相关论文: Optimal relativities in a modified Bonus-Malus sys…
We study the nonstationary stochastic Multi-Armed Bandit (MAB) problem in which the distribution of rewards associated with each arm are assumed to be time-varying and the total variation in the expected rewards is subject to a variation…
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium risk under dependence, inflation, and discounting. The proposed…
In this paper, a robust optimal reinsurance-investment problem with delay is studied under the $\alpha$-maxmin mean-variance criterion. The surplus process of an insurance company approximates Brownian motion with drift. The financial…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
The learning-augmented multi-option ski rental problem generalizes the classical ski rental problem in two ways: the algorithm is provided with a prediction on the number of days we can ski, and the ski rental options now come with a…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…
Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…
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…
We discuss estimation of the differentiated products demand system of Berry et al (1995) (BLP) by maximum likelihood estimation (MLE). We derive the maximum likelihood estimator in the case where prices are endogenously generated by firms…
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia.…
This article introduces a k-Inflated Negative Binomial mixture distribution/regression model as a more flexible alternative to zero-inflated Poisson distribution/regression model. An EM algorithm has been employed to estimate the model's…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…
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…
We propose a simple abstract formalisation of the act of observation, in which the system and the observer are assumed to be in a pure state and their interaction deterministically changes the states such that the outcome can be read from…
Subsampling is a widely used and effective approach for addressing the computational challenges posed by massive datasets. Substantial progress has been made in developing non-uniform, probability-based subsampling schemes that prioritize…
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…
This paper studies a multiclass queueing system with an associated risk- sensitive cost observed in heavy traffic at the moderate deviation scale, accounting for convex queue length penalties. The main result is the asymptotic optimality of…
Scenario-based optimization and control has proven to be an efficient approach to account for system uncertainty. In particular, the performance of scenario-based model predictive control (MPC) schemes depends on the accuracy of uncertainty…
The Birnbaum-Saunders distribution is a flexible and useful model which has been used in several fields. In this paper, a new bimodal version of this distribution based on the alpha-skew-normal distribution is established. We discuss some…
Pricing actuaries typically operate within the framework of generalized linear models (GLMs). With the upswing of data analytics, our study puts focus on machine learning methods to develop full tariff plans built from both the frequency…