Related papers: Individual claims reserving using the Aalen--Johan…
A main difficulty in actuarial claim size modeling is that there is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body and the tail of the data. In particular, covariates may have…
We develop a privatised stochastic variational inference method for Latent Dirichlet Allocation (LDA). The iterative nature of stochastic variational inference presents challenges: multiple iterations are required to obtain accurate…
This paper introduces a quantile regression estimator for panel data models with individual heterogeneity and attrition. The method is motivated by the fact that attrition bias is often encountered in Big Data applications. For example,…
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured. Motivated by applications in disability…
A Poisson autoregressive (PAR) model accounting for discreteness and autocorrelation of count time series data is typically estimated in the state-space modelling framework through extended Kalman filter. However, because of the complex…
Clustered multistate process data are commonly encountered in multicenter observational studies and clinical trials. A clinically important estimand with such data is the marginal probability of being in a particular transient state as a…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
With insurers benefiting from ever-larger amounts of data of increasing complexity, we explore a data-driven method to model dependence within multilevel claims in this paper. More specifically, we start from a non-parametric estimator for…
This chapter focuses on variable maturation delay or, more precisely, on the mathematical description of a size-structured population consuming an unstructured resource. When the resource concentration is a known function of time, we can…
The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the…
The increased use of differential privacy (DP) has allowed the sharing of large amounts of data while reducing the risk of disclosure of sensitive information at the individual level. However, the noise introduced by DP methods makes…
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving…
We develop a claim score based on the Bonus-Malus approach proposed by [7]. We compare the fit and predictive ability of this new model with various models for of panel count data. In particular, we study in more details a new dynamic model…
We introduce a restricted latent class exploratory model for longitudinal data with ordinal attributes and respondent-specific covariates. Responses follow a time inhomogeneous hidden Markov model where the probability of a respondent's…
We present a structured additive regression approach to model conditional densities given scalar covariates, where only samples of the conditional distributions are observed. This links our approach to distributional regression models for…
The collection of capture-recapture data often involves collecting data on numerous capture occasions over a relatively short period of time. For many study species this process is repeated, for example annually, resulting in capture…
This paper studies the problems of identifiability and estimation in high-dimensional nonparametric latent structure models. We introduce an identifiability theorem that generalizes existing conditions, establishing a unified framework…
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
If part of a population is hidden but two or more sources are available that each cover parts of this population, dual- or multiple-system(s) estimation can be applied to estimate this population. For this it is common to use the log-linear…
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…