We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks...

The goal of this paper is to develop regression models and postulate distributions which can be used in practice to describe the joint development process of individual claim payments and claim incurred. We apply neural networks to estimate our regression models. As regressors we use the whole...

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the sample size and, on the other hand, model...

Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as they seek to optimize outcomes. Traditional methods often require restrictive assumptions about underlying stochastic processes, limiting their applicability. This paper...