Related papers: Left-truncated discrete lifespans: The AFiD enterp…
In recurrent survival analysis where the event of interest can occur multiple times for each subject, frailty models play a crucial role by capturing unobserved heterogeneity at the subject level within a population. Frailty models…
As a confined thin sheet crumples, it spontaneously segments into flat facets delimited by a network of ridges. Despite the apparent disorder of this process, statistical properties of crumpled sheets exhibit striking reproducibility.…
We study objective Bayesian inference for linear regression models with residual errors distributed according to the class of two-piece scale mixtures of normal distributions. These models allow for capturing departures from the usual…
A retention strategy based on an enlightened lapse model is a powerful profitabilitylever for a life insurer. Some machine learning models are excellent at predicting lapse,but from the insurer's perspective, predicting which policyholder…
The contact structure of a population plays an important role in transmission of infection. Many ``structured models'' capture aspects of the contact structure through an underlying network or a mixing matrix. An important observation in…
We propose a new definition for the error threshold of a population evolving through mutation and selection. We compute the correction term due to the finiteness of the population by estimating the lifetime of master sequences. Our…
The number of people able to end Earth's technical civilization has heretofore been small. Emerging dual-use technologies, such as biotechnology, may give similar power to thousands or millions of individuals. To quantitatively investigate…
There is sustained and widespread interest in understanding the limit, if any, to the human lifespan. Apart from its intrinsic and biological interest, changes in survival in old age have implications for the sustainability of social…
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium and correlation between different…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
We propose a stochastic model of a fragmentation process, developed by taking into account fragment lifetime as a function of their size based on the Gibrat process. If lifetime is determined by a power function of fragment size, numerical…
Aging is associated with the accumulation of damage throughout a persons life. Individual health can be assessed by the Frailty Index (FI). The FI is calculated simply as the proportion $f$ of accumulated age related deficits relative to…
We address the issue of the distribution of firm size. To this end we propose a model of firms in a closed, conserved economy populated with zero-intelligence agents who continuously move from one firm to another. We then analyze the size…
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is…
We study the short-time and medium-time behavior of the survival probability in the frame of the $N$-level Friedrichs model. The time evolution of an arbitrary unstable initial state is determined. We show that the survival probability may…
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation…
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
With double-truncated lifespans, we test the hypothesis of a parametric distribution family for the lifespan. The typical finding from demography is an instationary behaviour of the life expectancy, and a copula models the resulting weak…
This paper focuses on modelling surrender time for policyholders in the context of life insurance. In this setup, a large lapse rate at the first months of a contract is often observed, with a decrease in this rate after some months. The…