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Bayesian credibility model with heavy tail random variables: calibration of the prior and application to natural disasters and cyber insurance
The Bayesian credibility approach is a method for evaluating a certain risk of a segment of a portfolio (such as policyholder or category of policyholders) by compensating for the lack of historical d ...
European Actuarial Journal, 2024
Semiparametric copula models applied to the decomposition of claim amounts
In this paper, we develop a conditional copula model to analyze the distribution of a claim that generates different types of costs and/or simultaneously impacts several guarantees. Our methodology is ...
Scandinavian Actuarial Journal, 2024
Generalized pareto regression trees for extreme event analysis
This paper derives finite sample results to assess the consistency of Generalized Pareto regression trees introduced by Farkas et al. (Insur. Math. Econ. 98:92--105, 2021) as tools to perform extreme ...
Extremes, 2024
Cyber-contagion model with network structure applied to insurance
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Insurance: Mathematics and Economics, 2022
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models
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Scandinavian Actuarial Journal, 2021