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

Many disease models focus on characterizing the underlying transmission mechanism but make simple, possibly naive assumptions about how infections are reported. In this note, we use a simple deterministic Susceptible-Infected-Removed (SIR)…

Objective: Many low-severity crashes are not reported due to sampling criteria, introducing missing not at random (MNAR) bias. If not addressed, MNAR bias can lead to inaccurate safety analyses. This paper illustrates a statistical method…

While analysing time-to-event data, it is possible that a certain fraction of subjects will never experience the event of interest and they are said to be cured. When this feature of survival models is taken into account, the models are…

Models of narrative schema knowledge have proven useful for a range of event-related tasks, but they typically do not capture the temporal relationships between events. We propose a single model that addresses both temporal ordering,…

We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…

The paper considers a Cox process where the stochastic intensity function for the Poisson data model is itself a non-homogeneous Poisson process. We show that it is possible to obtain the marginal data process, namely a non-homogeneous…

Ordinary differential equation models are used to describe dynamic processes across biology. To perform likelihood-based parameter inference on these models, it is necessary to specify a statistical process representing the contribution of…

In competing risks models, the joint distribution of the event times is not identifiable even when the margins are fully known, which has been referred to as the "identifiability crisis in competing risks analysis" (Crowder, 1991). We model…

In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…

We study infinite-server queues in which the arrival process is a Cox process (or doubly stochastic Poisson process), of which the arrival rate is given by shot noise. A shot-noise rate emerges as a natural model, if the arrival rate tends…

Aoristic data can be described by a marked point process in time in which the points cannot be observed directly but are known to lie in observable intervals, the marks. We consider Bayesian state estimation for the latent points when the…

A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for the states of an insured person. Between and at transitions,…

In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to the biometric state, the state process is…

In the present work we study Bayesian nonparametric inference for the continuous-time M/G/1 queueing system. In the focus of the study is the unobservable service time distribution. We assume that the only available data of the system are…

For statistical inference on regression models with a diverging number of covariates, the existing literature typically makes sparsity assumptions on the inverse of the Fisher information matrix. Such assumptions, however, are often…

The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challenge. It has been shown that the popular chain-ladder reserving approach is at significant risk to such aberrant…

This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…

This paper focuses on modelling loss reserving to pay outstanding claims. As the amount liable on any given claim is not known until settlement, we propose a flexible model via heavy-tailed and skewed distributions to deal with outstanding…

Epidemiologic studies often evaluate the association between an exposure and an event risk. When time-varying, exposure updates usually occur at discrete visits although changes are in continuous time and survival models require values to…

This paper is concerned with modelling multiple claim arrays that are subject to one or more common shocks. It uses a structure that involves very general forms both idiosyncratic and common shock components of cell means. The dependencies…