Related papers: Econometrics of Insurance with Multidimensional Ty…
This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference methods for the RDD models with covariate selection which perform…
In actuarial practice the dependency between contract limitations (deductibles, copayments) and health care expenditures are measured by the application of the Monte Carlo simulation technique. We propose, for the same goal, an alternative…
In this article, we study the problem of variable screening in multiple nonparametric regression model. The proposed methodology is based on the fact that the partial derivative of the regression function with respect to the irrelevant…
Trade credit insurance (TCI) is a specialized line of property and casualty insurance, protecting businesses against financial losses due to buyer's insolvency. Predictive modeling for TCI claims poses formidable challenges due to the…
Statistical agencies and other institutions collect data under the promise to protect the confidentiality of respondents. When releasing microdata samples, the risk that records can be identified must be assessed. To this aim, a widely…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
We describe a new approach to estimating relative risks in time-to-event prediction problems with censored data in a fully parametric manner. Our approach does not require making strong assumptions of constant proportional hazard of the…
The cumulative incidence is the probability of failure from the cause of interest over a certain time period in the presence of other risks. A semiparametric regression model proposed by Fine and Gray (1999) has become the method of choice…
This paper proposes minimum distance inference for a structural parameter of interest, which is robust to the lack of identification of other structural nuisance parameters. Some choices of the weighting matrix lead to asymptotic…
This paper proposes a public-private insurance scheme for earthquakes and floods in Italy in which property-owners, the insurer and the government co-operate in risk financing. Our model departs from the existing literature by describing a…
In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these hybrid markets, Artzner et al. (2022) introduced the notion…
We developed a statistical inference method applicable to a broad range of generalized linear models (GLMs) in high-dimensional settings, where the number of unknown coefficients scales proportionally with the sample size. Although a…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our…
This paper develops a new method for identifying econometric models with partially latent covariates. Such data structures arise in industrial organization and labor economics settings where data are collected using an input-based sampling…
This paper proposes methods for identification of large-scale networked systems with guarantees that the resulting model will be contracting -- a strong form of nonlinear stability -- and/or monotone, i.e. order relations between states are…
Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…
In this paper, we consider bivariate composite models for modeling jointly different types of claims and their associated costs in a flexible manner. For expository purposes, the Gumbel copula is paired with the composite Weibull-Inverse…