Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Vali Asimit"'
Publikováno v:
Risks, Vol 8, Iss 2, p 54 (2020)
It is our pleasure to prologue the special issue on “Machine Learning in Insurance”, which represents a compilation of ten high-quality articles discussing avant-garde developments or introducing new theoretical or practical advances in this fiel
Externí odkaz:
https://doaj.org/article/31558499c19c44eeae9ed7beeb9fb38c
Publikováno v:
Insurance: Mathematics and Economics. 95:17-27
In view of the fact that minimum charge and premium budget constraints are natural economic considerations in any risk-transfer between the insurance buyer and seller, this paper revisits the optimal insurance contract design problem in terms of Pare
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9dc61c98596b2125039cdf548bea9bde
https://doi.org/10.1016/j.insmatheco.2020.08.001
https://doi.org/10.1016/j.insmatheco.2020.08.001
Publikováno v:
Mathematical Finance. 29:1131-1156
In various fields of applications such as capital allocation, sensitivity analysis and systemic risk evaluation, one often needs to compute or estimate the expectation of a random variable given that another random variable is equal to its quantile a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b9609bef443c7559d2e76071bcc3cbe
https://doi.org/10.1111/mafi.12211
https://doi.org/10.1111/mafi.12211
Publikováno v:
Risks; Volume 10; Issue 8; Pages: 154
Risks
Risks
Classification models are very sensitive to data uncertainty, and finding robust classifiers that are less sensitive to data uncertainty has raised great interest in the machine learning literature. This paper aims to construct robust support vector
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0a9722bfd1639a9b7d97737802850991
https://doi.org/10.2139/ssrn.3830516
https://doi.org/10.2139/ssrn.3830516
Publikováno v:
European Journal of Operational Research, 295(2), 587-603. Elsevier
Optimal risk sharing arrangements have been substantially studied in the literature, from the aspects of generalizing objective functions, incorporating more business constraints, and investigating different optimality criteria. This paper proposes a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dec990d57e9cd9b726ec2469fac8a03c
https://openaccess.city.ac.uk/id/eprint/25887/8/1-s2.0-S0377221721002022-main.pdf
https://openaccess.city.ac.uk/id/eprint/25887/8/1-s2.0-S0377221721002022-main.pdf
Autor:
Vali Asimit, Tim J. Boonen
Publikováno v:
European Journal of Operational Research. 267:778-790
This paper studies the set of Pareto optimal insurance contracts and the core of an insurance game. Our setting allows multiple insurers with translation invariant preferences. We characterise the Pareto optimal contracts, which determines the shape
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8efb940ad6f7aa4ab504c8933d6c12d6
https://doi.org/10.1016/j.ejor.2017.12.026
https://doi.org/10.1016/j.ejor.2017.12.026
Autor:
Jinzhu Li, Alexandru Vali Asimit
Publikováno v:
ASTIN Bulletin. 48:673-698
Systemic risk (SR) has been shown to play an important role in explaining the financial turmoils in the last several decades and understanding this source of risk has been a particular interest amongst academics, practitioners and regulators. The pre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9ec23520a85aaee984b1f5491e51db21
https://doi.org/10.1017/asb.2017.38
https://doi.org/10.1017/asb.2017.38
Publikováno v:
European Journal of Operational Research. 262:720-732
The optimal insurance problem represents a fast growing topic that explains the most efficient contract that an insurance player may get. The classical problem investigates the ideal contract under the assumption that the underlying risk distribution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b93f3ac915853ad41c8b3fb52750debe
https://doi.org/10.1016/j.ejor.2017.04.029
https://doi.org/10.1016/j.ejor.2017.04.029
Publikováno v:
Insurance: Mathematics and Economics. 66:69-76
Intra-group transfers are risk management tools that are usually widely used to optimise the risk position of an insurance group. In this paper, it is shown that premium and liability transfers could be optimally made in such a way as to reduce the a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2a906f230966503f65695acf48a3a87
https://doi.org/10.1016/j.insmatheco.2015.10.008
https://doi.org/10.1016/j.insmatheco.2015.10.008
Publikováno v:
North American Actuarial Journal
Asimit, A V, Gao, T, Hu, J & Kim, E S 2018, ' Optimal Risk Transfer : A Numerical Optimization Approach ', North American Actuarial Journal, vol. 22, no. 3, pp. 341-364 . https://doi.org/10.1080/10920277.2017.1421472
Asimit, A V, Gao, T, Hu, J & Kim, E S 2018, ' Optimal Risk Transfer : A Numerical Optimization Approach ', North American Actuarial Journal, vol. 22, no. 3, pp. 341-364 . https://doi.org/10.1080/10920277.2017.1421472
Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an insurance organisation. There
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6d5ba8517b89f1fcc718284d0ec91c45
https://openaccess.city.ac.uk/id/eprint/19006/8/Asimit_Gao_Hu_KIM_2016_NAAJ_Final.pdf
https://openaccess.city.ac.uk/id/eprint/19006/8/Asimit_Gao_Hu_KIM_2016_NAAJ_Final.pdf