相关论文: Modelling dependence within and across run-off tri…

We consider the setting where a collection of time series, modeled as random processes, evolve in a causal manner, and one is interested in learning the graph governing the relationships of these processes. A special case of wide interest…

We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…

There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…

This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive…

We formulate the inverse problem in a Bayesian framework and aim to train a generative model that allows us to simulate (i.e., sample from the likelihood) and do inference (i.e., sample from the posterior). We review the use of triangular…

We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…

Mixture transition distribution time series models build high-order dependence through a weighted combination of first-order transition densities for each one of a specified number of lags. We present a framework to construct stationary…

This paper introduces a novel methodology that utilizes latency to unveil time-series dependence patterns. A customized statistical test detects memory dependence in event sequences by analyzing their inter-event time distributions.…

Many regenerative arguments in stochastic processes use random times which are akin to stopping times, but which are determined by the future as well as the past behaviour of the process of interest. Such arguments based on "conditioning on…

Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. The classic multistate life insurance modeling framework is ill-suited to handle such information delays since the cash flow and…

Simulation-based inference has been popular for amortized Bayesian computation. It is typical to have more than one posterior approximation, from different inference algorithms, different architectures, or simply the randomness of…

Stacking is a widely used model averaging technique that asymptotically yields optimal predictions among linear averages. We show that stacking is most effective when model predictive performance is heterogeneous in inputs, and we can…

This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…

We address the problem of learning graphical models which correspond to high dimensional autoregressive stationary stochastic processes. A graphical model describes the conditional dependence relations among the components of a stochastic…

In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated…

This paper introduces a very general discrete covering location model that accounts for uncertainty and time-dependent aspects. A MILP formulation is proposed for the problem. Afterwards, it is observed that most of the models existing in…

The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…

Survival models are used to analyze time-to-event data in a variety of disciplines. Proportional hazard models provide interpretable parameter estimates, but proportional hazards assumptions are not always appropriate. Non-parametric models…

Nonlinear stochastic modeling is useful for describing complex engineering systems. Meanwhile, neuromorphic (brain-inspired) computing paradigms are developing to tackle tasks that are challenging and resource intensive on digital…

Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian…