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Diagnostic tests before modeling longitudinal actuarial data

Li, Yinhuan; Fung, Tsz Chai; Peng, Liang; Qian, Linyi - In: Insurance / Mathematics & economics 113 (2023), pp. 310-325

Persistent link: https://www.econbiz.de/10014466218

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

and provides numerous applications in credit, life insurance and annuity portfolios to derive P&L distributions …

Persistent link: https://www.econbiz.de/10011643397

Statistical estimation for some dividend problems under the compound poisson risk model

Xie, Jiayi; Zhang, Zhimin - In: Insurance / Mathematics & economics 95 (2020), pp. 101-115

Persistent link: https://www.econbiz.de/10012419256

A Markov chain model of military personnel dynamics

Zais, Mark; Zhang, Dan - In: International journal of production research 54 (2016) 5/6, pp. 1863-1885

Persistent link: https://www.econbiz.de/10011498255

Beyond the pearson correlation : heavy-tailed risks, weighted gini correlations, and a Gini-type weighted insurance pricing model

Furman, Edward; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 47 (2017) 3, pp. 919-942

Persistent link: https://www.econbiz.de/10011763689

Insurance valuation : a two-step generalised regression approach

Barigou, Karim; Bignozzi, Valeria; Tsanakas, Andreas - In: ASTIN bulletin : the journal of the International … 52 (2022) 1, pp. 211-245

Persistent link: https://www.econbiz.de/10012805745

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared … to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a … random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the …

Persistent link: https://www.econbiz.de/10012293140

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Testing constant serial dynamics in two-step risk inference for longitudinal actuarial data

Fung, Tsz Chai; Li, Yinhuan; Peng, Liang; Qian, Linyi - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 861-881

Persistent link: https://www.econbiz.de/10015189603