Zobrazeno 1 - 10
of 111
pro vyhledávání: '"L. Badescu"'
Publikováno v:
North American Actuarial Journal. 26:496-520
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dcb7d6d351cd7fc4d80764be522f426e
https://doi.org/10.1080/10920277.2021.2013896
https://doi.org/10.1080/10920277.2021.2013896
Publikováno v:
Annals of Actuarial Science. :1-22
This paper introduces a new julia package, LRMoE, a statistical software tailor-made for actuarial applications, which allows actuarial researchers and practitioners to model and analyse insurance loss frequencies and severities using the Logit-weigh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a57ececef85ef35f34d2f641f7b1e8a1
https://doi.org/10.1017/s1748499521000087
https://doi.org/10.1017/s1748499521000087
Publikováno v:
North American Actuarial Journal. 25:206-231
Insurance loss severity data often exhibit heavy-tailed behavior, complex distributional characteristics such as multimodality, and peculiar links between policyholders’ risk profiles and claim amo...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::102849cc658ecd2e15df79c82e69d45a
https://doi.org/10.1080/10920277.2020.1729813
https://doi.org/10.1080/10920277.2020.1729813
Publikováno v:
Insurance: Mathematics and Economics. 89:111-127
In the Property and Casualty (PC and Expert functions, which govern the distributional properties of the claims. Also, upon the development of denseness theory in regression setting, we can heuristically interpret the LRMoE as a “fully flexible”
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd73140e2ca7a9717b565c69daaa93f6
https://doi.org/10.1016/j.insmatheco.2019.09.007
https://doi.org/10.1016/j.insmatheco.2019.09.007
Publikováno v:
ASTIN Bulletin. 49:647-688
This paper focuses on the estimation and application aspects of the Erlang count logit-weighted reduced mixture of experts model (EC-LRMoE), which is a fully flexible multivariate insurance claim frequency regression model. We first prove the identif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95d150086321900de981a5b0df135572
https://doi.org/10.1017/asb.2019.25
https://doi.org/10.1017/asb.2019.25
Publikováno v:
ASTIN Bulletin. 49:709-739
Incurred but not reported (IBNR) loss reserving is of great importance for Property & Casualty (P&C) insurers. However, the temporal dependence exhibited in the claim arrival process is not reflected in many current loss reserving models, which might
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::239b4a5f1e8894fae594823fa4bef340
https://doi.org/10.1017/asb.2019.15
https://doi.org/10.1017/asb.2019.15
Publikováno v:
Scandinavian Actuarial Journal. 2019:686-710
Modeling multivariate time-series aggregate losses is an important actuarial topic that is very challenging due to the fact that losses can be serially dependent with heterogeneous dependen...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b2411ad03cf3152de69808c6765ffe4c
https://doi.org/10.1080/03461238.2019.1598482
https://doi.org/10.1080/03461238.2019.1598482
Publikováno v:
SSRN Electronic Journal.
The logit-weighted reduced mixture of experts model (LRMoE) is a flexible yet analytically tractable non-linear regression model. While it has shown usefulness in modeling insurance loss frequencies and severities, model calibration becomes challengi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76f5e34186641fc3520fa54d9706b432
https://doi.org/10.2139/ssrn.3740061
https://doi.org/10.2139/ssrn.3740061
Publikováno v:
SSRN Electronic Journal.
This paper introduces a new R package, LRMoE, a statistical software tailor-made for actuarial applications which allows actuarial researchers and practitioners to model and analyze insurance loss frequencies and severities using the Logit-weighted R
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::60d36257f1e4fb1874cc12d772c6f5dd
https://doi.org/10.2139/ssrn.3740215
https://doi.org/10.2139/ssrn.3740215
Publikováno v:
Insurance: Mathematics and Economics. 79:26-42
Inspired by the claim reserving problem in non-life insurance, this paper proposes to study the insurer’s surplus process under a micro-level framework, with particular focus on modeling the Incurred But Not Reported (IBNR) and the Reported But Not
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc655a888c0e60ec4bf28b40045f35d5
https://doi.org/10.1016/j.insmatheco.2017.12.004
https://doi.org/10.1016/j.insmatheco.2017.12.004