相关论文: Econometrics of Insurance with Multidimensional Ty…

This chapter presents key concepts and theoretical results for analyzing estimation and inference in high-dimensional models. High-dimensional models are characterized by having a number of unknown parameters that is not vanishingly small…

Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual claim sizes $(X_i,Y_i), i\ge 1$ and a claim counting random…

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…

This paper studies the problems of identifiability and estimation in high-dimensional nonparametric latent structure models. We introduce an identifiability theorem that generalizes existing conditions, establishing a unified framework…

Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…

We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…

Modeling insurance claim amounts and classifying claims into different risk levels are critical yet challenging tasks. Traditional predictive models for insurance claims often overlook the valuable information embedded in claim…

In this work, we consider a multivariate regression model with one-sided errors. We assume for the regression function to lie in a general H\"{o}lder class and estimate it via a nonparametric local polynomial approach that consists of…

A typical situation in competing risks analysis is that the researcher is only interested in a subset of risks. This paper considers a depending competing risks model with the distribution of one risk being a parametric or semi-parametric…

A number of models for generating statistical data in various fields of insurance, including life insurance, pensions, and general insurance have been considered. It is shown that the insurance statistics data, as a rule, are truncated and…

We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive…

This paper proposes a flexible and analytically tractable class of frequency and severity models for predicting insurance claims. The proposed model is able to capture nonlinear relationships in explanatory variables by characterizing the…

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate…

Weather parametric insurance relies on weather indices rather than actual loss assessments, enhancing claims efficiency, reducing moral hazard, and improving fairness. In the context of increasing climate change risks, despite growing…

Life insurance, like other forms of insurance, relies heavily on large volumes of data. The business model is based on an exchange where companies receive payments in return for the promise to provide coverage in case of an accident. Thus,…

We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…

Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…

Unstructured data are a promising new source of information that insurance companies may use to understand their risk portfolio better and improve the customer experience. However, these novel data sources are difficult to incorporate into…

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…

We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable…