Related papers: Lapse-supported life insurance and adverse selecti…
As machine learning models are increasingly being employed to make consequential decisions in real-world settings, it becomes critical to ensure that individuals who are adversely impacted (e.g., loan denied) by the predictions of these…
Inverse classification, the process of making meaningful perturbations to a test point such that it is more likely to have a desired classification, has previously been addressed using data from a single static point in time. Such an…
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…
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss…
Clinical decision-making often involves selecting tests that are costly, invasive, or time-consuming, motivating individualized, sequential strategies for what to measure and when to stop ascertaining. We study the problem of learning…
Policy learning algorithms are widely used in areas such as personalized medicine and advertising to develop individualized treatment regimes. However, most methods force a decision even when predictions are uncertain, which is risky in…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which…
In the context of micro-finance, a group of individuals undertake business projects that may interfere with one another. A contagious default happens if one person's project failure leads to the default of another group member. In this…
In this paper, we study the effects of fill probabilities and adverse fills on the trading strategy simulation process. We specifically focus on a stochastic optimal control market-making problem and test the strategy on ES (E-mini S\&P…
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal while consuming from an investment account. We extend…
This paper studies how insurers can chose which claims to investigate for fraud. Given a prediction model, typically only claims with the highest predicted propability of being fraudulent are investigated. We argue that this can lead to…
This study investigates the impact of loss-framing and individual risk attitude on willingness- to purchase insurance products utilizing a game-like interface as choice architecture. The application presents events as experienced in real…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an…
The mean survival is the key ingredient of the decision process in several applications, notably in health economic evaluations. It is defined as the area under the complete survival curve, thus necessitating extrapolation of the observed…
When data are right-censored, i.e. some outcomes are missing due to a limited period of observation, survival analysis can compute the "time to event". Multiple classes of outcomes lead to a classification variant: predicting the most…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II.…