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Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in [6]. We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value…
The difference in restricted mean survival times between two groups is a clinically relevant summary measure. With observational data, there may be imbalances in confounding variables between the two groups. One approach to account for such…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
In this paper, we investigate the cumulative distribution functions (CDFs) of the maximum and minimum of multivariate Poisson distributions with three dependence structures, namely, the common shock, comonotonic shock and…
The aim of this paper, is to define a bivariate exponentiated generalized linear exponential distribution based on Marshall-Olkin shock model. Statistical and reliability properties of this distribution are discussed. This includes…
Computing partition functions, the normalizing constants of probability distributions, is often hard. Variants of importance sampling give unbiased estimates of a normalizer Z, however, unbiased estimates of the reciprocal 1/Z are harder to…
A particular challenge for disease progression modeling is the heterogeneity of a disease and its manifestations in the patients. Existing approaches often assume the presence of a single disease progression characteristics which is…
The robust Poisson method is becoming increasingly popular when estimating the association of exposures with a binary outcome. Unlike the logistic regression model, the robust Poisson method yields results that can be interpreted as risk or…
Finite Gaussian mixture models provide a powerful and widely employed probabilistic approach for clustering multivariate continuous data. However, the practical usefulness of these models is jeopardized in high-dimensional spaces, where…
In this paper we obtain the limit distribution for partial sums with a random number of terms following a class of mixed Poisson distributions. The resulting weak limit is a mixing between a normal distribution and an exponential family,…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
Hidden semi-Markov models generalise hidden Markov models by explicitly modelling the time spent in a given state, the so-called dwell time, using some distribution defined on the natural numbers. While the (shifted) Poisson and negative…
A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…
In this paper we obtain closed expressions for the probability distribution function, when we consider aggregated risks with multivariate dependent Pareto distributions. We work with the dependent multivariate Pareto type II proposed by…
Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…