of actuaries working in casualty and property insurance. As certain claims are reported many years after their…
Specifying a proper input distribution is often a challenging task in simulation modeling. In practice, there may be multiple plausible distributions that can fit the input data reasonably well, especially when the data volume is not large.…
The analysis of large scale medical claims data has the potential to improve quality of care by generating insights which can be used to create tailored medical programs. In particular, the multivariate probit model can be used to…
In this article, we introduce the concept of model confidence bounds (MCB) for variable selection in the context of nested models. Similarly to the endpoints in the familiar confidence interval for parameter estimation, the MCB identifies…
A complex multi-state redundant system undergoing preventive maintenance and experiencing multiple events is being considered in a continuous time frame. The online unit is susceptible to various types of failures, both internal and…
We propose a copula based method to handle missing values in multivariate data of mixed types in multilevel data sets. Building upon the extended rank likelihood of \cite{hoff2007extending} and the multinomial probit model, our model is a…
The occurrence of a claim often impacts not one but multiple insurance coverages provided in the contract. To account for this multivariate feature, we propose a new individual claims reserving model built around the activation of the…
We consider the problem of distributed downlink beam scheduling and power allocation for millimeter-Wave (mmWave) cellular networks where multiple base stations (BSs) belonging to different service operators share the same unlicensed…
Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…
We introduce in this paper a new algorithm for Multi-Armed Bandit (MAB) problems. A machine learning paradigm popular within Cognitive Network related topics (e.g., Spectrum Sensing and Allocation). We focus on the case where the rewards…
An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…
Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…
For a multinomial distribution, suppose that we have prior knowledge of the sum of the probabilities of some categories. This allows us to construct a submodel in a full (i.e., no-restriction) model. Maximum likelihood estimation (MLE)…
Distribution shifts are ubiquitous in real-world machine learning applications, posing a challenge to the generalization of models trained on one data distribution to another. We focus on scenarios where data distributions vary across…
The multinomial probit model is a typical statistical model for multiple-choice data applied in many research areas. When we are interested in some quantiles of relative utilities for understanding the distribution of these utilities, the…
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded…
This paper presents a hierarchical control scheme for interconnected linear systems. At the higher layer of the control structure a robust centralized Model Predictive Control (MPC) algorithm based on a reduced order dynamic model of the…
This paper proposes an analytical framework for modelling resource contention in multi-robot systems, where the travel times and task durations are uncertain. It uses several approximation methods to quickly and accurately calculate the…