Related papers: Approximations of multi-period liability values by…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
A theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimised. This is predicated by forecasting the future cash flows of a loan portfolio up to the contractual…
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the…
The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power -- in particular in the context of group experience rating. The inclusion of collective health…
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true…
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shift part of the financial risk to a reinsurer, we solve the…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Time series data with missing values is common across many domains. Healthcare presents special challenges due to prolonged periods of sensor disconnection. In such cases, having a confidence measure for imputed values is critical. Most…
Often in real-world datasets, especially in high dimensional data, some feature values are missing. Since most data analysis and statistical methods do not handle gracefully missing values, the first step in the analysis requires the…
The study deals with the assessment of risk measures for Health Plans in order to assess the Solvency Capital Requirement. For the estimation of the individual health care expenditure for several episode types, we suggest an original…
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its…
Linear complexity is an important parameter for arrays that are used in applications related to information security. In this work we survey constructions of two and three dimensional arrays, and present new results on the multidimensional…
In order to solve an initial value problem by the variational iteration method, a sequence of functions is produced which converges to the solution under some suitable conditions. In the nonlinear case, after a few iterations the terms of…
Social inflation, which is the rise in liability claim costs beyond general economic inflation, has become a major concern for insurers and reinsurers, yet it is difficult to quantify because litigation outcomes are heavy-tailed and the mix…
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected…
Runtime verification enables checking temporal logic specifications over individual execution traces and offers a scalable alternative to exhaustive formal verification. In practice, systems must satisfy dozens to hundreds of temporal…
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of…
While almost all existing works which optimally solve just-in-time scheduling problems propose dedicated algorithmic approaches, we propose in this work mixed integer formulations. We consider a single machine scheduling problem that aims…