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Many investigations have used panel methods to study the relationships between fluctuations in economic activity and mortality. A broad consensus has emerged on the overall procyclical nature of mortality: perhaps counter-intuitively,…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
We study causal inference under case-control and case-population sampling. Specifically, we focus on the binary-outcome and binary-treatment case, where the parameters of interest are causal relative and attributable risks defined via the…
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
Investment style groups investment approaches to predict portfolio return variations. This study examines the relationship between investment style, style consistency, and risk-adjusted returns of Indian equity mutual funds. The methodology…
The dynamics of fractional population sizes y_i=Y_i/N in homogeneous compartment models with time dependent total population N is analyzed. Assuming constant per capita birth and death rates the vector field Y_i'=V_i(Y) naturally projects…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a…
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
Multivariate functional data that are cross-sectionally compositional data are attracting increasing interest in the statistical modeling literature, a major example being trajectories over time of compositions derived from cause-specific…
Estimating risk factors for incidence of a disease is crucial for understanding its etiology. For diseases caused by enteric pathogens, off-the-shelf statistical model-based approaches do not consider the biological mechanisms through which…
In this paper, we consider a risk process with deterministic growth and multiplicative jumps to model the capital of a low-income household. Reflecting the high-risk nature of the low-income environment, capital losses are assumed to be…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…