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...

In this paper, we establish several stochastic orders between Gini indexes of multivariate elliptical risks with the same marginals but different dependence structures. This work is motivated by the studies of Brazauskas et al (2007) and Samanthi et al (2015), who employed the Gini index to...

Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been employed: the empirical approach, the “naive” approach,...

A nonparametric test based on nested L-statistics and designed to compare the riskiness of portfolios was introduced by Brazauskas, Jones, Puri, and Zitikis (2007). Its asymptotic and small-sample properties were primarily explored for independent portfolios, though independence is not a...

Episode Treatment Groups (ETGs) classify related services into medically relevant and distinct units describing an episode of care. Proper model selection for those ETG based costs is essential to adequately price and manage health insurance risks. The optimal loss model (or model probabilities)...

Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach, the "naive'' approach, the shifted approach, and the...