This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of … Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer … opportunities to produce flexible skewness and kurtosis features often required in loss modelling. In addition, these loss models …

role that occurrence losses (order statistics) play in pricing of catastrophe excess of loss (catXL) contracts. Our … framework enables one to analytically quantify the contribution of a given occurrence loss to the mean and covariance structure …

variety of types of loss reserving. The primary target audience of the app is personal auto actuaries, who are professionals … of the loss data, a classical loss reserving tool, and a machine learning loss reserving tool. Each component of the … application functions differently and allows for inputs from the user to analyze the provided loss data. The user, in other words …

The interdependence between multiple lines of business has an important impact on determining loss reserves and risk …, we study rank-based methods using the Sarmanov distribution to adequately estimate the loss reserves and properly capture …

expected profit and expected loss that may be experienced for any portfolio of strikes of the call and put contracts. Expected … profit and expected loss are the reward and risk metrics of such portfolios. An optimal portfolio can then be selected by …

We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of … paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving …

The purpose of this paper is to survey recent developments in granular models and machine learning models for loss … archaeological vignettes from the history of loss reserving. However, the larger part of the paper is concerned with the granular …

In this paper, we propose models for non-life loss reserving combining traditional approaches such as Mack's or …

the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of … prospect theory, we first set up a loss-aversion utility function for a sponsor whose utility depends on the funding ratio in … retirement. We also find that the equity portion of the portfolio increases when a sponsor is less loss-averse or the …