Related papers: Bivariate phase-type distributions for experience …

This article shows how coupled Markov chains that meet exactly after a random number of iterations can be used to generate unbiased estimators of the solutions of the Poisson equation. Through this connection, we re-derive known unbiased…

We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…

Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…

Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity-linked life insurance products, including segregated funds…

The key concepts (calibration, discrimination, and discordance) important in understanding and comparing risk models are best conveyed graphically. To illustrate this, models predicting death and acute kidney injury in a large cohort of PCI…

The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…

In survival analysis, cure models have gained much importance due to rapid advancements in medical sciences. More recently, a subset of cure models, called destructive cure models, have been studied extensively under competing risks…

In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period…

This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…

In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…

We investigate the probabilistic feasibility of randomized solutions to two distinct classes of uncertain multi-agent optimization programs. We first assume that only the constraints of the program are affected by uncertainty, while the…

In randomized controlled trials, forest plots are frequently used to investigate the homogeneity of treatment effect estimates in subgroups. However, the interpretation of subgroup-specific treatment effect estimates requires great care due…

This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…

Although the specification of bivariate probability models using a collection of assumed conditional distributions is not a novel concept, it has received considerable attention in the last decade. In this study, a bivariate…

We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…

In this paper, we introduce a new approach to generate flexible parametric families of distributions. These models arise on competitive and complementary risks scenario, in which the lifetime associated with a particular risk is not…

Consider a situation of analyzing high-dimensional count data containing an excess of near-zero counts with a small number of moderate or large counts. Assuming that the observations are modeled by a Poisson distribution, we are interested…

Heavy-tailed random variables have been used in insurance research to model both loss frequencies and loss severities, with substantially more emphasis on the latter. In the present work, we take a step toward addressing this imbalance by…

In certain genetic studies, clinicians and genetic counselors are interested in estimating the cumulative risk of a disease for individuals with and without a rare deleterious mutation. Estimating the cumulative risk is difficult, however,…

A number of models for generating statistical data in various fields of insurance, including life insurance, pensions, and general insurance have been considered. It is shown that the insurance statistics data, as a rule, are truncated and…