相关论文: Individual claims reserving using the Aalen--Johan…

Survival models are a popular tool for the analysis of time to event data with applications in medicine, engineering, economics, and many more. Advances like the Cox proportional hazard model have enabled researchers to better describe…

The era of big data has witnessed an increasing availability of observational data from mobile and social networking, online advertising, web mining, healthcare, education, public policy, marketing campaigns, and so on, which facilitates…

We propose a probabilistic model to aggregate the answers of respondents answering multiple-choice questions. The model does not assume that everyone has access to the same information, and so does not assume that the consensus answer is…

Case-I interval-censored (current status) data from multistate systems are often encountered in biomedical and epidemiological studies. In this article, we focus on the problem of estimating state entry distribution and occupation…

This paper presents a multinomial multi-state micro-level reserving model, denoted mCube. We propose a unified framework for modelling the time and the payment process for IBNR and RBNS claims and for modeling IBNR claim counts. We use…

Multistate process data are common in studies of chronic diseases such as cancer. These data are ideal for precision medicine purposes as they can be leveraged to improve more refined health outcomes, compared to standard survival outcomes,…

Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…

The Van der Waals equation (VdW-EoS) is a prototype equation of state for realistic systems, because it contains the excluded volume and the particle interactions. Additionally, the simulated annealing (and the similar simulated…

We study a problem of privacy-preserving mechanism design. A data collector wants to obtain data from individuals to perform some computations. To relieve the privacy threat to the contributors, the data collector adopts a…

This paper is focused on the statistical analysis of data consisting of a collection of multiple series of probability measures that are indexed by distinct time instants and supported over a bounded interval of the real line. By modeling…

The collective risk model differentiates usually between claims frequencies (and their distribution) and claim sizes (and their distribution). For the claims frequencies typically classical discrete distributions are considered, such as…

Longitudinal data analysis has been widely employed to examine between-individual differences in within-individual changes. One challenge of such analyses is that the rate-of-change is only available indirectly when change patterns are…

In this paper we focus on the dynamic state estimation which harnesses a vast amount of sensing data harvested by multiple parties and recognize that in many applications, to improve collaborations between parties, the estimation procedure…

Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…

One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…

This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary…

Bonus-Malus Systems traditionally consider a customer's number of claims irrespective of their sizes, even though these components are dependent in practice. We propose a novel joint experience rating approach based on latent Markovian risk…

Contemporary insurance theory is concentrated on models with different types of polices and shock events may influence the payments on some of them. Jordanova (2018) considered a model where a shock event contributes to the total claim…

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…

We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…