Related papers: Econometrics of Insurance with Multidimensional Ty…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
This paper discusses endogenous treatment models with duration outcomes, competing risks and random right censoring. The endogeneity issue is solved using a discrete instrumental variable. We show that the competing risks model generates a…
This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, which associates various classes of insurance contracts with…
Recent transformative and disruptive advancements in the insurance industry have embraced various InsurTech innovations. In particular, with the rapid progress in data science and computational capabilities, InsurTech is able to integrate a…
In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
The paper introduces an approach to telematics devices data application in automotive insurance. We conduct a comparative analysis of different types of devices that collect information on vehicle utilization and driving style of its…
It has become standard practice in the non-life insurance industry to employ Generalized Linear Models (GLMs) for insurance pricing. However, these GLMs traditionally work only with a priori characteristics of policyholders, while nowadays…
Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are…
Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…
Risk adjustment in health care aims to redistribute payments to insurers based on costs. However, risk adjustment formulas are known to underestimate costs for some groups of patients. This undercompensation makes these groups unprofitable…
We propose a robust method of discrete choice analysis when agents' choice sets are unobserved. Our core model assumes nothing about agents' choice sets apart from their minimum size. Importantly, it leaves unrestricted the dependence,…
Modeling the dependence between multiple risk types is a central challenge in contemporary insurance risk management. The standard approaches, L\'evy copulas and zero-mixed models, often face practical difficulties in simulation and…
This paper develops a dynamic equilibrium model of the insurance market that jointly characterizes insurers' underwriting, investment, recapitalization, and dividend policies under model uncertainty and financial frictions. Competitive…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…