Risks, Volume 8, Issue 3

In the context of the digitization of delinquent activities, perpetrated via the internet, the question of the most appropriate means of crime prevention and crime repression is once again being raised. Studies performed on police investigations have...

This article presents the Poisson-Inverse Gamma regression model with varying dispersion for approximating heavy-tailed and overdispersed claim counts. Our main contribution is that we develop an Expectation-Maximization (EM) type algorithm for maxim...

In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the ord...

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value α. This is done in most simple discrete De Finetti models. We characterize the value function V(s,α) for initi...

This article proposes a new method for the estimation of the parameters of a simple linear regression model which is based on the minimization of a quartic loss function. The aim is to extend the traditional methodology, based on the normality assump...

Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system. This paper examin...

In the last two decades, both internal and external risk management of banks have undergone significant developments. Banking supervision encourages banks to use a risk-based approach for computing minimum regulatory capital. Accounting rules have be...

Using telematics data, we study the relationship between claim frequency and distance driven through different models by observing smooth functions. We used Generalized Additive Models (GAM) for a Poisson distribution, and Generalized Additive Models...

In this work, a method is proposed for exploiting the predictive power of a geo-tagged dataset as a means of identification of user-relevant points of interest (POI). The proposed methodology is subsequently applied in an insurance context for the au...

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underl...