With the emergence of telematics car driving data, insurance companies have started to boost classical actuarial regression models for claim frequency prediction with telematics car driving information. In this paper, we propose two data-driven neural network approaches that process telematics car driving data to complement classical actuarial pricing with a driving behavior risk factor from telematics data. Our neural networks simultaneously accommodate feature engineering and regression modeling which allows us to integrate telematics car driving data in a one-step approach into the claim frequency regression models. We conclude from our numerical analysis that both classical actuarial risk factors and telematics car driving data are necessary to receive the best predictive models. This emphasizes that these two sources of information interact and complement each other.

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Boosting Poisson regression models with telematics car driving data

Many patients in need of a kidney transplant have a willing but incompatible (or poorly matched) living donor. Kidney exchange programs arrange exchanges among such patient-donor pairs, in cycles a...

Kidney Exchange: An Operations Perspective

For centuries, mathematicians and, later, statisticians, have found natural research and employment opportunities in the realm of insurance. By definition, insurance offers financial cover against ...

Recent Challenges in Actuarial Science

Asylum seekers are often assigned to a locality in their host country directly upon arrival based on some type of uninformed dynamic matching system which does not take the background of the asylum seekers into consideration. This paper proposes an informed, intuitive, easy-to-implement and computationally efficient dynamic mechanism for matching asylum seekers to localities. This mechanism can be adopted in any dynamic refugee matching problem given locality-specific quotas and that asylum seekers can be classified into specific types. We demonstrate that any matching selected by the proposed mechanism is Pareto efficient and that envy between localities is bounded by a single asylum seeker. Via simulation, we evaluate the performance of the proposed mechanism in settings that resemble the US and the Swedish situations, and show that our mechanism outperforms uninformed mechanisms even in presence of severe misclassification error in the estimation of asylum seeker types.

Dynamic Refugee Matching

Bonus-malus systems (BMSs) are widely used in actuarial sciences. These systems are applied by insurance companies to distinguish the policyholders by their risks. The most known application of BMS is in automobile third-party liability insurance. In BMS, there are several classes, and the premium of a policyholder depends on the class he/she is assigned to. The classification of policyholders over the periods of the insurance depends on the transition rules. In general, optimization of these systems involves the calculation of an appropriate premium scale considering the number of classes and transition rules as external parameters. Usually, the stationary distribution is used in the optimization process. In this article, we present a mixed integer linear programming (MILP) formulation for determining the premium scale and the transition rules. We present two versions of the model, one with the calculation of stationary probabilities and another with the consideration of multiple periods of the insurance. Furthermore, numerical examples will also be given to demonstrate that the MILP technique is suitable for handling existing BMSs.

Joint optimization of transition rules and the premium scale in a bonus-malus system

/pdf/compensation-scheme-with-shapley-value-for-multi-country-sw494ds3bw.pdf

Compensation Scheme With Shapley Value For Multi-Country Kidney Exchange Programmes.

In kidney exchange programmes patients with end-stage renal failure may exchange their willing, but incompatible living donors among each other. National kidney exchange programmes are in operation in ten European countries, and some of them have already conducted international exchanges through regulated collaborations. The exchanges are selected by conducting regular matching runs (typically every three months) according to well-defined constraints and optimisation criteria, which may differ across countries. In this work we give integer programming formulations for solving international kidney exchange problems, where the optimisation goals and constraints may be different in the participating countries and various feasibility criteria may apply for the international cycles and chains. We also conduct simulations showing the long-run effects of international collaborations for different pools and under various national restrictions and objectives. We compute the expected gains of the cooperation between two countries with different pool sizes and different restrictions on the cycle-length. For instance, if country A allows 3-way cycles and country B allows 2-way cycles only, whilst the pool size of country A is four times larger than the pool size of country B (which is a realistic case for the relation of Spain and France, respectively), then the increase in the number of transplants will be about 2% for country A and about 37% for country B.

/pdf/ip-solutions-for-international-kidney-exchange-programmes-2x67yb2ern.pdf

IP solutions for international kidney exchange programmes

In kidney exchange programmes patients with end-stage renal failure may exchange their willing, but incompatible living donors among each other. National kidney exchange programmes are in operation in ten European countries, and some of them have already conducted international exchanges through regulated collaborations. The exchanges are selected by conducting regular matching runs (typically every three months) according to well-defined constraints and optimisation criteria, which may differ across countries. In this work we give integer programming formulations for solving international kidney exchange problems, where the optimisation goals and constraints may be different in the participating countries and various feasibility criteria may apply for the international cycles and chains. We also conduct simulations showing the long-run effects of international collaborations for different pools and under various national restrictions and objectives.

Márton Gyetvai

Papers

Compensation Scheme With Shapley Value For Multi-Country Kidney Exchange Programmes.

IP solutions for international kidney exchange programmes

Joint optimization of transition rules and the premium scale in a bonus-malus system

IP Solutions for International Kidney Exchange Programmes

Optimization of transition rules in a Bonus-Malus system