A simple Bayesian state-space approach to the collective risk models
The collective risk model (CRM) for frequency and severity is an important tool for retail
insurance ratemaking, natural disaster forecasting, as well as operational risk in banking …
insurance ratemaking, natural disaster forecasting, as well as operational risk in banking …
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 …
Risk management model for information security
JA Alarcon - DecisionTech Review, 2023 - dtr.pro-metrics.org
A risk management model makes it possible to explore the organizational factors and risk
management practices that affect or delay the achievement of the objectives that are …
management practices that affect or delay the achievement of the objectives that are …
Collective risk models with FGM dependence
C Blier-Wong, H Cossette… - Scandinavian Actuarial …, 2024 - Taylor & Francis
We study copula-based collective risk models when the dependence structure is defined by
a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence …
a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence …
Spatiotemporal clustering of streamflow extremes and relevance to flood insurance claims: a stochastic investigation for the contiguous USA
Recent research highlights the importance of Hurst-Kolmogorov dynamics (else known as
long-range dependence), characterized by strong correlation and high uncertainty in large …
long-range dependence), characterized by strong correlation and high uncertainty in large …
Understanding underwriter uncertainty in rugby league related concussion
CR Walker, AJ Bond, I Griffiths - Managing Sport and Leisure, 2024 - Taylor & Francis
ABSTRACT Purpose/Rationale The purpose of this exploratory paper is to critically explore
the liability underwriting landscape for insuring concussion risks in rugby league in the UK …
the liability underwriting landscape for insuring concussion risks in rugby league in the UK …
[HTML][HTML] Frequency-severity experience rating based on latent Markovian risk profiles
RM Verschuren - Insurance: Mathematics and Economics, 2022 - Elsevier
Abstract Bonus-Malus Systems traditionally consider a customer's number of claims
irrespective of their sizes, even though these components are dependent in practice. We …
irrespective of their sizes, even though these components are dependent in practice. We …
Approximation of Zero-Inflated Poisson Credibility Premium via Variational Bayes Approach
While both zero-inflation and the unobserved heterogeneity in risks are prevalent issues in
modeling insurance claim counts, determination of Bayesian credibility premium of the claim …
modeling insurance claim counts, determination of Bayesian credibility premium of the claim …
A Dynamic Credibility Model with Self-Excitation and Exponential Decay
This paper proposes a dynamic credibility model for claim count that extends the benchmark
Poisson generalized linear models (GLM) by incorporating self-excitation and exponential …
Poisson generalized linear models (GLM) by incorporating self-excitation and exponential …
A simple Bayesian state-space model for the collective risk model
The collective risk model (CRM) for frequency and severity is an important tool for retail
insurance ratemaking, macro-level catastrophic risk forecasting, as well as operational risk …
insurance ratemaking, macro-level catastrophic risk forecasting, as well as operational risk …