Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
This paper studies the optimal dynamic reinsurance policy for an insurance company whose
surplus is modeled by the diffusion approximation of the classical Cramér–Lundberg model …
surplus is modeled by the diffusion approximation of the classical Cramér–Lundberg model …
Compound Poisson–Lindley process with Sarmanov dependence structure and its application for premium-based spectral risk forecasting
One of the fundamental challenges insurance companies face is forecasting a fair premium
that covers the cost of claims while maintaining profitability. To comprehend the risk of …
that covers the cost of claims while maintaining profitability. To comprehend the risk of …
Copula-based Modeling for IBNR Claim Loss Reserving
There are growing concerns for reserves estimation of incurred but not reported (IBNR)
claims in actuarial sciences. In this paper, we propose a copula-based dependency model …
claims in actuarial sciences. In this paper, we propose a copula-based dependency model …
Multivariate claim processes with rough intensities: Properties and estimation
D Hainaut - Insurance: Mathematics and Economics, 2022 - Elsevier
A Rough process shares most of features of fractional Brownian motion with a small Hurst
index and its sample paths exhibit a high ruggedness compared to those of a Brownian …
index and its sample paths exhibit a high ruggedness compared to those of a Brownian …
Using infinite server queues with partial information for occupancy prediction
Motivated by demand prediction for the custodial prison population in England and Wales,
this paper describes an approach to the study of service systems using infinite server …
this paper describes an approach to the study of service systems using infinite server …