The key purpose of this paper is to present an alternative viewpoint for combining expert opinions based on finite mixture models. Moreover, we consider that the components of the mixture are not necessarily assumed to be from the same parametric family. This approach can enable the agent to...

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and...

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

The lifestyles and backgrounds of individuals across the United States differ widely. Some of these differences are easily measurable (ethnicity, age, income, etc.) while others are not (stress levels, empathy, diet, exercise, etc.). Though every person is unique, individuals living closer...

In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial valuation of insurance plans providing healthcare and death benefits. The core of our approach relies on a deterministic model that is an efficient alternative to the...

We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...

The paper introduces a novel approach to ensemble modeling as a weighted model average technique. The proposed idea is prudent, simple to understand, and easy to implement compared to the Bayesian and frequentist approach. The paper provides both theoretical and empirical contributions for...

Although a large number of mortality projection models have been proposed in the literature, relatively little attention has been paid to a formal assessment of the effect of model uncertainty. In this paper, we construct a Bayesian framework for embedding more than one mortality projection...

In the automotive industry, it is important to know whether the failure of some car parts may be related to the failure of others. This project studies warranty claims for five engine components obtained from a major car manufacturer with the purpose of modeling the joint distributions of the...