Related papers: Bivariate phase-type distributions for experience …
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance depend on the number of claims the driver…
Point and interval estimation of future disability inception and recovery rates are predominantly carried out by combining generalized linear models (GLM) with time series forecasting techniques into a two-step method involving parameter…
Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…
We study shrinkage estimation of the mean parameters of a class of multivariate distributions for which the diagonal entries of the corresponding covariance matrix are certain quadratic functions of the mean parameter. This class of…
In this paper, we consider statistical estimation of time-inhomogeneous aggregate Markov models. Unaggregated models, which corresponds to Markov chains, are commonly used in multi-state life insurance to model the biometric states of an…
The task of modeling claim severities is addressed when data is not consistent with the classical regression assumptions. This framework is common in several lines of business within insurance and reinsurance, where catastrophic losses or…
Cross-classified data frequently arise in scientific fields such as education, healthcare, and social sciences. A common modeling strategy is to introduce crossed random effects within a regression framework. However, this approach often…
Count data play a critical role in medical research, such as heart disease. The Poisson regression model is a common technique for evaluating the impact of a set of covariates on the count responses. The mixture of Poisson regression models…
Contemporary insurance theory is concentrated on models with different types of polices and shock events may influence the payments on some of them. Jordanova (2018) considered a model where a shock event contributes to the total claim…
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 a novel class of bivariate common-shock discrete phase-type (CDPH) distributions to describe dependencies in loss modeling, with an emphasis on those induced by common shocks. By constructing two jointly evolving terminating…
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…
In general insurance, risks from different categories are often modeled independently and their sum is regarded as the total risk the insurer takes on in exchange for a premium. The dependence from multiple risks is generally neglected even…
The objective is to model longitudinal and survival data jointly taking into account the dependence between the two responses in a real HIV/AIDS dataset using a shared parameter approach inside a Bayesian framework. We propose a linear…
Accuracy and interpretability of a (non-life) insurance pricing model are essential qualities to ensure fair and transparent premiums for policy-holders, that reflect their risk. In recent years, the classification and regression trees…
The paper deals with disorders detection in the multivariate stochastic process. We consider the multidimensional Poisson process or the multivariate renewal process. This class of processes can be used as a description of the distributed…
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…
This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…