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In this paper we concentrate on the estimation of loss functions using nonparametric methods. We focus on the parametric transformation approach to kernel smoothing introduced by Wand, Marron and Ruppert (1991) and compare it with the standard kernel estimator and the multiplicative bias...

We present an overview of methods to estimate risk arising from operational losses. Our approach is based on the study of the statistical severity distribution of a single loss. We analyze the fundamental issues that arise in practice when modeling operational risk data. We address the...

We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By...

Customer-side influences on insurance have been relatively ignored in the literature. Using the household as the unit of analysis, this article focuses on the behavior of households having multiple policies of different types with the same insurance company, and who cancel their first policy....