Related papers: Lapse-supported life insurance and adverse selecti…

We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…

In this paper, we explore a method for treating survival analysis as a classification problem. The method uses a "stacking" idea that collects the features and outcomes of the survival data in a large data frame, and then treats it as a…

An assurance calculation is a Bayesian alternative to a power calculation. One may be performed to aid the planning of a clinical trial, specifically setting the sample size or to support decisions about whether or not to perform a study.…

Nonlinear longitudinal proportional effect models have been proposed to improve power and provide direct estimates of the proportional treatment effect in randomized clinical trials. These models assume a fixed proportional treatment effect…

Natural hedging allows life insurers to manage longevity risk internally by offsetting the opposite exposures of life insurance and annuity liabilities. Although many studies have proposed natural hedging strategies under different…

The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…

This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…

Survival Analysis (SA) constitutes the default method for time-to-event modeling due to its ability to estimate event probabilities of sparsely occurring events over time. In this work, we show how to improve the training and inference of…

We derive a general multiple state model for critical illness insurances. In contrast to the classical model, we take into account that the probability of death for a dread disease sufferer may depend on the duration of the disease, and the…

The existence of large and extreme claims of a non-life insurance portfolio influences the ability of (re)insurers to estimate the reserve. The excess over-threshold method provides a way to capture and model the typical behaviour of…

Individuals often aim to reverse undesired outcomes in interactions with automated systems, like loan denials, by either implementing system-recommended actions (recourse), or manipulating their features. While providing recourse benefits…

Extensive post reproductive lifespan (PRLS) is observed only in a few species, such as humans or resident killer whales, and its origin is under debate. Hypotheses like mother-care and grandmother-care invoke strategies of…

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…

Selection bias arises when the probability that an observation enters a dataset depends on variables related to the quantities of interest, leading to systematic distortions in estimation and uncertainty quantification. For example, in…

Competing risk models are survival models with several events of interest acting in competition and whose occurrence is only observed for the event that occurs first in time. This paper presents a Bayesian approach to these models in which…

This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the…

We use a simple agent based model of value investors in financial markets to test three credit regulation policies. The first is the unregulated case, which only imposes limits on maximum leverage. The second is Basle II and the third is a…

In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the…

Lung cancer is among the most common cancers in the United States, in terms of incidence and mortality. In 2009, it is estimated that more than 150,000 deaths will result from lung cancer alone. Genetic information is an extremely valuable…