Related papers: Lapse-supported life insurance and adverse selecti…
We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…
Civil liability for a lost chance applies to legal cases in which a tortious action changes the probabilities of the outcomes that can be obtained by the victim. A central point in the application of this type of liability is the valuation…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process…
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that…
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admissible indemnities are such that both the indemnity and…
Researchers have widely used accelerated life tests to determine an optimal inspection plan for lot acceptance. All such plans are proposed by assuming a known relationship between the lifetime characteristic(s) and the accelerating stress…
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified…
Many high-stakes AI deployments proceed only if every stakeholder deems the system acceptable relative to their own minimum standard. With randomization over a finite menu of options, this becomes a feasibility question: does there exist a…
We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events,…
While the importance of personalized policymaking is widely recognized, fully personalized implementation remains rare in practice, often due to legal, fairness or cost concerns. We study the problem of policy targeting for a regret-averse…
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder.…
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…
A numerical method is proposed to evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. The method relies on a representation of the probability…
Survival analysis is a type of semi-supervised ranking task where the target output (the survival time) is often right-censored. Utilizing this information is a challenge because it is not obvious how to correctly incorporate these censored…
Unobserved individual heterogeneity is a common challenge in population cancer survival studies. This heterogeneity is usually associated with the combination of model misspecification and the failure to record truly relevant variables. We…
A probability model is presented for the dynamics of mutation-selection balance in a haploid infinite-population infinite-sites setting sufficiently general to cover mutation-driven changes in full age-specific demographic schedules. The…
This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…