Publications
Modeling the number of hidden events subject to observation delay KU Leuven
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing maintenance contracts, determining the number of unreported claims in insurance and in modeling the outbreak of diseases. Disregarding these unobserved events results in a systematic underestimation of the event ...
Projecting delay and compression of mortality KU Leuven
© 2018, The Author(s). Background: Although mortality delay (the shift of the age-at-death distribution to older ages) and mortality compression (less variability in the age at death) are the key dynamics that drove past mortality trends, they have seldom been included in mortality projections. Objective: We compare the projections of a new parametric mortality model that captures delay and compression of mortality (CoDe) with projections based ...
A data driven binning strategy for the construction of insurance tariff classes KU Leuven
© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. We present a fully data driven strategy to incorporate continuous risk factors and geographical information in an insurance tariff. A framework is developed that aligns flexibility with the practical requirements of an insurance company, the policyholder and the regulator. Our strategy is illustrated with an example from property and casualty (P&C) insurance, namely ...
A data driven binning strategy for the construction of insurance tariff classes KU Leuven
© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. We present a fully data driven strategy to incorporate continuous risk factors and geographical information in an insurance tariff. A framework is developed that aligns flexibility with the practical requirements of an insurance company, the policyholder and the regulator. Our strategy is illustrated with an example from property and casualty (P&C) insurance, namely ...
Unraveling the predictive power of telematics data in car insurance pricing KU Leuven
A data set from a Belgian telematics product aimed at young drivers is used to identify how car insurance premiums can be designed based on the telematics data collected by a black box installed in the vehicle. In traditional pricing models for car insurance, the premium depends on self-reported rating variables (e.g. age, postal code) which capture characteristics of the policy(holder) and the insured vehicle and are often only indirectly ...
Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions KU Leuven
© 2017 Elsevier B.V. In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due to the specific characteristics of the body and the tail of the loss distribution. A possible solution is to combine two distributions in a splicing model: a light-tailed distribution for ...