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Dependence Modelling of Frequency-Severity of Insurance Claims Using Waiting Time for Claim 基于等待理赔时间的保险理赔频度-严重性相关性模型
UNSW: Actuarial Studies (Topic) Pub Date : 2021-04-02 DOI: 10.2139/ssrn.3829478
Guangyuan Gao, Jiahong Li
{"title":"Dependence Modelling of Frequency-Severity of Insurance Claims Using Waiting Time for Claim","authors":"Guangyuan Gao, Jiahong Li","doi":"10.2139/ssrn.3829478","DOIUrl":"https://doi.org/10.2139/ssrn.3829478","url":null,"abstract":"We propose a dependent frequency-severity model using a Gaussian copula. The copula links a latent variable of waiting time for the second claim with the claim severity. By assuming a log-normal distributed claim severity, we can analyze the effect of claim counts on the conditional expectation of severity. We propose a Monte Carlo simulation algorithm to simulate the predictive distribution of the aggregated claims amount. In an empirical example, we compare the proposed method with the conditional modeling by Garrido et al. (2016) and the mixed copula modeling by Czado et al. (2012).","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"178 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116009334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Managed Volatility Investment Strategy for Pooled Annuity Products 集中年金产品波动率管理投资策略
UNSW: Actuarial Studies (Topic) Pub Date : 2019-09-18 DOI: 10.2139/ssrn.3455806
Shuanglan Li, Héloïse Labit Hardy, M. Sherris, Andrés M. Villegas
{"title":"A Managed Volatility Investment Strategy for Pooled Annuity Products","authors":"Shuanglan Li, Héloïse Labit Hardy, M. Sherris, Andrés M. Villegas","doi":"10.2139/ssrn.3455806","DOIUrl":"https://doi.org/10.2139/ssrn.3455806","url":null,"abstract":"Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed interest returns is relatively unexplored. Incorporating equity investments has the potential to increase expected annuity payments at the expense of higher variability. We propose and assess a strategy for incorporating equity investments along with managed-volatility for pooled annuity funds. We show how the managed volatility strategy improves investment performance, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure to investment risk over time. We quantify the impact of pool size when equity investments are included, showing how these products are viable with relatively small pool sizes.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"278 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122937001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes 光谱正lsamvy过程的最优联合反射和折射红利策略
UNSW: Actuarial Studies (Topic) Pub Date : 2016-07-06 DOI: 10.2139/ssrn.2805454
Benjamin Avanzi, José-Luis Pérez, Bernard Wong, K. Yamazaki
{"title":"On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes","authors":"Benjamin Avanzi, José-Luis Pérez, Bernard Wong, K. Yamazaki","doi":"10.2139/ssrn.2805454","DOIUrl":"https://doi.org/10.2139/ssrn.2805454","url":null,"abstract":"The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for bounded and unbounded payout rates, respectively. In this paper, motivated by the behaviour of some dividend paying stock exchange companies, we determine the optimal dividend strategy when both continuous (refractive) and lump sum (reflective) dividends can be paid at any time, and if they are subject to different transaction rates. We consider the general family of spectrally positive L'evy processes. Using scale functions, we obtain explicit formulas for the expected present value of dividends until ruin, with a penalty at ruin. We develop a verification lemma, and show that a two-layer (a,b) strategy is optimal. Such a strategy pays continuous dividends when the surplus exceeds level a>0, and all of the excess over b>a as lump sum dividend payments. Results are illustrated.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133619442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Pension Fund Efficiency: An International Comparison of Australian Performance 养老基金效率:澳大利亚绩效的国际比较
UNSW: Actuarial Studies (Topic) Pub Date : 2015-08-20 DOI: 10.2139/ssrn.2648743
H. Bateman, N. Morris
{"title":"Pension Fund Efficiency: An International Comparison of Australian Performance","authors":"H. Bateman, N. Morris","doi":"10.2139/ssrn.2648743","DOIUrl":"https://doi.org/10.2139/ssrn.2648743","url":null,"abstract":"Using a sample of 256 pension funds from Australia, Canada, the United States and Europe for the period 2004 to 2012, we use data envelopment, cluster and multivariate analysis to compare performance. We find high efficiency scores for many smaller corporate funds and lower efficiency scores for larger Australian industry and retail funds. Among US, Canadian and European pension funds passive investment management outperforms active. Defined contribution and public offer fund types perform least well. We attribute the generally lower efficiency scores for Australian funds to the higher degree of separation between managers and beneficiaries which exists in Australia, where delegation of responsibility is widespread.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116244820","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
ERM in an Optimal Control Framework 最优控制框架下的ERM
UNSW: Actuarial Studies (Topic) Pub Date : 2013-09-01 DOI: 10.2139/ssrn.2660026
G. Taylor
{"title":"ERM in an Optimal Control Framework","authors":"G. Taylor","doi":"10.2139/ssrn.2660026","DOIUrl":"https://doi.org/10.2139/ssrn.2660026","url":null,"abstract":"Much of ERM consists of qualitative discussion of the risks facing a business and controls over them. It is difficult to identify in the literature a clear body of theory to provide the foundation for the subject, integrating a business’s objectives with its risk controls.The present paper attempts this by formulation of ERM as an exercise in stochastic optimal control theory. Here there is a defined objective, which would usually include some aspect of profit, and a set of constraints (the risk controls). Optimal control theory provides a framework for balancing the one against the other, and also for considering whether or not particular risk controls are well advised.The paper accepts the COSO (2004) definition of ERM, and its associated ERM Integrated Framework. After definitions, preliminary discussion and establishment of the control theory set-up, the paper is organised with one section for each item of the ERM Integrated Framework. Each of these sections interprets that item within the control theory model.Risk controls may improve business performance, but they usually come at a cost. And the stronger the control, the greater may be the improvement, but the greater the cost. The essential purpose of the control theoretic formulation is the identification of the optimal strength of each risk control as that at which, for marginal further strengthening, the marginal improvement of business function is matched by marginal cost.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134291971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Risk Management and Payout Design of Reverse Mortgages 反向抵押贷款的风险管理和支付设计
UNSW: Actuarial Studies (Topic) Pub Date : 2013-03-14 DOI: 10.2139/ssrn.2233688
Daniel Cho, Katja Hanewald, M. Sherris
{"title":"Risk Management and Payout Design of Reverse Mortgages","authors":"Daniel Cho, Katja Hanewald, M. Sherris","doi":"10.2139/ssrn.2233688","DOIUrl":"https://doi.org/10.2139/ssrn.2233688","url":null,"abstract":"We analyze the risk and profitability of reverse mortgages with lump-sum or income stream payments from the lender's perspective. Reverse mortgage cash flows and loan balances are modeled in a multi-period stochastic framework that allows for house price risk, interest rate risk and risk of delayed loan termination. A VAR model is used to simulate economic scenarios and to derive stochastic discount factors for pricing the no negative equity guarantee embedded in reverse mortgage contracts. Our results show that lump-sum reverse mortgages are more profitable and require less risk-based capital than income stream reverse mortgages, which explains why this product design dominates in most markets. The loan-to-value ratio, the borrower's age, mortality improvements and the lender's financing structure are shown to be important drivers of the profitability and riskiness of reverse mortgages, but changes in these parameters do not change the main conclusions.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126476091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Bayesian Foundations of Insurance 贝叶斯保险基础
UNSW: Actuarial Studies (Topic) Pub Date : 2013-01-25 DOI: 10.2139/ssrn.2216067
Liang Hong, Ryan Martin, Zhiqiang Yan
{"title":"Bayesian Foundations of Insurance","authors":"Liang Hong, Ryan Martin, Zhiqiang Yan","doi":"10.2139/ssrn.2216067","DOIUrl":"https://doi.org/10.2139/ssrn.2216067","url":null,"abstract":"The foundation of insurance in the frequentist framework is well-understood by experts in actuarial science, insurance and risk management. In the past two decades there has been a surge in the application of Bayesian analysis in insurance. However, the foundation of insurance under the Bayesian framework remains unexplored. This paper fills the gap by investigating the foundation of insurance in the Bayesian setup. We demonstrate that the foundation of insurance in the Bayesian world corresponds to the consistency of the posterior distribution at the true parameter value. We discuss several key results of posterior consistency and give insurance examples in both parametric and nonparametric cases to illustrate their applications.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"10 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116960844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Developing Actuarial Judgement 发展精算判断
UNSW: Actuarial Studies (Topic) Pub Date : 2013-01-11 DOI: 10.2139/SSRN.2202611
A. Asher
{"title":"Developing Actuarial Judgement","authors":"A. Asher","doi":"10.2139/SSRN.2202611","DOIUrl":"https://doi.org/10.2139/SSRN.2202611","url":null,"abstract":"Explicit actuarial capability frameworks are being developed to measure actuarial quality as a basis for pre- and post-qualification learning goals. These frameworks focus on the development of broader and normative capabilities that can be described as actuarial judgement. This paper explores different perspectives on how actuarial judgement might be identified and developed. It suggests that actuarial students need more help in developing personal and coherent frameworks with which to evaluate their decisions. The actuarial core technical syllabuses should be extended to include more ethical issues and a critique of positive economics. Ethical issues should include some understanding of the rationalizations that accompany unethical and corrupt behaviour. Committed teachers and mentors prepared to address ethical conflicts in practical cases play a role that needs greater emphasis.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132024449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An Analysis of Reinsurance Optimisation in Life Insurance 寿险再保险优化问题分析
UNSW: Actuarial Studies (Topic) Pub Date : 2012-03-27 DOI: 10.2139/ssrn.2029314
M. Sherris, Elena Veprauskaitė
{"title":"An Analysis of Reinsurance Optimisation in Life Insurance","authors":"M. Sherris, Elena Veprauskaitė","doi":"10.2139/ssrn.2029314","DOIUrl":"https://doi.org/10.2139/ssrn.2029314","url":null,"abstract":"This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer. The objective is to determine the reinsurance structure, based on actual insurer data, using a modified mean-variance criteria that maximises the retained premiums and minimizes the variance of retained claims while keeping the retained risk exposure constant, assuming a given level of risk appetite. The portfolio of life and disability policies use quota-share, surplus and a combination of both quota-share and surplus reinsurance. Alternative reinsurance arrangements are compared using the modified mean-variance criteria to assess the optimal reinsurance strategy. The analysis takes into account recent claims experience as well as actual premiums paid by insured lives and to the reinsurers. Optimal reinsurance cover depends on many factors including retention levels, premiums and the variance of sum insured values (and therefore claims), as a result an insurer should assess the tradeoff between retained premiums and the variance of retained claims based on its own experience and risk appetite.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130005393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
What Perceptions Do Actuarial Graduates Hold on Their University Studies, Work Experience and Career Direction after Completing the University Program 精算毕业生在完成大学课程后，对自己的大学学习、工作经历和职业方向有什么看法
UNSW: Actuarial Studies (Topic) Pub Date : 2011-10-13 DOI: 10.2139/ssrn.2201217
Brian Chu, John R. Evans, David E. Morgan
{"title":"What Perceptions Do Actuarial Graduates Hold on Their University Studies, Work Experience and Career Direction after Completing the University Program","authors":"Brian Chu, John R. Evans, David E. Morgan","doi":"10.2139/ssrn.2201217","DOIUrl":"https://doi.org/10.2139/ssrn.2201217","url":null,"abstract":"Established over 160 years ago, actuarial studies is a highly regarded disciplineand many students aspire to gain admission into the program offered by universities worldwide. The discipline is reknowned for offering students with the potential of excellent career prospects and high salaries. The experience of actuarial graduates has not been systematically recorded and analysed. This paper summarises a study implemented on students in the actuarial alumni body from a leading Australian university on their perceptions of the university education program, the profession qualification process and their career aspirations. 66 respondents participated in the study and 33 respondents completed the study in its entirety. The respondents confirmed popular belief that attaining the Fully Qualified Actuary (FQA) title is time-consuming and difficult. Respondents are generall satisfied with their current job, especiall regarding their financial rewards. However, whilst respondents have aspirations to become part of management, they are insufficiently skilled and are less inclined to seek employer support to develop these skills. The study complies with the protocols of the UNSW Ethics Committee.","PeriodicalId":120143,"journal":{"name":"UNSW: Actuarial Studies (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128814693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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