Annals of Actuarial Science最新文献_第3页

Modeling and management of cyber risk: a cross-disciplinary review 网络风险建模与管理：跨学科审查

IF 1.7

Annals of Actuarial Science Pub Date : 2024-01-04 DOI: 10.1017/s1748499523000258

Rong He, Zhuo Jin, Johnny Siu-Hang Li

引用次数: 0

Error propagation and attribution in simulation-based capital models 基于仿真的资本模型中的错误传播和归因

IF 1.7

Annals of Actuarial Science Pub Date : 2023-11-28 DOI: 10.1017/s1748499523000210

Daniel J. Crispin

引用次数: 0

Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio 动态保险组合中市场和非寿险保费风险的资本需求模型

Annals of Actuarial Science Pub Date : 2023-10-31 DOI: 10.1017/s1748499523000234

Stefano Cotticelli, Nino Savelli

{"title":"Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio","authors":"Stefano Cotticelli, Nino Savelli","doi":"10.1017/s1748499523000234","DOIUrl":"https://doi.org/10.1017/s1748499523000234","url":null,"abstract":"Abstract For some time now, Solvency II requires that insurance companies calculate minimum capital requirements to face the risk of insolvency, either in accordance with the Standard Formula or using a full or partial Internal Model. An Internal Model must be based on a market-consistent valuation of assets and liabilities at a 1-year time span, where a real-world probabilistic structure is used for the first year of projection. In this paper, we describe the major risks of a non-life insurance company, i.e. the non-life underwriting risk and market risk, and their interactions, focusing on the non-life premium risk, equity risk, and interest rate risk. This analysis is made using some well-known stochastic models in the financial-actuarial literature and practical insurance business, i.e. the Collective Risk Model for non-life premium risk, the Geometric Brownian Motion for equity risk, and a real-world version of the G2++ Model for interest rate risk, where parameters are calibrated on current and real market data. Finally, we illustrate a case study on a single-line and a multi-line insurance company in order to see how the risk drivers behave in both a stand-alone and an aggregate framework.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135871969","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 changing climate for actuarial science 精算科学的气候变化

Annals of Actuarial Science Pub Date : 2023-10-24 DOI: 10.1017/s1748499523000222

Mathieu Boudreault, Iain Clacher, Johnny Siu-Hang Li, Catherine Pigott, Rui Zhou

引用次数: 0

An assessment of model risk in pricing wind derivatives 风衍生品定价模型风险评估

Annals of Actuarial Science Pub Date : 2023-09-21 DOI: 10.1017/s1748499523000192

Giovani Gracianti, Rui Zhou, Johnny Siu-Hang Li, Xueyuan Wu

{"title":"An assessment of model risk in pricing wind derivatives","authors":"Giovani Gracianti, Rui Zhou, Johnny Siu-Hang Li, Xueyuan Wu","doi":"10.1017/s1748499523000192","DOIUrl":"https://doi.org/10.1017/s1748499523000192","url":null,"abstract":"Abstract Wind derivatives are financial instruments designed to mitigate losses caused by adverse wind conditions. With the rapid growth of wind power capacity due to efforts to reduce carbon emissions, the demand for wind derivatives to manage uncertainty in wind power production is expected to increase. However, existing wind derivative literature often assumes normally distributed wind speed, despite the presence of skewness and leptokurtosis in historical wind speed data. This paper investigates how the misspecification of wind speed models affects wind derivative prices and proposes the use of the generalized hyperbolic distribution to account for non-normality. The study develops risk-neutral approaches for pricing wind derivatives using the conditional Esscher transform, which can accommodate stochastic processes with any distribution, provided the moment-generating function exists. The analysis demonstrates that model risk varies depending on the choice of the underlying index and the derivative’s payoff structure. Therefore, caution should be exercised when choosing wind speed models. Essentially, model risk cannot be ignored in pricing wind speed derivatives.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136129646","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

Individual life insurance during epidemics 流行病期间的个人人寿保险

Annals of Actuarial Science Pub Date : 2023-09-13 DOI: 10.1017/s1748499523000209

Laura Francis, Mogens Steffensen

引用次数: 0

An uncertainty-based risk management framework for climate change risk 基于不确定性的气候变化风险管理框架

IF 1.7

Annals of Actuarial Science Pub Date : 2023-09-05 DOI: 10.1017/s1748499523000179

Rüdiger Kiesel, Gerhard Stahl

引用次数: 1

Lapse risk modeling in insurance: a Bayesian mixture approach 保险中的失误风险建模：一种贝叶斯混合方法

IF 1.7

Annals of Actuarial Science Pub Date : 2023-09-01 DOI: 10.1017/s1748499523000180

Viviana G. R. Lobo, Thaís C. O. Fonseca, M. Alves

{"title":"Lapse risk modeling in insurance: a Bayesian mixture approach","authors":"Viviana G. R. Lobo, Thaís C. O. Fonseca, M. Alves","doi":"10.1017/s1748499523000180","DOIUrl":"https://doi.org/10.1017/s1748499523000180","url":null,"abstract":"\u0000 This paper focuses on modeling surrender time for policyholders in the context of life insurance. In this setup, a large lapse rate at the first months of a contract is often observed, with a decrease in this rate after some months. The modeling of the time to cancelation must account for this specific behavior. Another stylized fact is that policies which are not canceled in the study period are considered censored. To account for both censoring and heterogeneous lapse rates, this work assumes a Bayesian survival model with a mixture of regressions. The inference is based on data augmentation allowing for fast computations even for datasets of over millions of clients. Moreover, frequentist point estimation based on Expectation–Maximization algorithm is also presented. An illustrative example emulates a typical behavior for life insurance contracts, and a simulated study investigates the properties of the proposed model. A case study is considered and illustrates the flexibility of our proposed model allowing different specifications of mixture components. In particular, the observed censoring in the insurance context might be up to \u0000 \u0000 \u0000 \u0000$50%$\u0000\u0000 \u0000 of the data, which is very unusual for survival models in other fields such as epidemiology. This aspect is exploited in our simulated study.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49468786","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

Plant growth stages and weather index insurance design 植物生长阶段与天气指数保险设计

IF 1.7

Annals of Actuarial Science Pub Date : 2023-08-03 DOI: 10.1017/s1748499523000167

Jing Zou, M. Odening, Ostap Okhrin

{"title":"Plant growth stages and weather index insurance design","authors":"Jing Zou, M. Odening, Ostap Okhrin","doi":"10.1017/s1748499523000167","DOIUrl":"https://doi.org/10.1017/s1748499523000167","url":null,"abstract":"\u0000 Given the assumption that weather risks affect crop yields, we designed a weather index insurance product for soybean producers in the US state of Illinois. By separating the entire vegetation cycle into four growth stages, we investigate whether the phase-division procedure contributes to weather–yield loss relation estimation and, hence, to basis risk mitigation. Concretely, supposing stage-variant interaction patterns between temperature-based weather index growing degree days and rainfall-based weather index cumulative rainfall, a nonparametric weather–yield loss relation is estimated by a generalized additive model. The model includes penalized B-spline (P-spline) approach based on nonlinear optimal indemnity solutions under the expected utility framework. The P-spline analysis of variance (PS-ANOVA) method is used for efficient estimation through mixed model re-parameterization. The results indicate that the phase-division models significantly outperform the benchmark whole-cycle ones either under quadratic utility or exponential utility, given different levels of risk aversions. Finally, regarding hedging effectiveness, the expected utility ratio between the phase-division contract and the whole-cycle contract, and the percentage changes of mean root square loss and variance of revenues support the proposed phase-division contract.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42113444","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

Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints 针对保险公司、养老基金和COVID-19的投资组合管理:针对杠杆限制下的股票、平衡基金和目标日期基金的波动性

IF 1.7

Annals of Actuarial Science Pub Date : 2023-07-11 DOI: 10.1017/s1748499523000143

Bao Doan, Jonathan J. Reeves, Michael Sherris

{"title":"Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints","authors":"Bao Doan, Jonathan J. Reeves, Michael Sherris","doi":"10.1017/s1748499523000143","DOIUrl":"https://doi.org/10.1017/s1748499523000143","url":null,"abstract":"Insurers and pension funds face the challenges of historically low-interest rates and high volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk-adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced, and target-date funds with varying constraints on leverage. Conservative leverage constraints are particularly relevant to pension funds and insurance companies, with more aggressive leverage levels appropriate for alternative investments. We show substantial improvements in fund performance for differing leverage levels, and of most interest to insurers and pension funds, we show that the highest Sharpe ratios and smallest drawdowns are in targeted volatility-balanced portfolios with equity and bond allocations. Furthermore, we demonstrate the outperformance of targeted volatility portfolios during major stock market crashes, including the crash from the COVID-19 pandemic.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138509571","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