Related papers: Expectiles as basis risk-optimal payment schemes i…
Index insurance is often proposed to reduce protection gaps, especially for emerging risks. Unlike traditional insurance, it bases compensation on a measurable index, enabling faster payouts and lower claim management costs. This approach…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
For some estimations and predictions, we solve minimization problems with asymmetric loss functions. Usually, we estimate the coefficient of regression for these problems. In this paper, we do not make such the estimation, but rather give a…
In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…
The present article is devoted to the semi-parametric estimation of multivariate expectiles for extreme levels. The considered multivariate risk measures also include the possible conditioning with respect to a functional covariate,…
One fundamental statistical question for research areas such as precision medicine and health disparity is about discovering effect modification of treatment or exposure by observed covariates. We propose a semiparametric framework for…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
We give a risk-averse solution to the problem of estimating the reliability of a parallel-series system. We adopt a beta-binomial model for components reliabilities, and assume that the total sample size for the experience is fixed. The…
The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail risks associated with uncertain losses. However, when data…
In this article, by using composite asymmetric least squares (CALS) and empirical likelihood, we propose a two-step procedure to estimate the conditional value at risk (VaR) and conditional expected shortfall (ES) for the GARCH series.…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
New satellite sensors will soon make it possible to estimate field-level crop yields, showing a great potential for agricultural index insurance. This paper identifies an important threat to better insurance from these new technologies:…
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish…
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…
Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where splines (say) are used to approximate non-linear functional…
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…
Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…