Related papers: Valuing insurance against small probability risks:…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
An insurance company, as a risk bearer, is exposed to the likelihood of running into ruin. This is the situation where the initial surplus falls below zero. There is the need to find the required start-up capital to hedge against…
This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We provide asymptotic results for the entrance probability on both…
Confounding control is crucial and yet challenging for causal inference based on observational studies. Under the typical unconfoundness assumption, augmented inverse probability weighting (AIPW) has been popular for estimating the average…
In this paper, we propose a novel association measure for longitudinal studies based on the traditional definition of relative risk. In a Markovian fashion, such a proposal takes into account the information content regarding the previous…
Causal inference with time-to-event outcomes is fundamental in various scientific studies. In a static setup with fitted propensity scores, weighted Kaplan-Meier estimation for survival probabilities and weighted Breslow-Peto estimation for…
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
The present paper introduces a theoretical framework through which the degree of risk aversion with respect to uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the…
Balancing a rare and serious possibility against a more common and less serious one is a familiar problem in many situations, such as the prediction of rare diseases. The relative costs of forecasting errors can be used for any prediction…
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples…
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution…
How should well-being be prioritised in society, and what trade-offs are people willing to make between fairness and personal well-being? We investigate these questions using a stated preference experiment with a nationally representative…
Understanding how the causal effect of a treatment evolves over time, including the potential for waning, is important for informed decisions on treatment discontinuation or repetition. For example, waning vaccine protection influences…
Random effects meta-analysis is a widely applied methodology to synthetize research findings of studies in a specific scientific question. Besides estimating the mean effect, an important aim of the meta-analysis is to summarize the…
Index insurance is often proposed to reduce protection gaps, especially for emerging risks. Unlike traditional insurance, it bases compensation on a measurable index, enabling faster payouts and lower claim management costs. This approach…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
A stratified sampling plan to audit health insurance claims is offered. The stratification is by dollar amount of the claim. The plan is representative in the sense that with high probability for each stratum, the difference in the average…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
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…