A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Model predicts individual insurance claim reserves using activation patterns.
New model for disability insurance reserving handles delays in claim information.
Derives equations for life insurance reserves with interest rate uncertainty.
RL-CVaR model improves insurance reserving under economic stress.
Two-dimensional transition rates improve life insurance reserve calculations.
Mack-Net model combines Mack's model with RNNs for better insurance liability estimation.
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including policies with deductible) and claims incurred. Real data of some Russian insurance comp…
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…
New model bridges pricing and reserving for insurance claims.
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, representing the randomness from the financial market and the insurance claim…
Reinforcement learning improves insurance claims reserving by learning from all claim trajectories.
Paper proposes a new reserving model using machine learning techniques.
The paper tackles robust control for insurance contracts under uncertain transition rates.
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this challenge. For property and casualty (P&C) insurance companies the risk adequate mo…
A new framework combines multiple loss reserving models for better predictive performance.
New method estimates insurance risk dependencies.
Historically, the banking multiplier has been in a range of 4 to 100, with 25% to 1% reserve ratios at most layers of the banking system encompassing the majority of its range in recent centuries. Here it is shown that multipliers over 1 000 can occur from a new mechanism in banking. This new multiplier uses a default …
The article derives a formula for predicting claims uncertainty using the GCC method.
New method for individual claims reserving using machine learning.
This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex analytical formula, the error bootstrap estimator is proposed instead. Moreover, the bootstrap procedure is used to obtain full …
New models for insurance claims accounting for delays.
The paper optimizes insurance strategies for two collaborating business lines.
Optimizes insurance pricing to minimize ruin probability under various claim dependencies.
The paper models SaaS products as insurance, offering new pricing tools.
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…
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…
LLMs help automate extraction of actuarial variables from unstructured claims data.
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right, ruin related quantities do not seem to capture path-dependent properties of the…
Framework insures AI actions with reserve capital, preventing loss.
Neural networks improve loss reserving with case estimates and transaction data.
New model for insurance states using Markov jump processes with non-countable state space.
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even if the company covers its entire costs by collecting the respective fees from i…
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…
Study optimal reinsurance for insurers with a reinsurer's default risk.
Chain-ladder reserving is sensitive to outliers, leading to unreliable estimates.
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated static and optimal behaviors of both the investor and insurer. The first model …
The paper optimizes insurer's decisions on dividends, reinsurance, and capital injection under model uncertainty.
Paper presents a new insurance model equation for diverse structures.
Develops a new GLM framework for claims reserving with adaptive estimation.
In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale representation theorem. When the information utilized by the insurer is non-monotone, the classic martingale theory does not apply. By taking an…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton-Jacobi-Bellman equation, w…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a conditional law of large numbers, we establish the connection between claims reserving an…
We provide a dual characterisation of the weak-closure of a finite sum of cones in adapted to a discrete time filtration : the cone in the sum contains bounded random variables that are -measurable. Hence we obtain a generalisation of Delbaen's m-stability condition…
Paper introduces a framework for managing cyber risk with insurance and cybersecurity models.
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…
SynthETIC simulates insurance claims with customizable features.
Study compares ruin probabilities under independence vs. dependence assumptions.
Paper presents a method for geographic ratemaking using spatial embeddings.