Related papers: Ruin probability for the quota share model with~ph…
In this paper we introduce a bivariate distribution on $\mathbb{R}_{+} \times \mathbb{N}$ arising from a single underlying Markov jump process. The marginal distributions are phase-type and discrete phase-type distributed, respectively,…
We introduce in this paper a new class of distributions which generalizes the linear failure rate (LFR) distribution and is obtained by compounding the LFR distribution and power series (PS) class of distributions. This new class of…
The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
Importance sampling is a well developed method in statistics. Given a random variable $X$, the problem of estimating its expected value $\mu$ is addressed. The standard approach is to use the sample mean as an estimator $\bar x$. In…
We focus on large blackouts in electric distribution systems caused by extreme winds. Such events have a large cost and impact on customers. To quantify resilience to these events, we formulate large event risk and show how to calculate it…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfolio by the maximum expected loss over a set of plausible…
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…
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 consider a $d-$dimensional insurance network, with initial capital $a\in\R^d_+,$ operating under a risk diversifying treaty; this is described in terms of a regulated random walk $\{Z^{(a)}_n\}$ via Skorokhod problem in $\R^d_+$ with…
This paper proposes a flexible and analytically tractable class of frequency and severity models for predicting insurance claims. The proposed model is able to capture nonlinear relationships in explanatory variables by characterizing the…
In this paper, a generalization for the Birnbaum Saunders distribution, which has been applied to the modelling of fatigue failure times and reliability studies, is considered. The maximum likelihood estimators and statistical inference for…
In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show…
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insurer is concerned with relative performance under the…
This paper establishes the first analytical relationship between predictive model performance and loss ratio in insurance pricing. We derive a closed-form formula connecting the Pearson correlation between predicted and actual losses to…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…
We propose a new method for the analysis of competing risks data with long term survivors. The proposed method enables us to estimate the overall survival probability and cure fraction simultaneously. We formulate the effect of covariates…