Author's profile

Vladimir Kaishev
Cass Business School


Professor of Actuarial Science, Faculty of Actuarial Science and Insurance.Prof Vladimir Kaishev is a Professor of Actuarial Science at the Faculty of Actuarial Science and Insurance (FASI), Cass Business School, City University, London. He joined the FASI in 2002. In 2001 he has been lecturer in actuarial mathematics at the Center of Actuarial Studies, University of Melbourne, Australia. From 1994 to 2000 he has been Head of the Department of Computational Stochastics at the Institute of Mathematics of the Bulgarian Academy of Sciences.

Author articles

  • A novel statistical methodology created by academics at Cass Business School has led to improved data about deaths and life expectancy.

    25/11/2015 | 1,939
  • In this research a new methodology for optimal customer selection in cross-selling of financial services products, such as mortgage loans and non life insurance contracts, is presented. Financial services companies tend to possess significant databases and a long relationship with each customer. In this situation the challenge becomes to use the database in general and specific knowledge of the individual target to estimate the probability of a cross-sale, the cost of a cross-sale attempt, the average discounted future profit and the uncertainty of the profit of the entire cross-sale attempt for that individual. Once reliable estimates for the stochastics of the cross-sale process have been established, one can optimise the cross-sale profit according to a variety of criteria including return and risk. In this paper, we first consider the simple question of optimising the average profit, but we also consider one version of adjusting for risk when optimising cross-sale profits. Our extensive case study is taken from non-life insurance, where our sales probability model is provided to us by the company that also provided us with the data.

    29/10/2012 | 4,889
  • We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

    22/09/2011 | 6,257