Search Results - subject_exact:"Risk model"

Advantages of accounting for stochasticity in the premium process

Miao, Yang; Sendova, Kristina P. - 2024

In this paper, we study a risk model with stochastic premium income and its impact on solvency risk management. It is assumed that both the premium arrival process and the claim arrival process are modelled by homogeneous Poisson processes, and that the premium amounts are modelled by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130492

Impact of the longevity risk on permanent life annuity in the context of IFRS 17

Špirková, Jana; Zelinová, Silvia; Zimmermann, Pavel; … - 2026

Longevity risk - the risk that policyholders outlive expected mortality projections - poses a significant challenge to the financial sustainability of pension insurance. This paper investigates the valuation of permanent life annuities under IFRS 17, the accounting standard that fundamentally...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654680

Model averaging and grid maps for modeling heavy-tailed insurance data

Mothibe, Lira B.; Shongwe, Sandile C. - 2026

This work presents a practical approach to improve risk quantification for heavy-tailed insurance claims through model averaging and grid map visualization, addressing the drawbacks of traditional single "best" model selection commonly used in actuarial and model-fitting literature. This is a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611274

Insuring algorithmic operations : liability risk, pricing, and risk control

Liu, Zhiyong John; Park, Jin; Wang, Mengying; Wen, He - 2026

Businesses increasingly rely on algorithmic systems and machine learning models to make operational decisions about customers, employees, and counterparties. These "algorithmic operations" can improve efficiency but also concentrate liability in a small number of technically complex, drifting...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614146

Self-protection and self-insurance in pest management : the role of risk preferences and beliefs

Bougherara, Douadia; Nauges, Céline; Salanié, François; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614466

Guaranteed annuity option under correlated and regime-switching risks

Grozen, Jude Martin B.; Mamon, Rogemar S. - 2026

Guaranteed annuity options (GAOs) allow policyholders to convert accumulated funds into life annuities at maturity at a guaranteed minimum rate. Thus, insurers are exposed to both investment and longevity risks. Accurate valuation of these long-term, survival-contingent contracts is essential...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615258

Risk adjustment for ADRD in medicare advantage and health care experiences

Fu, Wei; Qian, Yuting; Karimi, Seyed; Zarei, Hamid; Chen, Xi - 2026

Failure to account for the full complexity and costs of high-need populations in the risk-adjusted capitated payment model for Medicare Advantage (MA) plans may create financial disincentives for plans to invest in comprehensive care for affected beneficiaries, potentially exacerbating health...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615819

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Risk adjustment for ADRD in medicare advantage and health care experiences

Fu, Wei; Qian, Yuting; Karimi, Seyed; Zarei, Hamid; Chen, Xi - 2026

Book / Working Paper

Optimal insurance with information asymmetry : nonlinear and linear pricing

Han, Xia; Li, Bin; Luo, Yao - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015582950

Climate change, catastrophes, insurance and the macroeconomy

Giuzio, Margherita; Rousová, Linda; Kapadia, Sujit; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583665

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Climate change, catastrophes, insurance and the macroeconomy

Giuzio, Margherita; Rousová, Linda; Kapadia, Sujit; … - 2026

Book / Working Paper

Forecasting out-of-time credit scoring model risk

Yoshida Jr., Valter T.; Schiozer, Rafael Felipe; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625453

Financial Protection Against Catastrophic Risks : Floods, Fires and Other Major Risks

2026

Increasing damages and losses from large-scale catastrophe risks such as natural hazards and cyber attacks are impacting the availability of affordable insurance coverage. This is forcing governments to increase their focus on addressing the resulting protection gaps. This report aims to support...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015629211

Risk-informed machine learning models for renewal classification in motor insurance

Boonkrong, Pichit; Yang, Junwei; Huang, Xueyuan; … - 2026

This study develops an interpretable machine learning framework for type 1 motor insurance renewal classification using 70,290 real-world Thai policies, providing essential insights for pricing, customer retention, and operational decision making. The dataset was partitioned into a 70% training...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639023

A first step toward a CAT model framework : an ODE-based risk analysis of urban floods triggered by meteorological events

Curioso, Beatriz A.; Esquível, Manuel L.; Guerreiro, … - 2026

This paper presents a physics-based hazard model for catastrophe (CAT) modelling of urban flood risk-a first step toward a complete CAT modelling framework. We introduce a linear second-order ordinary differential equation (ODE) system to simulate the underlying mechanisms of water accumulation,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640213

Advanced insurance risk modeling for pseudo-new customers using balanced ensembles and transformer architectures

Solly, Finn L.; Soriano-Gonzalez, Raquel; Juan, Angel A.; … - 2026

In insurance portfolios, classifying customers without a prior history at a given company is particularly challenging due to the absence of historical behavior, extreme class imbalance, heavy-tailed loss distributions, and strict operational constraints. Traditional machine learning approaches,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640346

Risk scoring for crop insurance at enrollment : evidence and limits

Colonescu, Constantin; Ghosh, Subhadip; Islam, Shahidul - 2026

Crop insurance has to be priced and screened before the season's main losses are known. This paper asks how far an insurer can get using only the information already available when a contract is enrolled: where the farm is, what crop and practice are insured, the chosen coverage level, and the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656236

Equilibrium in the insurance chain under risk and ambiguity aversion

Lima, Luis Adrián - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650822

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk models

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632814

Risk management practices on U.S. farms and ranches, 1996-2020

Baldwin, Katherine; Miller, Noah; Todd, Jessica E. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632940

Dynamic risk adjustment in markets with persistent risk and manipulable signals : market design for health insurance

Chan, Alex - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665447

Bayesian sensitivity of insurance premium in collective risk model under bivariate prior with dependent frequency and severity of claims

Boratyńska, Agata - 2026

This study deals with the problem of robustness of the collective and Bayes premiums under uncertainty of prior knowledge. The inaccuracy of the prior knowledge concerns the disturbance of independence between variables describing the frequency and average value of claims. Traditionally, these...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667526

Optimal long-term care provision and insurance with heterogeneous preferences and risks

Clavet, Nicholas-James; Michaud, Pierre-Carl; Navaux, Julien - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668191

Solvency requirements for insurers : Ukrainian practices and international experience

Novosolova, Olena - 2025

The relevance of the study was due to the transformation of approaches to regulating the solvency of insurers in the world's leading economies and the need to adapt the Ukrainian insurance supervision system to international standards. Countries with developed insurance markets use capital...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616705

Climate risk, policy, and insurance : a forecast-based model for weather index design in vulnerable economies

Abrego-Perez, Adriana L.; Nuñez-Mora, José A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654319

Static risk measures in a frequency-severity framework with systematic risk : application in reinsurance

Assa, Hirbod - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371153

Hazard risk management as a principal-agent problem : a comparison of principal- and agent-salient risk indicators

Frimpong, Eugene; Howard, Gregory; Brown-Kruse, Jamie … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330803

The effect of inflation on US insurance markets : a Markov-switching model analysis

Dionne, Georges; Fenou, Akouété-Tognikin; Mnasri, Mohamed - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325854

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The effect of inflation on US insurance markets : a Markov-switching model analysis

Dionne, Georges; Fenou, Akouété-Tognikin; Mnasri, Mohamed - 2025

Book / Working Paper

Uncertainty in pricing and risk measurement of survivor contracts

So, Kenrick Raymond; Cruz, Stephanie Claire; Marcella, … - 2025

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334597

Insurers' loss portfolio similarity and climate risk insurance cost : a spatial analysis of US homeowners insurance market

Sun, Tao - 2025

This study examines the geographical spillover of the state-level average homeowners insurance cost for 48 US contiguous states. We estimate a panel spatial Durbin model with state and year fixed effect for data between 2001 and 2018. We found a significant positive spillover of average...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334604

Longevity risk and annuitisation decisions in the absence of special-rate life annuities

Andrés Sánchez, Jorge de; González-Vila Puchades, Laura - 2025

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity. Special-rate life annuities, which are priced, among other factors, on the basis of health and lifestyle factors, go beyond traditional considerations of age and sex by using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334621

Insurance in a fragmented world economy

Schanz, Kai-Uwe - 2025

Global events and geopolitical upheavals, from the COVID-19 pandemic to the US-China trade conflict and Russia-Ukraine war, have propelled the world towards geoeconomic fragmentation. This trend is exemplified by shifts away from free trade and globally integrated supply chains in favour of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015187642

Econometrics of insurance with multidimensional types

Aryal, Gaurab; Perrigne, Isabelle; Vuong, Quang H.; … - 2025

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurees choose from a finite number of coverages. We show that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190336

How insurance prices affect consumers' purchase decisions : insurance price as a risk signal

Reiner, Jochen; Wamsler, Julia; Bornemann, Torsten; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175410

ESG controversies and insolvency risk : evidence from the insurance industry

Giráldez-Puig, Pilar; Moreno, Ignacio; Perez-Calero, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197702

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025

Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358934

Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization

Chen, Ya; Liu, Wei; Zhao, Zhen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359797

Start-to-low drawdown as a risk measure and its application to portfolio optimization for levered investors under solvency regimes

Stähli, Philipp; Maringer, Dietmar G. - 2025

Drawdown is an important risk measure in both theory and practice. Most drawdown measures use the running peak as the reference point from which to calculate the drawdown. Instead, the start-to-low drawdown (SLD), which references the start of the period, is firstly proposed as a relevant...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015466080

Algorithmic bias under the EU AI Act : compliance risk, capital strain, and pricing distortions in life and health insurance underwriting

Mahajan, Siddharth; Agarwal, Rohan; Gupta, Mihir - 2025

The EU Artificial Intelligence Act (Regulation (EU) 2024/1689) designates AI systems used in life and health insurance underwriting as high-risk systems, imposing rigorous requirements for bias testing, technical documentation, and post-deployment monitoring. Leveraging 12.4 million...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467305

Numerical calculation of finite-time ruin probabilities in the dual risk model

Cardoso, Rui M. R.; Melo, Andressa C. O. - 2025

In the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce. As a result, there is a need for numerical approximations....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467466