相关论文: Predictive Claim Scores for Dynamic Multi-Product …
The chain-ladder (CL) method is the most widely used claims reserving technique in non-life insurance. This manuscript introduces a novel approach to computing the CL reserves based on a fundamental restructuring of the data utilization for…
In the current insurance literature, prediction of insurance claims in the regression problem is often performed with a statistical model. This model-based approach may potentially suffer from several drawbacks: (i) model misspecification,…
This study models the monopoly pricing of weather index insurance as a Bowley-type sequential game involving a profit-maximizing insurer (leader) and a farmer (follower). The farmer chooses an insurance payoff to minimize a convex…
The quality of generalized linear models (GLMs), frequently used by insurance companies, depends on the choice of interacting variables. The search for interactions is time-consuming, especially for data sets with a large number of…
One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
This article, in a first step, considers two Bayes estimators for the relativity premium of a given Bonus--Malus system. It then develops a linear relativity premium that closes, in the sense of weighted mean square error loss, to such…
We propose Dirichlet Process mixtures of Generalized Linear Models (DP-GLM), a new method of nonparametric regression that accommodates continuous and categorical inputs, and responses that can be modeled by a generalized linear model. We…
We propose a new method for clustering multivariate time-series data based on Dynamic Linear Models. Whereas usual time-series clustering methods obtain static membership parameters, our proposal allows each time-series to dynamically…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
Product classification is a crucial task in international trade, as compliance regulations are verified and taxes and duties are applied based on product categories. Manual classification of products is time-consuming and error-prone, and…
Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar…
Data analysis and individual policy-level modeling for insurance involves handling large data sets with strong spatiotemporal correlations, non-Gaussian distributions, and complex hierarchical structures. In this research, we demonstrate…
Regression models are popular tools in empirical sciences to infer the influence of a set of variables onto a dependent variable given an experimental dataset. In neuroscience and cognitive psychology, Generalized Linear Models (GLMs)…
Accurate loss reserving is crucial in Property and Casualty (P&C) insurance for financial stability, regulatory compliance, and effective risk management. We propose a novel micro-level Cox model based on hidden Markov models (HMMs).…
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several…
Claim frequency data in insurance records the number of claims on insurance policies during a finite period of time. Given that insurance companies operate with multiple lines of insurance business where the claim frequencies on different…