poisson | metametris

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Optimal Robust Reinsurance with Multiple Insurers

"We study a #reinsurer who faces multiple sources of #model #uncertainty. The reinsurer offers contracts to n #insurers whose #claims...

Optimal Premium Pricing in a Competitive Stochastic Insurance Market with Incomplete Information

"This paper examines a #stochastic one-period #insurancemarket with incomplete information. The aggregate amount of #claims follows a...

Bayesian Cart Models for Insurance Claims Frequency

This paper focuses on the development of #bayesian classification and regression tree (#cart) models for claims frequency modeling in...

Stressing Dynamic Loss Models

"... we propose a reverse stress testing framework for dynamic models. Specifically, we consider a compound Poisson process over a finite...

Multivariate Poisson Model Adjusting for Unidirectional Covariate Misrepresentation

"Insurance fraud has been a long-lasting issue in actuarial modeling. Policyholders are prone to hide their true status in their best...

Numerical Method for a Compound Poisson Risk Model with Two-Sided Jumps and Proportional Investment

"In this paper, a compound Poisson risk model with two-sided jumps and proportional investment is considered. The downward jumps...

Wann nehme ich welche Verteilung? [When do I take which distribution?]

"We portray the distributions that are fundamental for enterprise risk management and describe when they can be used. These include the...