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Churn prediction is very important to the insurance industry. Therefore, there is a big value to investigate how to improve its performance. More importantly, a good model can be used by a common service provider and benefit many companies. State-of-the-art methods either use 1) shallow models such as logistic regression, with sophisticated feature engineering, or 2) deep models that learn features...
This work deals with an optimal dividend payment problem for a piecewise-deterministic compound Poisson insurance risk model. The objective is to maximize the expected discounted dividend payout up to the time of ruin. When the dividend payment rate is restricted, the value function is shown to be a solution of the corresponding Hamilton-Jacobi-Bellman equation, which in turn leads to a tractable...
In order to study how the insurance companies claim premiums with the stochastic interest rate, the interest force accumulation function with Wiener process and Poisson process is proposed in this paper. Based on this model, the life insurance actuarial model of paying premiums several times each year is built. And the expression of single net premium, reserve and future loss variance are given. With...
We discuss rare event simulation techniques based on state-dependent importance sampling. Classical examples and counter-examples are shown to illustrate the reach and limitations of the state-independent approach. State-dependent techniques are helpful to deal with these limitations. These techniques can be applied to both light and heavy tailed systems and often are based on subsolutions to an associated...
By measuring the total risk by conditional mean square error between the terminal valuation of hedging portfolio and the total payment during the hedging horizon, and under the constraint of self-financing strategy, in this paper, at first, we properly construct a hedging model to study the quadratic hedging for stochastic payment styled contingent claims; then, during the hedging horizon [0,T], by...
The efficiency of insurance companies directly reflects their core competitiveness. This paper uses a stochastic frontier approach to investigate the cost efficiency levels and their evolution of 23 insurance companies in China from 2005 to 2008. The main objective is to assess whether insurance intermediary's development affects cost X-efficiency. A one-stage regression model is applied to identify...
In the paper, we study the optimal investment strategies of DC pension, in the presence of a stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset and a risky asset. By applying the Hamilton—Bellman equation, power transform and variable change technique, we find the explicit solution for the CARA utility function.
In this paper, we consider the classical risk model with a linear dividend barrier. In this model, we study the Gerber-Shiu discounted penalty function. Two integro-differential equations for the Gerber-Shiu discounted penalty function are derived. The analytic results of discounted penalty function are obtained.
By adopting the idea of insurance business in our real life, an insurance-based cloud computing architecture is proposed in this paper to rebuild a monetary credit system for cloud computing. In this architecture, insurer agents are introduced to offer paid guarantee for services in cloud computing, and to compensate Internet users when the services invoked fail. Then, regarding to the bankrupt risks...
In this paper, we develop a risk measure based on the concepts of “duality”. The measure is defined on the domain of “gambles”: random variables g with some negative values. It is positively homogeneous, continuous, subadditive, and respects first- and second-order stochastic dominance. Our measure is objective and gives extra weight to losses.
Longevity risk pose a major challenge for life insurers and pension funds around the world. As a new risk management tool, securitization can offer great opportunities for hedging this risk. The purpose of this paper is to improve the design of longevity bonds in an incomplete market framework. The paper develops a stochastic survival model suitable for financial pricing and risk management applications...
In this paper, according to the time series theory and the term life insurance of fixed insurance amount, a mathematical model of single premium of term life insurance under stochastic interest is established, and the example analysis illustrates the significant rationality of this model under fixed interest.
Assume that the stock prices driven by fractional Brownian motions, we establish the pricing model in fractional Brownian motion environment. Using the physical probability measure of price process and the principle of fair premium, we obtain the explicit pricing formula for Maximum or Minimum Option.
In this paper, we analyze the sub-account value process of the guaranteed equity-linked insurance. By using the financial engineering method, this article presents a static model to deal with the contractual withdrawal situation. Then the stochastic control approach is developed and the Hamilton-Jacobi-Bellman equation model is deduced to price the dynamic withdrawal behavior.
Kluppelberg and Stadtmuller (1998) proved a precise asymptotic formula for the ruin probability of the classical interest force and regularly varying tailed claims when the initial capital u tends to infinity . This paper extends their results in several aspects as follows: First, the risk models are the Conditional Poisson and Non-Qici Poisson Process respectively; Second, the ruin probability is...
Fair valuation of the participating life insurance contracts (PLIC) is very important for life insurance companies. This paper applies stochastic discount factor model with specified exponential affine function form to value the contracts while taking the stochastic interest rate and assets structure into account. Compared with existed method, this new model performs better.
In this paper, we consider a risk model in which the individual claim amount is assumed to be a random variable with fuzzy parameters and the claim number process is characterized as Poisson process with fuzzy intensity λ. The mean chance of the ultimate ruin is researched. Particularly, the expressions of the mean chance of the ultimate ruin are obtained for zero initial surplus and arbitrary initial...
This paper considers a Markowitz's mean-variance asset-liability management problem for an insurer in an incomplete market with multiple risky assets. The liability and claims output process are modeled as a geometric Brownian motion and a compound Poisson process respectively, which results in a jump-diffusion surplus process. By using embedding techniques and stochastic control methods, we obtain...
Risk models with interest return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and the ultimate ruin probability is the better for practical use. This paper presents a discrete time risk model with stochastic interest. Exponential type upper bounds for the ultimate ruin probability are delivered by martingale and...
We consider the optimal dividend problem in the restricted dividend rate setting in the compound Poisson model with debit interest. And find a new ruin barrier-voluntary ruin barrier below which the insurers would rather stop their activities than continue taking the debit. Explicit solutions are given out when the claim amount distribution is exponential.
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