相关论文: A Marked Cox Model for IBNR Claims: Model and Theo…

A new discrete-time shot noise Cox process for spatiotemporal data is proposed. The random intensity is driven by a dependent sequence of latent gamma random measures. Some properties of the latent process are derived, such as an…

We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the…

Properties of arrival times are studied for a Cox process with independent (and stationary) increments. Under a reasonable setting the directing random measure is shown to take over independent (and stationary) increments of the process,…

In Fernandez-Fontelo et al (Statis. Med. 2016, DOI 10.1002/sim.7026) hidden integer-valued autoregressive (INAR) processes are used to estimate reporting probabilities for various diseases. In this comment it is demonstrated that the…

Modeling the dependence between multiple risk types is a central challenge in contemporary insurance risk management. The standard approaches, L\'evy copulas and zero-mixed models, often face practical difficulties in simulation and…

Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…

An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…

When using the Cox model to analyze the effect of a time-varying treatment on a survival outcome, treatment is commonly included, using only the current level as a time-dependent covariate. Such a model does not necessarily assume that past…

In this work, we propose the balanced implicit method (BIM) to approximate the solution of the delay Cox-Ingersoll-Ross (CIR) model with jump which often gives rise to model an asset price and stochastic volatility . We show that this…

Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…

This paper considers a nonstationary multiserver queuing model with abandonment and balking for inbound call centers. We present a continuous time Markov chain (CTMC) model which captures the important characteristics of an inbound call…

In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…

We analyze sets of intrusion detection records observed on the networks of several large, nonresidential organizations protected by a form of intrusion detection and prevention service. Our analyses reveal that the process of intrusion…

The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…

To identify the causes of performance problems or to predict process behavior, it is essential to have correct and complete event data. This is particularly important for distributed systems with shared resources, e.g., one case can block…

In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…

In reinsurance, Poisson and Negative binomial distributions are employed for modeling frequency. However, the incomplete data regarding reported incurred claims above a priority level presents challenges in estimation. This paper focuses on…

Truncation is a statistical phenomenon that occurs in many time to event studies. For example, autopsy-confirmed studies of neurodegenerative diseases are subject to an inherent left and right truncation, also known as double truncation.…

We consider parameter estimation in a regression model corresponding to an iid sequence of censored observations of a finite state modulated renewal process. The model assumes a similar form as in Cox regression except that the baseline…

Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the micro-level approach, which estimates reserves at the…