Related papers: Lapse-supported life insurance and adverse selecti…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by…
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a…
We present a new approach to the problems of evaluating and learning personalized decision policies from observational data of past contexts, decisions, and outcomes. Only the outcome of the enacted decision is available and the historical…
Safety alignment in large language models (LLMs) is primarily evaluated under open-ended generation, where models can mitigate risk by refusing to respond. In contrast, many real-world applications place LLMs in structured decision-making…
Selection on moral hazard represents the tendency to select a specific health insurance coverage depending on the heterogeneity in utilisation ''slopes''. I use data from the Swiss Household Panel and from publicly available regulatory data…
We study explained variation under the additive hazards regression model for right-censored data. We consider different approaches for developing such a measure, and focus on one that estimates the proportion of variation in the failure…
In this paper, we propose two variable selection methods for adjusting the censoring information for survival times, such as the restricted mean survival time. To adjust for the influence of censoring, we consider an inverse survival…
Model selection aims to identify a sufficiently well performing model that is possibly simpler than the most complex model among a pool of candidates. However, the decision-making process itself can inadvertently introduce non-negligible…
This paper develops a risk-adjusted alternative to standard optimal policy learning (OPL) for observational data by importing Roy's (1952) safety-first principle into the treatment assignment problem. We formalize a welfare functional that…
In recent times, products have become increasingly complex and highly reliable, so failures typically occur after long periods of operation under normal conditions and may arise from multiple causes. This paper employs simple step-stress…
The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…
We consider a physical asset consisting of complex systems, where the systems may require upgrades during the lifetime of the asset. In practice, the asset owner and system supplier can make the upgrade decisions together, requiring a…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
Although recent model-free reinforcement learning algorithms have been shown to be capable of mastering complicated decision-making tasks, the sample complexity of these methods has remained a hurdle to utilizing them in many real-world…
Many epidemiologic studies forgo probability sampling and turn to nonprobability volunteer-based samples because of cost, response burden, and invasiveness of biological samples. However, finite population inference is difficult to make…
Mid-study design modifications are becoming increasingly accepted in confirmatory clinical trials, so long as appropriate methods are applied such that error rates are controlled. It is therefore unfortunate that the important case of…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
Survival analysis can sometimes involve individuals who will not experience the event of interest, forming what is known as the cured group. Identifying such individuals is not always possible beforehand, as they provide only right-censored…
The computational costs of inference and planning have confined Bayesian model-based reinforcement learning to one of two dismal fates: powerful Bayes-adaptive planning but only for simplistic models, or powerful, Bayesian non-parametric…