Variable annuities are insurance products that contain guarantees and using the Monte Carlo method to calculate the fair market values of these guarantees for a large portfolio of such products is extremely time consuming. In this paper, we propose the class of GB2 distributions to model the...

Here we make several comments concerning the full nonparametric Bayesian approach that motivated the new techniques in the paper "Credibility estimation of distribution functions with applications to experience rating and general insurance,'' by Cai, Wen, Wu, and Zhou, published in the North...

In the same spirit as the Mack standard deviation for non-life reserves, which can be estimated with a closed-form formula applied to a loss development triangle (see Mack 1993), this article introduces a closed-form formula to estimate the skewness of non-life reserves which can also be applied...

In the daily tasks of a non-life actuary, the reserve risk distribution plays a central role. For example, the estimation of the cost of capital used in commutation pricing relies heavily on the assumption retained for the shape of the non-life reserve risk distribution.Even though some...

After the Chain-Ladder and the Bornhuetter-Ferguson method, the Cape-Cod reserving method is among the most popular methods used to project non-life paid or incurred triangles. For this method, A. Saluz (2015) developed a stochastic model allowing the estimation of the prediction error resulting...

In this article, we propose a multivariate Pascal mixture regression model as an alternative to understand the association between multivariate count response variables and their covariates. When compared to the copula approach, this proposed class of regression models is not only less complex...

Bayesian regularization, a relatively new method for estimating model parameters, shrinks estimates towards the overall mean by shrinking the parameters. It has been proven to lower estimation and prediction variances from those of MLE for linear models, such as regression or GLM. It has a...

With the emergence of telematics car driving data, insurance companies start to boost classical actuarial regression models for claim frequency prediction. In this paper, we propose two data-driven neural network approaches that process telematics car driving data to construct driving behavior...