In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM...

We develop a real-options model for optimizing production and sourcing choices under evolutionary supply-chain risk. We model lead time as an endogenous decision and calculate the cost differential required to compensate for the risk exposure coming from lead time. The shape of the resulting...

The hierarchical credibility model was introduced, and extended, in the seventies and early eighties. It deals with the estimation of parameters that characterize the nodes of a tree structure.That model is limited, however, by the fact that its parameters are assumed fixed over time. This...