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Questions tagged [actuarial-science]

Questions relating to financial risk; often, but not limited to, insurance. This includes questions regarding stochastic distribution of cash flows, probability of ruin, financial payments above a threshold, etc.

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Survival Model with delayed-entry

I am building a survival model that looks at pending insurance claims at several different moments in time, and predicts when those claims will close. So for any particular claim I may have five ...
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37 views

R - matrix optimization problem (Lee-Carter with MLE parameters)

I am trying to reproduce one of models evolved on the base of Lee-Carter model by use of RStudio. Because I am still pretty fresh in this software, my question is not really sophisticated. Applying ...
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Basic calculations with Order Statistics

I've come across the following problem, and I am tempted to delve into order statistics to solve this. I would greatly appreciate any help! Suppose you draw 6 independent samples from a continuous ...
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1answer
21 views

Compound risk poisson models

I was just working through this question. A compound Poisson risk model is used to model the total claims S experienced by an insurance company over one year, of the form: $S = X_1 + ... + X_n$ ...
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1answer
84 views

Is Maximum Likelihood Estimation the median? [closed]

I asked what maximum likelihood estimation to a friend of mine. He told me that it is the median which I don't understand.
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2answers
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Attempting to find mean of Weibull function in R

I am using a Weibull distribution in R, and know that: E(X) = 1000 and Var(X) = 500,000 Knowing: E(X^r) = ($\Gamma$(1+ (r/$\gamma$))) * 1/c^(r/$\gamma$)) I ...
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225 views

How to calculate life expectancy of the astronauts?

I'm trying to obtain a more authoritative answer to the question: Do astronauts live longer than earthlings? While the time dilation thing has been easily dismissed as it introduces negligible ...
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1answer
198 views

model for pure premium using GLM for frequency and severity [closed]

I want to estimate a model for frequency and for severity in order to obtain a pure premium, defined as frequency by severity. The frequency is calculated as claim count divided by exposures, this ...
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46 views

MCMC: why doesn't the posterior mean of the variance is not closer to the true value?

I'm going to try to provide a better explanation of the model, so the problem gets clearer. I'm trying to forecast the lower part of a runoff triangle, which is simply a form used to display the data ...
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52 views

Maximal aggregate loss in Risk Process

I am studying the Crámer Lundberg Risk Process. This process is defined as follows: $$Y_t=r_0+ct-Z_t$$ Where $Z_t$ is a compound Poisson sum, it means that $Z_t=\displaystyle\sum_{i=0}^{N_t} X_i$, ...
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1answer
63 views

Modeling bimodal time-to-event

Here is a plot of death registration frequencies by age for the UK in 1974. I see distributions like this quite often: there is some event (e.g. death) which happens either close to birth, or ...
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1answer
307 views

Compound Poisson Process with Weibull jumps

I need to simulate a compound Poisson Process in R, however I am not clear with the algorithm to generate it. I have conceptual gaps. I know by definition that: A compound Poisson process is the ...
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81 views

Monte Carlo approach in a distribution of a loss process

I am trying to estimate the next quantity using Monte Carlo method. I have the next well-known quantity called the Crámer-Lundberg risk process, given by the expression $$Y_t=x+ct-Z_t$$ where $Z_t=\...
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2answers
33 views

Correlation Between Years for Similar Population

A common problem in insurance is to predict the amount (number, severity, or aggregate total) of losses in the next year for a book of business (eg. all personal auto policies). To do this, one can ...
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139 views

How to setup a temporal classfication problem without using survival analysis?

I want to solve a customer attrition problem for an insurance client (I can't share the data due to confidentiality). I have access to 3 years data for customer attrition, claim pattern, customer ...
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1answer
32 views

What are good resources on nonlife actuarial science as it is being applied in industry?

I have already browsed my way through the book Nonlife Actuarial Models: Theory, Methods and Evaluation by Yiu-Kuen Tse and I am already familiar with nearly all of the underlying statistics in that ...
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53 views

What to do when you don't have a lot of data?

I understand that there won't necessarily be a great answer to this, but I'd like to hear what people would do in this situation. Here's the data situation: I have about 30K policy records of which ...
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2answers
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What books are good for exam p for actuarial science

Hello I'm going to be a sophomore in college and planning on taking exam P for actuarial science. One of my weakest topic is probability. What "entry level" book would you recommend before I start ...
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163 views

Is there a Poisson-Gamma-Gamma model?

An example to elucidate my problem: The total claim amount can be modelled by a Poisson-Gamma model as it is assumed that the events (e.g. accidents) are Poisson distributed and the claims are Gamma ...