Zobrazeno 1 - 10
of 174
pro vyhledávání: '"Avanzi, Benjamin"'
A key task in actuarial modelling involves modelling the distributional properties of losses. Classic (distributional) regression approaches like Generalized Linear Models (GLMs; Nelder and Wedderburn, 1972) are commonly used, but challenges remain i
Externí odkaz:
http://arxiv.org/abs/2406.00998
Autor:
Avanzi, Benjamin, de Felice, Lewis
A retiree's appetite for risk is a common input into the lifetime utility models that are traditionally used to find optimal strategies for the decumulation of retirement savings. In this work, we consider a retiree with potentially differing appetit
Externí odkaz:
http://arxiv.org/abs/2312.14355
Understanding the emergence of data breaches is crucial for cyber insurance. However, analyses of data breach frequency trends in the current literature lead to contradictory conclusions. We put forward that those discrepancies may be (at least parti
Externí odkaz:
http://arxiv.org/abs/2310.04786
High-cardinality categorical features are pervasive in actuarial data (e.g. occupation in commercial property insurance). Standard categorical encoding methods like one-hot encoding are inadequate in these settings. In this work, we present a novel _
Externí odkaz:
http://arxiv.org/abs/2301.12710
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a potential, explicit demand for stability of dividends. In particular, with
Externí odkaz:
http://arxiv.org/abs/2210.03494
Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in practice in the s
Externí odkaz:
http://arxiv.org/abs/2206.08541
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio problem in finance, with some crucial distinctions. In particular, the insu
Externí odkaz:
http://arxiv.org/abs/2203.16108
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determine what dividend strategy maximises the expected present value of divi
Externí odkaz:
http://arxiv.org/abs/2203.05139
Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted by outliers in past claims data. Unfortunately, the literature in robust methods of reserving is scant, with nota
Externí odkaz:
http://arxiv.org/abs/2203.03874
The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challenge. It has been shown that the popular chain-ladder reserving approach is at significant risk to such aberrant observatio
Externí odkaz:
http://arxiv.org/abs/2203.00184