相关论文: On a Multi-Year Microlevel Collective Risk Model

Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…

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…

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…

We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…

This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…

Accurately estimating risk measures for financial portfolios is critical for both financial institutions and regulators. However, many existing models operate at the aggregate portfolio level and thus fail to capture the complex…

This paper presents a generic probabilistic framework for estimating the statistical dependency and finding the anatomical correspondences among an arbitrary number of medical images. The method builds on a novel formulation of the…

With insurers benefiting from ever-larger amounts of data of increasing complexity, we explore a data-driven method to model dependence within multilevel claims in this paper. More specifically, we start from a non-parametric estimator for…

This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…

We introduce a class of copulas that we call Principal Component Copulas (PCCs). This class combines the strong points of copula-based techniques with principal component analysis (PCA), which results in flexibility when modelling tail…

Statistical quality control methods are noteworthy to producing standard production in manufacturing processes. In this regard, there are many classical manners to control the process. Many of them have a global assumption around the…

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…

We develop a general modelling framework for compartmental epidemiological systems structured by continuous variables which are linked to the levels of expression of compartment-specific traits. We start by formulating an individual-based…

The occurrence of a claim often impacts not one but multiple insurance coverages provided in the contract. To account for this multivariate feature, we propose a new individual claims reserving model built around the activation of the…

This paper presents a robust method for estimating copula models to evaluate dependence between failure modes in one-shot devices-systems designed for single use and destroyed upon activation. Traditional approaches, such as maximum…

Copulas are popular as models for multivariate dependence because they allow the marginal densities and the joint dependence to be modeled separately. However, they usually require that the transformation from uniform marginals to the…

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…

In this paper, we consider bivariate composite models for modeling jointly different types of claims and their associated costs in a flexible manner. For expository purposes, the Gumbel copula is paired with the composite Weibull-Inverse…

This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…

In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence…