相关论文: A machine learning approach based on survival anal…

Incurred but not reported (IBNR) loss reserving is an important issue for Property & Casualty (P&C) insurers. The modeling of the claim arrival process, especially its temporal dependence, has not been closely examined in many of the…

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…

Prognostic models in survival analysis are aimed at understanding the relationship between patients' covariates and the distribution of survival time. Traditionally, semi-parametric models, such as the Cox model, have been assumed. These…

Survival analysis/time-to-event models are extremely useful as they can help companies predict when a customer will buy a product, churn or default on a loan, and therefore help them improve their ROI. In this paper, we introduce a new…

A prevalent feature of high-dimensional data is the dependence among covariates, and model selection is known to be challenging when covariates are highly correlated. To perform model selection for the high-dimensional Cox proportional…

Traditional survival models often rely on restrictive assumptions such as proportional hazards or instantaneous effects of time-varying covariates on the hazard function, which limit their applicability in real-world settings. We consider…

We propose a novel deep learning approach to nonparametric statistical inference for the conditional hazard function of survival time with right-censored data. We use a deep neural network (DNN) to approximate the logarithm of a conditional…

Survival analysis often relies on Cox models, assuming both linearity and proportional hazards (PH). This study evaluates machine and deep learning methods that relax these constraints, comparing their performance with penalized Cox models…

The reporting delay in data breach incidents poses a formidable challenge for Incurred But Not Reported (IBNR) studies, complicating reserve estimation for actuarial professionals. This work presents a novel Bayesian nowcasting model…

A class of estimating functions is introduced for the regression parameter of the Cox proportional hazards model to allow unknown failure statuses on some study subjects. The consistency and asymptotic normality of the resulting estimators…

Accurate loss reserving is crucial in Property and Casualty (P&C) insurance for financial stability, regulatory compliance, and effective risk management. We propose a novel micro-level Cox model based on hidden Markov models (HMMs).…

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 prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…

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…

Objective: Many low-severity crashes are not reported due to sampling criteria, introducing missing not at random (MNAR) bias. If not addressed, MNAR bias can lead to inaccurate safety analyses. This paper illustrates a statistical method…

In survival analysis, the lifetime under study is not always observed. In certain applications, for some individuals, the value of the lifetime is only known to be smaller or larger than some random duration. This framework represent an…

The Cox regression model and its associated hazard ratio (HR) are frequently used for summarizing the effect of treatments on time to event outcomes. However, the HR's interpretation strongly depends on the assumed underlying survival…

The appropriate estimation of incurred but not reported (IBNR) reserves is traditionally one of the most important task of actuaries working in casualty and property insurance. As certain claims are reported many years after their…

The hazard ratio from the Cox proportional hazards model is a ubiquitous summary of treatment effect. However, when hazards are non-proportional, the hazard ratio can lose a stable causal interpretation and become study-dependent because it…

Survival analysis is a challenging variation of regression modeling because of the presence of censoring, where the outcome measurement is only partially known, due to, for example, loss to follow up. Such problems come up frequently in…