相关论文: On Technical Bases and Surplus in Life Insurance

We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the…

Contract theories have been proposed to formally support distributed and decentralized system design while ensuring safe system integration. In this paper we propose hypercontracts, a generic model with a richer structure for its underlying…

It has become standard practice in the non-life insurance industry to employ Generalized Linear Models (GLMs) for insurance pricing. However, these GLMs traditionally work only with a priori characteristics of policyholders, while nowadays…

We provide closed-form market equilibrium formula consolidating informational imperfections and investors beliefs. Based on Merton's model, we characterize the equilibrium expected excess returns vector with incomplete information. We then…

When longitudinal outcomes are evaluated in mortal populations, their non-existence after death complicates the analysis and its causal interpretation. Where popular methods often merge longitudinal outcome and survival into one scale or…

Latent space models have been widely adopted in modeling network data. Developing statistical inference for estimated model parameters enables quantifying associated uncertainty and is pivotal for downstream tasks. Despite recent progress…

While there are many well-developed data science methods for classification and regression, there are relatively few methods for working with right-censored data. Here, we present "survival stacking": a method for casting survival analysis…

Supervised topic models utilize document's side information for discovering predictive low dimensional representations of documents. Existing models apply the likelihood-based estimation. In this paper, we present a general framework of…

Extended cure survival models enable to separate covariates that affect the probability of an event (or `long-term' survival) from those only affecting the event timing (or `short-term' survival). We propose to generalize the bounded…

Despite the growing popularity of machine-learning techniques in decision-making, the added value of causal-oriented strategies with respect to pure machine-learning approaches has rarely been quantified in the literature. These strategies…

The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…

We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in…

We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…

This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate…

Standard selection criteria for forecasting models focus on information that is calculated for each series independently, disregarding the general tendencies and performances of the candidate models. In this paper, we propose a new way to…

A well-designed framework for risk classification and ratemaking in automobile insurance is key to insurers' profitability and risk management, while also ensuring that policyholders are charged a fair premium according to their risk…

The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power -- in particular in the context of group experience rating. The inclusion of collective health…

We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a…

Clinical prediction models provide a prediction (e.g., estimated risk) for each individual, typically expressed as a point estimate derived from a deterministic function such as a logistic regression equation. Such 'plug-in' predictions…

In previous work, summarized in this paper, we proposed an operation of parallel composition for rewriting-logic theories, allowing compositional specification of systems and reusability of components. The present paper focuses on…