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Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might…
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…
We propose a simple and general framework for nonparametric estimation of heterogeneous treatment effects under fairness constraints. Under standard regularity conditions, we show that the resulting estimators possess the double robustness…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
This paper establishes the first analytical relationship between predictive model performance and loss ratio in insurance pricing. We derive a closed-form formula connecting the Pearson correlation between predicted and actual losses to…
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
This paper proposes a framewrok for analyzing how the welfare effects of policy interventions are distributed across individuals when those effects are unobserved. Rather than focusing solely on average outcomes, the approach uses readily…
This paper provides a comprehensive analysis of welfare measures when oligopolistic firms face multiple policy interventions and external changes under general forms of market demands, production costs, and imperfect competition. We present…
Recent literature on policy learning has primarily focused on regret bounds of the learned policy. We provide a new perspective by developing a unified semiparametric efficiency framework for policy learning, allowing for general treatments…
We adopt a parametric approach to analyze the worst-case degradation in social welfare when the allocation of indivisible goods is constrained to be fair. Specifically, we are concerned with cardinality-constrained allocations, which…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a…
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…
This paper explores optimal insurance solutions based on the Lambda-Value-at-Risk ($\Lambda\VaR$). If the expected value premium principle is used, our findings confirm that, similar to the VaR model, a truncated stop-loss indemnity is…
Constructed facilities should be robust with respect to the loss of load-bearing elements due to abnormal events. Yet, strengthening structures to withstand such damage has a significant impact on construction costs. Strengthening costs…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
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…
Artificial Intelligence (AI) has received an increasing amount of attention in multiple areas. The uncertainties and risks in AI-powered systems have created reluctance in their wild adoption. As an economic solution to compensate for…
This paper introduces a rule for policy selection in the presence of estimation uncertainty, explicitly accounting for estimation risk. The rule belongs to the class of risk-aware rules on the efficient decision frontier, characterized as…