The Hachemeister Regression Model [PDF]
In this article we will obtain, just like in the case of classical credibility model, a credibility solution in the form of a linear combination of the individual estimate (based on the data of a particular state) and the collective estimate (based on ...
Carmen Lenuta TRICA
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Managing economic and virtual economic capital within financial conglomerates. [PDF]
In the present contribution we show how the optimal amount of economic capital can be derived such that it minimizes the economic cost of risk-bearing. The economic cost of risk-bearing takes into account the cost of the economic capital as well as the ...
Goovaerts, Marc +2 more
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Some remarks on IBNR evaluation techniques. [PDF]
In this short note we give some comments and general remarks on the methodology of IBNR computations, as presented at the workshop on IBNR computations at the 2000 ASTIN Meeting, Porto Cervo, Sardinia.Evaluation;
Dhaene, Jan +3 more
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Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks [PDF]
We consider a main insurance company with K subcompanies (or lines of busi- ness). The joint evolution of the surpluses of these lines of business is modeled by a Markov-modulated multivariate compound Poisson model with Poisson common shocks, modified ...
Stéphane Loisel
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A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. [PDF]
Starting from the moment generating function of the annuity certain with stochastic interest rate written by means of a time discretization of the Wiener process as an n-fold integral, a straightforward evaluation of the corresponding distribution ...
De Schepper, A +3 more
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Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. [PDF]
The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities.
Christian Mazza +2 more
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On the approximation of functions by tanh neural networks [PDF]
Neural Networks, 2021 T. D. Ryck +2 more
semanticscholar +1 more source
Navigating the landscape of multiplayer games. [PDF]
Nat Commun, 2020 Omidshafiei S +11 more
europepmc +1 more source
ABOUT RISK PROCESS ESTIMATION TECHNIQUES EMPLOYED BY A VIRTUAL ORGANIZATION WHICH IS DIRECTED TOWARDS THE INSURANCE BUSINESS [PDF]
In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin probability are important concerns: for researchers, at the theoretical level, and for the management of the company, as these influence the
Covrig Mihaela, Serban Radu
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Reinsurance, ruin and solvency issues: some pitfalls [PDF]
In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it
Arthur Charpentier
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