相关论文: Implementation of Frequency-Severity Association i…
In observational studies, propensity scores are commonly estimated by maxi- mum likelihood but may fail to balance high-dimensional pre-treatment covariates even after specification search. We introduce a general framework that unifies and…
Variance-based sensitivity methods can provide insights into large computational models. We present a novel application of sensitivity analysis to the Biomass Scenario Model (BSM) a large and complex system dynamics model of the developing…
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
This paper proposes a variance-based measure of importance for coherent systems with dependent and heterogeneous components. The particular cases of independent components and homogeneous components are also considered. We model the…
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…
The paper introduces an approach to telematics devices data application in automotive insurance. We conduct a comparative analysis of different types of devices that collect information on vehicle utilization and driving style of its…
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation…
Class imbalance is one of the challenging problems for machine learning in many real-world applications, such as coal and gas burst accident monitoring: the burst premonition data is extreme smaller than the normal data, however, which is…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…
In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal is to assess the effectiveness of the VIX-linked fee…
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including…
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heavy-tailedness and systematic effects in data. We tackle this…
In this paper, we investigate the optimization of mutual proportional reinsurance --- a mutual reserve system that is intended for the collective reinsurance needs of homogeneous mutual members, such as P&I Clubs in marine mutual insurance…
Prediction modelling of claim frequency is an important task for pricing and risk management in non-life insurance and needed to be updated frequently with the changes in the insured population, regulatory legislation and technology.…
Covariate imbalance between treatment groups makes it difficult to compare cumulative incidence curves in competing risk analyses. In this paper we discuss different methods to estimate adjusted cumulative incidence curves including inverse…
Traditional insurance pricing relies on risk-based principles that ensure actuarial fairness and solvency but do not explicitly account for policyholders' price sensitivity. We formulate insurance pricing as a decision-making problem and…
Weather parametric insurance relies on weather indices rather than actual loss assessments, enhancing claims efficiency, reducing moral hazard, and improving fairness. In the context of increasing climate change risks, despite growing…
Recent developments in condition-based maintenance (CBM) have helped make it a promising approach to maintenance cost avoidance in engineering systems. By performing maintenance based on conditions of the component with regards to failure…
In contrast to the popular Cox model which presents a multiplicative covariate effect specification on the time to event hazards, the semiparametric additive risks model (ARM) offers an attractive additive specification, allowing for direct…
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…