2021 March - 13 articles
This study aims to check market reaction to filing for bankruptcy and restructuring proceedings and to verify the short-term effect of a price reversal in the Polish market in the years 2004–2019. The research was conducted by dividing the analysed c...
This work documents a persistent life expectancy heterogeneity by gender and geography in Italy during the period 1995–2019. Based on deviations of life expectancy at age 65, it quantifies the implicit tax/subsidy mechanism triggered when pensions an...
The aim of this article is to present the risk model premises related to worker recruitment. Recruitment affects the final selection of workers, whose activities contribute to corporate competitive advantages. Hiring unfavorable workers can influence...
Predicting if a client is worth giving a loan—credit scoring—is one of the most essential and popular problems in banking. Predictive models for this goal are built on the assumption that there is a dependency between the client’s profile before the...
For calculating non-life insurance premiums, actuaries traditionally rely on separate severity and frequency models using covariates to explain the claims loss exposure. In this paper, we focus on the claim severity. First, we build two reference mod...
The aim of this paper is to merge order statistics with natural catastrophe reinsurance pricing to develop new theoretical and practical insights relevant to market practice and model development. We present a novel framework to quantify the role tha...
Best practice life expectancy has recently been modeled using extreme value theory. In this paper we present the Gumbel autoregressive model of order one—Gumbel AR(1)—as an option for modeling best practice life expectancy. This class of model repres...
In micro-lending markets, lack of recorded credit history is a significant impediment to assessing individual borrowers’ creditworthiness and therefore deciding fair interest rates. This research compares various machine learning algorithms on real m...
To build adequate predictive models, a substantial amount of data is desirable. However, when expanding to new or unexplored territories, this required level of information is rarely always available. To build such models, actuaries often have to: pr...
In the context of current crises following COVID-19 and growing global economic uncertainties, the issues regarding financial transactions with FINTECH are increasingly apparent. Consequently, in our opinion, the utilization of FINTECH financial tran...
Death benefits are generally the largest cash flow items that affect the financial statements of life insurers; some may still not have a systematic process to track and monitor death claims. In this article, we explore data clustering to examine and...
The way one leads their life is considered an important factor in health. In this paper we propose a system to provide risk assessment based on behavior for the health insurance sector. To do so we built a platform to collect real-world data that enu...
We introduce four variants of the common age effect model proposed by Kleinow, which describes the mortality rates of multiple populations. Our model extensions are based on the assumption of multiple common age effects, each of which is shared only...
