Patrick L. Brockett

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Solvency is a primary concern for regulators of insurance companies, claims paying ability is a primary concern for policyholders, and return on investment is a primary concern for investors. These interests potentially conflict, and the decision-makers for the firm must trade off one concern versus another. Here we examine the efficiency of insurance(More)
In Data Envelopment Analysis (DEA), identification of the Pareto-efficient frontier of an empirical production possibility set is a prerequisite step toward determining rates of change of outputs with changes in inputs along its piecewise linear facets. These rates of change, which will be different on different facets, have important economic and(More)
This article presents a conceptual framework for operationalizing strategic enterprise risk management (ERM) in a general firm. We employ a risk-constrained optimization approach to study the capital allocation decisions under ERM. Given the decision maker's risk appetite, the problem of holistically managing enterprise-wide hazard, financial, operational,(More)
We present an unsupervised learning method for classifying consumer insurance claims according to their suspiciousness of fraud versus nonfraud. The predictor variables contained within a claim file that are used in this analysis can be binary, ordinal categorical, or continuous variates. They are constructed such that the ordinal position of the response(More)
Ex = (I + y / t) (l +. r y / : ') El0 = (1 + ! / / Z) (l + .r2y/:3) all R-multiples of Es. The error positions in this case are (j. 1. l) , In general, when decoding an error relative to an algebraic geometric code C*(D. 7rtP), there is a vector space S (g) l of error-locator functions of dimension Z(m)-e. Most algorithms settle for any element of this(More)