相关论文: Double-Counting Problem of the Bonus-Malus System
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
Insurance products frequently cover significant claims arising from a variety of sources. To model losses from these products accurately, actuarial models must account for high-severity claims. A widely used strategy is to apply a mixture…
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic…
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…
We propose a multi-criteria Composite Index Method (CIM) to compare the performance of alternative approaches to solving an optimization problem. The CIM is convenient in those situations when neither approach dominates the other when…
Experience rating in insurance uses a Bayesian credibility model to upgrade the current premiums of a contract by taking into account policyholders' attributes and their claim history. Most data-driven models used for this task are…
Typical risk classification procedure in insurance is consists of a priori risk classification determined by observable risk characteristics, and a posteriori risk classification where the premium is adjusted to reflect the policyholder's…
Bilinear matrix inequality (BMI) problems in system and control designs are investigated in this paper. A solution method of reduction of variables (MRVs) is proposed. This method consists of a principle of variable classification, a…
Recent studies showed that datasets used in fairness-aware machine learning for multiple protected attributes (referred to as multi-discrimination hereafter) are often imbalanced. The class-imbalance problem is more severe for the often…
Risk adjustment in health care aims to redistribute payments to insurers based on costs. However, risk adjustment formulas are known to underestimate costs for some groups of patients. This undercompensation makes these groups unprofitable…
Bounded Max-Sum (BMS) is a message-passing algorithm that provides approximation solution to a specific form of de-centralized coordination problems, namely Distributed Constrained Optimization Problems (DCOPs). In particular, BMS algorithm…
In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller's risk attitude. Building on the work of Meyers (1980) and Chen et al.…
Modeling insurance claim amounts and classifying claims into different risk levels are critical yet challenging tasks. Traditional predictive models for insurance claims often overlook the valuable information embedded in claim…
Bayesian multinomial logistic regression provides a principled, interpretable approach to multiclass classification, but posterior sampling becomes increasingly expensive as the model dimension grows. Prior work has studied scalability in…
Submodular function maximization is a fundamental combinatorial optimization problem with plenty of applications -- including data summarization, influence maximization, and recommendation. In many of these problems, the goal is to find a…
Condition-based maintenance (CBM) is an effective maintenance strategy to improve system performance while lowering operating and maintenance costs. Real-world systems typically consist of a large number of components with various…
Every time drivers take to the road, and with each mile that they drive, exposes themselves and others to the risk of an accident. Insurance premiums are only weakly linked to mileage, however, and have lump-sum characteristics largely. The…
Advanced classification algorithms are being increasingly used in safety-critical applications like health-care, engineering, etc. In such applications, miss-classifications made by ML algorithms can result in substantial financial or…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
Sequential decision-making under cost-sensitive tasks is prohibitively daunting, especially for the problem that has a significant impact on people's daily lives, such as malaria control, treatment recommendation. The main challenge faced…