Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains
Risks, 2016 We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy’s states follows an F -doubly stochastic Markov chain, we describe different state-dependent types of ...
Francesca Biagini +2 more
doaj +1 more source
Stochastic Incremental Approach for Modelling the Claims Reserves
, 2013 The paper focuses on calculation of claims reserves using a stochastic incremental approach (stochastic Chain Ladder using only incremental payments), and for that we establish the require formulae and we put our assumptions by modifying Mack’s model. We
I. Chorfi, M. Remita
semanticscholar +1 more source
Sensitivity Analysis of Some Applied Probability Models [PDF]
, 2007 2000 Mathematics Subject Classi cation: Primary 90C31. Secondary 62C12, 62P05, 93C41.The aim of the paper is two-fold, namely, to give a brief survey of sensitivity analysis methods and to use them for investigation of two input-output models arising in ...
V. Bulinskaya, Ekaterina
core
Option Pricing by Branching Process [PDF]
, 2007 2000 Mathematics Subject Classification: 60J80, 62P05.The randomly indexed Galton-Watson branching process has been used for the model of daily stock prices.
Mitov, Georgi, Mitov, Kosto
core
Uniform asymptotics for the tail probability of weighted sums with heavy tails [PDF]
, 2014 This paper studies the tail probability of weighted sums of the form $\sum_{i=1}^n c_i X_i$, where random variables $X_i$'s are either independent or pairwise quasi-asymptotical independent with heavy tails.
Zhang, Chenhua
core +2 more sources
Measuring inequality: application of semi-parametric methods to real life data
, 2017 A number of methods have been introduced in order to measure the inequality in various situations such as income and expenditure. In order to curry out statistical inference, one often needs to estimate the available measures of inequality.
de Wet, Tertius +2 more
core +1 more source
Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models
Dependence ModelingThis article introduces a hybrid framework that combines local Gaussian correlation (LGC) with hidden Markov models (HMMs) to model dynamic and nonlinear dependencies in general insurance claims, thereby addressing the limitations of static copula ...
Afazali Zabibu +4 more
doaj +1 more source
Combining domain knowledge and statistical models in time series analysis
, 2006 This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression.
Lai, Tze Leung, Wong, Samuel Po-Shing
core +2 more sources
On the probability of reaching a barrier in an Erlang(2) risk process [PDF]
, 2005 HolaIn this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence ...
Claramunt Bielsa, M. Mercè +2 more
core
Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]
, 2011 2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
core