January 2021 - 27 articles
The main aim of the article is to evaluate determinants of demand for private long-term care insurance in Poland. Since this type of insurance is not (yet) offered on the market, the demand was examined through a survey in which respondents declared...
In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry. Two strategies of adjusting...
A large body of literature on the favorite–longshot bias finds that sports bettors in a variety of markets appear to have irrational biases toward either longshots (which offer a small chance of winning a large amount of money) or favorites (wh...
Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243–1263, we studied the weak error of discretization schemes for th...
Investments in security and cyber-insurance are two cyber-risk management strategies that can be employed together to optimize the overall security expense. In this paper, we provide a closed form for the optimal investment under a full set of insura...
The assignment problem (AP) is a discrete and combinatorial problem where agents are assigned to perform tasks for efficiency maximization or cost (time) minimization. AP is a part of human resource project management (HRPM). The AP optimization mode...
The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the het...
The role of financial technology companies increases every day. From one side this process generates more possibilities for consumers from other side it is related with new risks which arise in banking sector. At the beginning of FinTech era lots of...
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical techniques to prevent model overfitting such as out-sample backtesting turn out to be unreliabl...
This article presents the Exponential–Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of...
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