Related papers: Functional Analysis of Loss-development Patterns i…
We propose Path Signatures Logistic Regression (PSLR), a semi-parametric framework for classifying vector-valued functional data with scalar covariates. Classical functional logistic regression models rely on linear assumptions and fixed…
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable…
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a challenging prediction task as losses frequently take years…
We consider functional linear regression models where functional outcomes are associated with scalar predictors by coefficient functions with shape constraints, such as monotonicity and convexity, that apply to sub-domains of interest. To…
We propose a functional linear model to predict a response using multiple functional and longitudinal predictors and to estimate the effect lags of predictors. The coefficient functions are written as the expansion of a basis system (e.g.…
A proportional iterative learning control (P-ILC) for linear models of an existing hybrid stroke rehabilitation scheme is implemented for elbow extension/flexion during a rehabilitative task. Owing to transient error growth problem of…
Hypothesis testing procedures are developed to assess linear operator constraints in function-on-scalar regression when incomplete functional responses are observed. The approach enables statistical inferences about the shape and other…
Casualty insurance-linked securities (ILS) are appealing to investors because the underlying insurance claims, which are directly related to resulting security performance, are uncorrelated with most other asset classes. Conversely,…
This paper introduces yet another stochastic model replicating chain-ladder estimates and furthermore considers extensions that add flexibility to the modeling. In its simplest form, the proposed model replicates the chain-ladder's…
Several aspects influence corrosive processes in RC structures, such as environmental conditions, structural geometry, and mechanical properties. Since these aspects present large randomnesses, probabilistic models allow a more accurate…
The function-on-function linear regression model in which the response and predictors consist of random curves has become a general framework to investigate the relationship between the functional response and functional predictors.…
We develop methodology to detect structural breaks in the slope function of a concurrent functional linear regression model for functional time series in $C[0,1]$. Our test is based on a CUSUM process of regressor-weighted OLS residual…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…
A functional risk curve gives the probability of an undesirable event as a function of the value of a critical parameter of a considered physical system. In several applicative situations, this curve is built using phenomenological…
We propose two novel approaches for estimating time-varying effects of functional predictors within a linear functional Cox model framework. This model allows for time-varying associations of a functional predictor observed at baseline,…
The area under the receiver operating characteristic curve (AUC) is often used to evaluate the performance of clinical prediction models. Recently, a more refined strategy has been proposed to examine a partial area under the curve (pAUC),…
A partial least squares regression is proposed for estimating the function-on-function regression model where a functional response and multiple functional predictors consist of random curves with quadratic and interaction effects. The…
Aiming for accurate estimation of system reliability of load-sharing systems, a flexible model for such systems is constructed by approximating the cumulative hazard functions of component lifetimes using piecewise linear functions. The…
The use of cumulative incidence functions for characterizing the risk of one type of event in the presence of others has become increasingly popular over the past decade. The problems of modeling, estimation and inference have been treated…
We introduce new approaches for forecasting IBNR (Incurred But Not Reported) frequencies by leveraging individual claims data, which includes accident date, reporting delay, and possibly additional features for every reported claim. A key…