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We provide a practical superhedging strategy for the pricing and hedging of the No-Negative-Equity-Guarantee (NNEG) found in Equity-Release Mortgages (ERMs), or reverse mortgages, using a discrete-time model. In contrast to many papers on…
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…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
This paper researches the problem of purchasing deferred term insurance in the context of financial planning to maximize the probability of achieving a personal financial goal. Specifically, our study starts from the perspective of hedging…
Frailty models are often the model of choice for heterogeneous survival data. A frailty model contains both random effects and fixed effects, with the random effects accommodating for the correlation in the data. Different estimation…
Estimating conditional independence graphs from high-dimensional Gaussian data is challenging because methods must detect relevant edges while rigorously controlling statistical errors. We propose a Bayesian framework based on a prior…
It is often the case that risk assessment and prognostics are viewed as related but separate tasks. This chapter describes a risk-based approach to prognostics that seeks to provide a tighter coupling between risk assessment and fault…
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…
The Makeham term is a crucial element in mortality modeling, representing a constant additive hazard that addresses background mortality factors unrelated to aging. Widely used in mortality analysis, this term enables the capture of risks…
Detection heterogeneity is inherent to ecological data, arising from factors such as varied terrain or weather conditions, inconsistent sampling effort, or heterogeneity of individuals themselves. Incorporating additional covariates into a…
Most papers implicitly assume competing risks to be induced by residual cohort heterogeneity, i.e. heterogeneity that is not captured by the recorded covariates. Based on this observation we develop a generic statistical description of…
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…
This paper proposes a new family of Tweedie-based ratemaking models that explicitly account for mid-term policy cancellations. Using an automobile insurance dataset from a Canadian insurer, we document a marked difference in claims…
Increasing spatial and temporal resolution of numerical models continues to propel progress in hydrological sciences, but, at the same time, it has strained the ability of modern automatic calibration methods to produce realistic model…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
Evolving trees arise in many real-life scenarios from computer file systems and dynamic call graphs, to fake news propagation and disease spread. Most layout algorithms for static trees do not work well in an evolving setting (e.g., they…
In epidemiological studies of time-to-event data, a quantity of interest to the clinician and the patient is the risk of an event given a covariate profile. However, methods relying on time matching or risk-set sampling (including Cox…
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the economic properties of risk measures -- are defined and…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
The trade off between risks and returns gives rise to multi-criteria optimisation problems that are well understood in finance, efficient frontiers being the tool to navigate their set of optimal solutions. Motivated by the recent advances…