Risk-based pricing of loans is well-accepted. Left unstudied, however, is the conditional credit risk of a loan that remains current. Using large-sample statistics and asset-level consumer automobile asset-backed security data, we find that default risk conditional on survival converges for...

In this paper we study the impact of customer stochasticity on firm price discrimination strategies. We develop a new model termed the Bayesian Mixture Scale Heterogeneity (BMSH) model that incorporates both parameter heterogeneity and customer stochasticity using a mixture model approach, and...

This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss development model for multiple lines of...