Loss Models
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(only showing first 100 items - show all)- Does hunger for bonuses drive the dependence between claim frequency and severity?
- Statistical concepts of \textit{a priori} and \textit{a posteriori} risk classification in insurance
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
- Large deviations approximations to distributions of the total distance of compound random walks with von Mises directions
- A non-linear mixed model approach for excess of loss benchmark rating
- A review of Bayesian asymptotics in general insurance applications
- Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Non-zero-sum reinsurance games subject to ambiguous correlations
- Exact distribution of the sample median of a jump type distribution on a bounded domain
- A gamma kernel density estimation for insurance loss data
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Ruin probability for finite Erlang mixture claims via recurrence sequences
- Predicting federal funds rate using extreme value theory
- A dynamic pricing game for general insurance market
- Risk models based on time series for count random variables
- Explicit ruin formulas for models with dependence among risks
- NORTA for portfolio credit risk
- The order-statistic claim process with dependent claim frequencies and severities
- Perfect and nearly perfect sampling of work-conserving queues
- Time series interpolation via global optimization of moments fitting
- On the discrete analogues of continuous distributions
- Risk aggregation in multivariate dependent Pareto distributions
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- Pricing catastrophe risk bonds: a mixed approximation method
- Quantile credibility models
- The time to ruin and the number of claims until ruin for phase-type claims
- Jackknife empirical likelihood method for some risk measures and related quantities
- An adaptive premium policy with a Bayesian motivation in the classical risk model
- Residual and past entropy in actuarial science and survival models
- A new skew generalization of the normal distribution: properties and applications
- Credibility theory based on trimming
- Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
- Bivariate credibility bonus-malus premiums distinguishing between two types of claims
- Credible risk measures with applications in actuarial sciences and finance
- A suitable discrete distribution for modelling automobile claim frequencies
- A nonparametric sequential learning procedure for estimating the pure premium
- A generalized penalty function for a class of discrete renewal processes
- On mixing, compounding, and tail properties of a class of claim number distributions
- Loss models. From data to decisions
- On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
- Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective
- Robust non-zero-sum stochastic differential reinsurance game
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
- Computation of the Aggregate Claim Amount Distribution Using R and Actuar
- Extreme value theory in mixture distributions and a statistical method to control the possible bias
- On the analysis of a class of loss models incorporating time dependence
- MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- Modelling insurance data with the Pareto arctan distribution
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- Modeling claims data with composite Stoppa models
- Estimating a tail of the mixture of log-normal and inverse Gaussian distribution
- Longitudinal modeling of insurance claim counts using jitters
- Unconditional distributions obtained from conditional specification models with applications in risk theory
- Recursions and fast Fourier transforms for a new bivariate aggregate claims model
- Moment-based density approximations for aggregate losses
- Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
- Dirichlet process mixture models for insurance loss data
- On k-distorted generalized discrete family of distributions
- On sums of independent generalized Pareto random variables with applications to insurance and cat bonds
- A class of non-zero-sum stochastic differential investment and reinsurance games
- AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
- Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
- Properties and applications of the Poisson-reciprocal inverse Gaussian distribution
- Modelling zero-inflated count data with a special case of the generalised Poisson distribution
- Mortality risk management under the factor copula framework -- with applications to insurance policy pools
- scientific article; zbMATH DE number 7387529 (Why is no real title available?)
- Valid model-free prediction of future insurance claims
- Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
- Analysis of a generalized penalty function in a semi-Markovian risk model
- Zero-inflated negative binomial-Lindley distribution and its application
- On the \(r\mathcal{B}ell\) family of distributions with actuarial applications
- scientific article; zbMATH DE number 7508935 (Why is no real title available?)
- Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
- A new infinitely divisible discrete distribution with applications to count data modeling
- A four-parameter negative binomial-Lindley distribution for modeling over and underdispersed count data with excess zeros
- The stability of the probability of ruin
- Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors
- A method for constructing and interpreting some weighted premium principles
- A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance
- Density approximations and VaR computation for compound Poisson-lognormal distributions
- The discrete Lindley distribution: properties and applications
- On designing an acceptance sampling plan for the Pareto lifetime model
- Quantification of operational risk: a scenario-based approach
- The tail Stein's identity with applications to risk measures
- Moment Problem and Its Applications to Risk Assessment
- Remarks on the Mossin theorem
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE
- Sample Size Determination for Credibility Estimation
- Another Remark on the Alternative Expectation Formula
- A Decision Framework For Nonsymmetric Losses
- Loss models. Further topics
- The arctan family of distributions: New results with applications
- Multiobjective land–water allocation model for sustainable agriculture with predictive stochastic yield response
- On some layer-based risk measures with applications to exponential dispersion models
- Risk aggregation with FGM copulas
- Nonparametric estimation of the anisotropic probability density of mixed variables
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