相关论文: Motor Insurance Accidental Damage Claims Modeling …

We pursue tractable Bayesian analysis of generalized linear models (GLMs) for categorical data. Thus far, GLMs are difficult to scale to more than a few dozen categories due to non-conjugacy or strong posterior dependencies when using…

This paper explores an optimal investment and reinsurance problem involving both ordinary and catastrophe insurance businesses. The catastrophic events are modeled as following a compound Poisson process, impacting the ordinary insurance…

Based on the recent paper by Delong et al. (2021), two distributions for the total claims amount (loss cost) are considered: Compound Poisson-gamma (CPG) and Tweedie. Each is used as an underlying distribution in the Bonus-Malus Scale (BMS)…

Despite its importance for insurance, there is almost no literature on statistical hail damage modeling. Statistical models for hailstorms exist, though they are generally not open-source, but no study appears to have developed a stochastic…

Mortgage default rates, on the one hand, serve as a measure of economic health to support decision-making by insurance companies, and on the other hand, is a key risk factor in the asset-liability management (ALM) practice, as mortgage…

Supervised topic models with a logistic likelihood have two issues that potentially limit their practical use: 1) response variables are usually over-weighted by document word counts; and 2) existing variational inference methods make…

Highly robust and efficient estimators for the generalized linear model with a dispersion parameter are proposed. The estimators are based on three steps. In the first step the maximum rank correlation estimator is used to consistently…

Generalized linear models (GLMs) arise in high-dimensional machine learning, statistics, communications and signal processing. In this paper we analyze GLMs when the data matrix is random, as relevant in problems such as compressed sensing,…

The precise and large dataset concerning catastrophic events is very important for insurers. To improve the quality of such data three methods based on the bootstrap, bootknife, and GAN algorithms are proposed. Using numerical experiments…

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns taking into account the main stylized facts driving these…

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…

A well-designed framework for risk classification and ratemaking in automobile insurance is key to insurers' profitability and risk management, while also ensuring that policyholders are charged a fair premium according to their risk…

Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…

The modeling of personal accident insurance data has been a topic of extreme relevance in the insurance literature. This kind of data often exhibits positive skewness and heavy tails. In this work, we propose a new quantile regression model…

Reliable estimates of indirect economic losses arising from natural disasters are currently out of scientific reach. To address this problem, we propose a novel approach that combines a probabilistic physical damage catastrophe model with a…

This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…

Generalized linear models (GLMs) are fundamental tools for statistical modeling, with maximum likelihood estimation (MLE) serving as the classical approach for parameter inference. While MLE performs well for canonical GLMs, it can become…

Analysis of road accidents is crucial to understand the factors involved and their impact. Accidents usually involve multiple variables like time, weather conditions, age of driver, etc. and hence it is challenging to analyze the data. To…

Crash prediction is a critical component of road safety analyses. A widely adopted approach to crash prediction is application of regression based techniques. The underlying calibration process is often time-consuming, requiring significant…

Catastrophic loss data are known to be heavy-tailed. Practitioners then need models that are able to capture both tail and modal parts of claim data. To this purpose, a new parametric family of loss distributions is proposed as a gamma…