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A simulation study for multifactorial genetic disorders to quantify the impact of polygenic risk scores on critical illness insurance
With advances in genetic research, the understanding of the genetic structure of disease and the ability to predict disease risk have been enhanced....
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Minimisation of penalty payments by investments and reinsurance
This paper considers an optimal investment and reinsurance problem for an insurance company, where the surplus follows a linear diffusion. Contrary...
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Long Term Care in France
As of 2018, the Long Term Care market in France has close to thirty years of history, which is long compared to other countries in this market but is...
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Stochastic Optimization Models of Actuarial Mathematics
The paper overviews stochastic optimization models of actuarial mathematics and methods for their solution from the point of view of the methodology...
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The Optimal Investment, Liability and Dividends in Insurance
In this paper, we build an optimal control model with the objective to maximize the expected value of the time discount utility by selecting optimal...
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Reinsurance
The use of actuarial methods to determine and evaluate loss reserves is common practice in reinsurance and belongs to the standard tasks of an...
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Minimizing the Probability of Lifetime Exponential Parisian Ruin
We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin , that...
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Optimal dividends with an affine penalty
We find the optimal dividend strategy in two related risk models under an affine penalty for ruin. The first risk model is the classical...
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Heterogeneity in mortality: a survey with an actuarial focus
Heterogeneity in mortality is due to differences among the individuals, which are caused by various risk factors. Some risk factors are observable...
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Risk Models
We consider a risk in a single time period. The most popular collective models are reviewed. We discuss reinsurance and show how to calculate the...
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Investing in your own and peers’ risks: the simple analytics of P2P insurance
This paper studies a peer-to-peer (P2P) insurance scheme where participants share the first layer of their respective losses while the higher layer...
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Examining the impact on mortality arising from climate change: important findings for the insurance industry
In this paper, we analyze the impact on overall mortality rates for the general US population arising from climate change and the weather events...
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Dividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes
The optimal dividends problem has remained an active research field for decades. For an insurance company with reserve modelled by a spectrally...
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Chapter II: Experience Rating
Let X = (X 1, …, X n) be a vector of r.v.s describing the outcome of a statistical experiment. For example, in the insurance context, n can be the...
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Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random...
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Applications and Extensions
Actuarial applications of the presented model are examined in Sect. 4.1. For this purpose, iid claim sizes are introduced and premium principles and...
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Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility
This paper solves for the robust time-consistent mean–variance portfolio selection problem on multiple risky assets under a principle component...
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Modelling election dynamics and the impact of disinformation
Complex dynamical systems driven by the unravelling of information can be modelled effectively by treating the underlying flow of information as the...
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Optimal dividend payments for a two-dimensional insurance risk process
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes...
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Optimal investment and premium control in a nonlinear diffusion model
This paper considers the optimal investment and premium control problem in a diffusion approximation to a non-homogeneous compound Poisson process....