The paper models SaaS products as insurance, offering new pricing tools.
problem Modeling capped-usage SaaS products with insurance principles.
method Frequency-severity decomposition, premium calculation, Monte Carlo simulations.
result SaaS pricing can be analyzed using insurance actuarial methods.
Paper proposes a new reserving model using machine learning techniques.
problem Managing uncertainties in premium sufficiency and reserves for future claims.
method Stacked model combining Gradient Boosting, Random Forest, Artificial Neural Networks, and log-normal approach.
result The proposed model improves traditional reserving techniques, leading to more accurate reserving risk assessment.
RL-CVaR model improves insurance reserving under economic stress.
problem Managing insurance reserve setting under claim development uncertainty and macroeconomic stress.
method Reinforcement Learning (PPO) with CVaR constraints, trained under regime-aware curriculum.
result RL-CVaR policy reduces solvency violations and tail-risk compared to classical methods.
New pricing framework allocates costs of operating reserves and transmission.
problem Allocating costs of operating reserves and transmission efficiently.
method Causation-based framework using contingency-constrained scheduling models.
result More comprehensive and efficient cost-reflective market operations.
Using computer calculations and working with representatives of pretzel tangles we established general adequacy criteria for different classes of knots and links. Based on adequate graphs obtained from all Kauffman states of an alternating link we defined a new numerical invariant: adequacy number, and computed adequac…
This paper explores Khovanov adequacy in knot theory.
problem Understanding Khovanov homology and its adequacy.
method Using independence complexes and homotopy type calculations.
result Khovanov adequacy is explored within the context of independence complexes and homotopy type of extreme spectra.
Study analyzes factors affecting capital adequacy in Bangladesh's banks.
problem Factors influencing capital adequacy in commercial banks in Bangladesh.
method Fixed Effect, Random Effect, and Pooled Ordinary Least Square (POLS) methods.
result Several independent variables significantly affect capital adequacy, with specific relationships between leverage, liquidity risk, and other factors.
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of…
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there…
Model estimates foreign exchange reserve compositions of undisclosed central banks.
problem Limited information on central bank reserve compositions hinders analysis.
method Hidden Markov Model relating portfolio valuation to exchange rates.
result China's reserve composition likely matches global average, while Singapore holds fewer US dollars.
Overprocuring reserves can improve network efficiency by using excess reserves for congestion management.
problem Optimizing energy and reserve allocation between zones to minimize costs and ensure deliverability.
method Developed allocation models for co-allocating traded energy and reserve products, considering both deterministic and stochastic flows.
result Excess reserve supplies can be used for congestion management, leading to additional network benefits.
New method for individual claims reserving using machine learning.
problem Traditional claims reserving methods are limited in individual claim prediction.
method Restructured data utilization for CL prediction, using multi-period factors.
result Neural networks applied for individual claims reserving.
The paper explores arbitrage opportunities in derivative markets under specific conditions.
problem Arbitrage opportunities in derivative markets under different conditions.
method Analyzes the relationship between pricing kernel monotonicity and stochastic arbitrage opportunities.
result Pricing kernel nonmonotonicity is equivalent to stochastic arbitrage opportunities under adequacy.
Study examines value relevance of oil and gas reserve disclosures in London Stock Exchange.
problem Uncertainty in oil and gas reserves poses accounting challenges for investors.
method Empirical analysis using archival data and multifactor framework.
result Changes in reserves and their components are associated with share returns, but insignificantly due to oil price and longitudinal effects. Quality of disclosures positively impacts share returns.
Develops a statistical framework for coherent risk estimation.
problem Constructing coherent risk estimators with sound financial and statistical properties.
method Inspired by axiomatic risk measure theory, defines coherent risk estimators through robust representations linked to L-estimators. result Demonstrates that coherence of a risk measure does not necessarily carry over to its estimators and shows alternative weight structures can lead to different outcomes.
New method simplifies individual claims reserving.
problem Insufficient flexibility and robustness in existing methods.
method Building on classical chain-ladder method, introduces new perspective.
result Advances toward a new standard for micro-level reserving.
Chain-ladder reserving is sensitive to outliers, leading to unreliable estimates.
problem Sensitivity of loss reserving techniques to outliers.
method Derivation of impact functions for reserves and mean squared errors of prediction under Mack's Model.
result Impact of outliers varies widely in a loss triangle and depends on other cells.
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
problem Optimal investment and pension policies in PAYG systems with sustainability and adequacy constraints.
method Non-zero volatility forward CRRA utilities, closed-form optimal policies, detailed numerical analysis.
result Characterization of optimal policies and detailed impact analysis under various scenarios.
Model predicts individual insurance claim reserves using activation patterns.
problem Accurately predicting individual claim reserves in insurance contracts.
method Multinomial logistic regression to model claim activation and development.
result The model generates accurate predictions of total and per coverage reserves.
Many online companies sell advertisement space in second-price auctions with reserve. In this paper, we develop a probabilistic method to learn a profitable strategy to set the reserve price. We use historical auction data with features to fit a predictor of the best reserve price. This problem is delicate - the struct…
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…
The study examines how alternative resource adequacy contract designs affect market participants' risk profiles and resource mix.
problem The tension between promoting reliability and competition in liberalized electricity markets.
method Constructs a stochastic equilibrium model of a competitive market with incomplete risk trading and computes investment equilibria under different contracting regimes.
result Alternative contracting regimes can induce different risk profiles and resource mixes, affecting market outcomes.
Study finds relevance of exchange and inflation rates to economic factors.
problem Determining the relevance of exchange and inflation rates to economic factors.
method Introduced concept of adequacy, established positive relation between exchange and inflation rates and other economic factors.
result Close positive relation found between exchange and inflation rates and other economic factors.
New model for disability insurance reserving handles delays in claim information.
problem Disability insurance claims are affected by long delays and adjudication processes.
method Proposes a new individual reserving model for real-time claim evolution.
result Shows that new reserves can be calculated as modifications of classic reserves.
Case study shows impact of co-optimizing energy and reserve for wind energy.
problem Impact of lack of co-optimization of energy and reserve in high wind penetration scenarios.
method Developed two models with and without co-optimization, calibrated with Spanish market parameters.
result Models show significant differences in energy and reserve management.
A new framework combines multiple loss reserving models for better predictive performance.
problem Combining multiple loss reserving models to improve predictive performance.
method Systematic framework that considers full distributional properties and features of reserving data.
result Optimized ensemble outperforms traditional methods and captures relevant quantiles.
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to the model where money creation can be achieved by bank loans and the monetary a…
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability …
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected during a claim's development over time. We present the hierarchical reserving mod…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical reserving focusing on the estimation error of claims reserves are in general not approp…
The paper analyzes risk measures and optimal reserve allocation strategies.
problem Risk measures and optimal reserve allocation across multiple lines of business.
method Formalizes expected maximum deficit, introduces implicitly bounded risk measures, and proposes capital allocation approaches.
result Theoretical results on static and dynamic coherence, convexity, and exact optimizations of aggregate minimum reserves.
Framework insures AI actions with reserve capital, preventing loss.
problem Ensuring safety and accountability for AI actions with varying side effects.
method Developed Actuarial Action Interface (AAI) and Authority Frontier to price and gate AI actions.
result Found common refusal and release patterns across domains, with varying required reserve capital.
Paper proposes a method to estimate project cost contingency reserves considering various types of uncertainty.
problem Inaccurate estimation of project cost contingency reserves due to ignoring different types of uncertainty.
method Quantitative determination of project cost contingency reserves using Monte Carlo Simulation considering aleatoric, stochastic, and epistemic uncertainties.
result The proposed method provides more accurate contingency reserves that align with actual project risks.
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reservin…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when t…
Optimizes reserve prices for first-price auctions to maximize revenue.
problem Optimizing reserve prices for first-price auctions in display advertising.
method Gradient-based algorithm to adaptively update and optimize reserve prices based on bidder responsiveness to experimental shocks.
result Revenue optimization in first-price auctions can be decomposed into demand and bidding components, and techniques are introduced to reduce variance of each.
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated models under different scenarios. The key point we demonstrate relates to the compar…
Improved pricing method for illiquid assets using Lambert function.
problem Inaccurate pricing of illiquid assets using traditional methods.
method Deterministic decomposition of reservation price using Lambert function; improved Monte Carlo method (LMC).
result Improved accuracy in pricing illiquid assets through LMC method.
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result, insurance cash flows and prospective reserves depend on each other in a circular way, and it is a non-trivial problem to solve that circul…
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving portfolios in multiple currencies V are time-consistent when (and only…
Develops a new GLM framework for claims reserving with adaptive estimation.
problem Accurate assessment of claims reserves with dynamic and dependent claim activity.
method Multivariate evolutionary GLM framework with adaptive particle filtering algorithm.
result Adaptive estimation of evolving factors improves claims reserve accuracy.
Quantum computers can optimize foreign exchange reserves management.
problem Optimizing foreign exchange reserves management using quantum computing.
method Demonstrated through quantum Monte Carlo risk measurement and quantum algorithms for portfolio optimization.
result Quantum computers can theoretically optimize FX reserves management in the future.
Reinforcement learning improves insurance claims reserving by learning from all claim trajectories.
problem Traditional reserving models learn only from settled claims, missing valuable data from ongoing claims.
method Formulated as a Markov decision process, uses reinforcement learning to update OCL estimates sequentially.
result Soft Actor-Critic implementation achieves competitive claim-level accuracy and strong aggregate performance.
Study derives new equation for reserves in non-monotone information scenarios.
problem Modeling reserves in situations where information is not always increasing.
method Infinitesimal approach to derive generalized stochastic Thiele equation.
result New equation allows for information discarding and solves open problems.
Study examines financial performance determinants of Kenyan microfinance banks.
problem Competition from commercial banks threatens microfinance banks' financial performance.
method Descriptive research design with secondary data analysis.
result Operational efficiency, capital adequacy, and firm size positively correlate with financial performance.
Derives equations for life insurance reserves with interest rate uncertainty.
problem Life insurance reserves with stochastic interest rates.
method Partial differential equations for reserves under stochastic interest rates.
result Explicit solutions for reserves under specific models.
We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving data across lines of business, and show that they improve on the predictive accu…
Mack-Net model combines Mack's model with RNNs for better insurance liability estimation.
problem Accurate estimation of insurance liabilities for better financial decision-making.
method Integrates Mack's reserving model with Recurrent Neural Networks (RNNs).
result Improves accuracy of general insurance liability assessment.