Annals of Actuarial Science最新文献_第4页

Impact of combination methods on extreme precipitation projections 组合方法对极端降水预测的影响

IF 1.7

Annals of Actuarial Science Pub Date : 2023-04-24 DOI: 10.1017/s174849952300009x

Sébastien Jessup, M. Mailhot, M. Pigeon

{"title":"Impact of combination methods on extreme precipitation projections","authors":"Sébastien Jessup, M. Mailhot, M. Pigeon","doi":"10.1017/s174849952300009x","DOIUrl":"https://doi.org/10.1017/s174849952300009x","url":null,"abstract":"\u0000 Climate change is expected to increase the frequency and intensity of extreme weather events. To properly assess the increased economical risk of these events, actuaries can gain in relying on expert models/opinions from multiple different sources, which requires the use of model combination techniques. From non-parametric to Bayesian approaches, different methods rely on varying assumptions potentially leading to very different results. In this paper, we apply multiple model combination methods to an ensemble of 24 experts in a pooling approach and use the differences in outputs from the different combinations to illustrate how one can gain additional insight from using multiple methods. The densities obtained from pooling in Montreal and Quebec City highlight the significant changes in higher quantiles obtained through different combination approaches. Areal reduction factor and quantile projected changes are used to show that consistency, or lack thereof, across approaches reflects the uncertainty of combination methods. This shows how an actuary using multiple expert models should consider more than one combination method to properly assess the impact of climate change on loss distributions, seeing as a single method can lead to overconfidence in projections.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47132516","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

How do empirical estimators of popular risk measures impact pro-cyclicality? 流行风险度量的经验估计量如何影响顺周期性？

IF 1.7

Annals of Actuarial Science Pub Date : 2023-03-29 DOI: 10.1017/s1748499523000039

M. Bräutigam, M. Kratz

{"title":"How do empirical estimators of popular risk measures impact pro-cyclicality?","authors":"M. Bräutigam, M. Kratz","doi":"10.1017/s1748499523000039","DOIUrl":"https://doi.org/10.1017/s1748499523000039","url":null,"abstract":"\u0000 Risk measurements are clearly central to risk management, in particular for banks, (re)insurance companies, and investment funds. The question of the appropriateness of risk measures for evaluating the risk of financial institutions has been heavily debated, especially after the financial crisis of 2008/2009. Another concern for financial institutions is the pro-cyclicality of risk measurements. In this paper, we extend existing work on the pro-cyclicality of the Value-at-Risk to its main competitors, Expected Shortfall, and Expectile: We compare the pro-cyclicality of historical quantile-based risk estimation, taking into account the market state. To characterise the latter, we propose various estimators of the realised volatility. Considering the family of augmented GARCH(p, q) processes (containing well-known GARCH models and iid models, as special cases), we prove that the strength of pro-cyclicality depends on the three factors: the choice of risk measure and its estimators, the realised volatility estimator and the model considered, but, no matter the choices, the pro-cyclicality is always present. We complement this theoretical analysis by performing simulation studies in the iid case and developing a case study on real data.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43506220","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

On Bayesian credibility mean for finite mixture distributions 有限混合分布的贝叶斯可信度均值

IF 1.7

Annals of Actuarial Science Pub Date : 2023-03-29 DOI: 10.1017/s1748499523000076

Ehsan Jahanbani, Amir T. Payandeh Najafabadi, Khaled Masoumifard

{"title":"On Bayesian credibility mean for finite mixture distributions","authors":"Ehsan Jahanbani, Amir T. Payandeh Najafabadi, Khaled Masoumifard","doi":"10.1017/s1748499523000076","DOIUrl":"https://doi.org/10.1017/s1748499523000076","url":null,"abstract":"\u0000 Consider the problem of determining the Bayesian credibility mean \u0000 \u0000 \u0000 \u0000$E(X_{n+1}|X_1,cdots, X_n),$\u0000\u0000 \u0000 whenever the random claims \u0000 \u0000 \u0000 \u0000$X_1,cdots, X_n,$\u0000\u0000 \u0000 given parameter vector \u0000 \u0000 \u0000 \u0000$boldsymbol{Psi},$\u0000\u0000 \u0000 are sampled from the K-component mixture family of distributions, whose members are the union of different families of distributions. This article begins by deriving a recursive formula for such a Bayesian credibility mean. Moreover, under the assumption that using additional information \u0000 \u0000 \u0000 \u0000$Z_{i,1},cdots,Z_{i,m},$\u0000\u0000 \u0000 one may probabilistically determine a random claim \u0000 \u0000 \u0000 \u0000$X_i$\u0000\u0000 \u0000 belongs to a given population (or a distribution), the above recursive formula simplifies to an exact Bayesian credibility mean whenever all components of the mixture distribution belong to the exponential families of distributions. For a situation where a 2-component mixture family of distributions is an appropriate choice for data modelling, using the logistic regression model, it shows that: how one may employ such additional information to derive the Bayesian credibility model, say Logistic Regression Credibility model, for a finite mixture of distributions. A comparison between the Logistic Regression Credibility (LRC) model and its competitor, the Regression Tree Credibility (RTC) model, has been given. More precisely, it shows that under the squared error loss function, it shows the LRC’s risk function dominates the RTC’s risk function at least in an interval which about \u0000 \u0000 \u0000 \u0000$0.5.$\u0000\u0000 \u0000 Several examples have been given to illustrate the practical application of our findings.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46785040","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

Benchmarks for the benchmark approach to valuing long-term insurance liabilities: comment on Fergusson & Platen (2023) 评估长期保险负债的基准方法的基准:对Fergusson & Platen(2023)的评论

IF 1.7

Annals of Actuarial Science Pub Date : 2023-03-01 DOI: 10.1017/S1748499523000052

Daniel Bauer

引用次数: 0

Keng Seng Tan 1970–2023 In Memoriam Keng Seng Tan 1970–2023纪念

IF 1.7

Annals of Actuarial Science Pub Date : 2023-03-01 DOI: 10.1017/S1748499523000040

Marion Hardy, P. Boyle

引用次数: 0

An attribution analysis of investment risk sharing in collective defined contribution schemes 集体缴费计划投资风险分担的归因分析

IF 1.7

Annals of Actuarial Science Pub Date : 2023-02-28 DOI: 10.1017/s1748499523000015

Andres Barajas-Paz, C. Donnelly

{"title":"An attribution analysis of investment risk sharing in collective defined contribution schemes","authors":"Andres Barajas-Paz, C. Donnelly","doi":"10.1017/s1748499523000015","DOIUrl":"https://doi.org/10.1017/s1748499523000015","url":null,"abstract":"\u0000 A quantification of the financial implications of the design of a funded, collective defined contribution (CDC) pension scheme is presented and illustrated. It is done through an attribution analysis, which allows the importance of various elements of CDC scheme design to be determined. The model of a CDC scheme analysed is based lightly on the first CDC scheme set to be approved in the UK. In the CDC scheme analysed, contributions are fixed and the initial benefit accrued by each contribution is fixed. Once accrued, benefits are subsequently adjusted annually in response to changes in assumptions and returns. An attribution of the benefit payments shows that this design gives higher benefits to the first generations and lower benefits to the last generations, for a scheme which starts with no members. The contributions paid also affect the balance of benefits paid between generations. Too high a contribution is to the advantage of the first generations. Too low a contribution is in the interests of the later generations. The conclusion, within the simple model considered, is that a constant benefit accrual is an important design choice. Its financial consequences across all generations should be carefully analysed, if it is intended to be implemented. Additionally, contributions should be reviewed regularly in such a CDC scheme, to ensure that cross-subsidies are not borne excessively by particular generations.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48944935","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

On impact of largest claims reinsurance treaties on the ceding company’s loss reserve 论最大索赔再保险合同对分出公司损失准备金的影响

IF 1.7

Annals of Actuarial Science Pub Date : 2023-02-01 DOI: 10.1017/s1748499522000215

Fatemeh Atatalab, Amir T. Payandeh Najafabadi

引用次数: 0

Analysis of option-like fund performance fees in asset management via Monte Carlo actuarial distortion pricing 基于蒙特卡洛精算失真定价的资产管理类期权基金绩效费分析

Annals of Actuarial Science Pub Date : 2023-01-09 DOI: 10.1017/s1748499522000203

Gareth W. Peters, Mantana Chudtong, Andrea De Gaetano

{"title":"Analysis of option-like fund performance fees in asset management via Monte Carlo actuarial distortion pricing","authors":"Gareth W. Peters, Mantana Chudtong, Andrea De Gaetano","doi":"10.1017/s1748499522000203","DOIUrl":"https://doi.org/10.1017/s1748499522000203","url":null,"abstract":"Abstract A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. While fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment strategy, thereby also influencing the investment performance of the investors funds. The study undertaken will allow for an assessment of the effect of fee structures and the potential for asymmetric incentives to arise that may promote adverse risk-taking behaviours by the fund manager, to the detriment of the investor or retiree who places a portion of their retirement savings into such a managed fund with such fee structures. As such, understanding the mechanism of fee charging as well as pricing the fees correctly is vital. An exploration of the application of actuarial distortion pricing methods for complete and incomplete market valuation is performed on a variety of path-dependent option-like performance fee structures for various funds in the European and American markets. Furthermore, several scenario analysis and sensitivity studies are undertaken. The class of Net Asset Value models adopted are Lévy processes, and the pricing is performed via Monte Carlo techniques.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135012952","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

Long-term option pricing with a lower reflecting barrier 具有较低反映障碍的长期期权定价

IF 1.7

Annals of Actuarial Science Pub Date : 2023-01-05 DOI: 10.1017/S1748499522000227

R. Thomas

{"title":"Long-term option pricing with a lower reflecting barrier","authors":"R. Thomas","doi":"10.1017/S1748499522000227","DOIUrl":"https://doi.org/10.1017/S1748499522000227","url":null,"abstract":"\u0000 This paper considers the pricing of long-term options on assets such as housing, where either government intervention or the economic nature of the asset limits large falls in prices. The observed asset price is modelled by a geometric Brownian motion (“the notional price”) reflected at a lower barrier. The resulting observed price has standard dynamics but with localised intervention at the barrier, which allows arbitrage with interim losses; this is funded by the government’s unlimited powers of intervention, and its exploitation is subject to credit constraints. Despite the lack of an equivalent martingale measure for the observed price, options on this price can be expressed as compound options on the arbitrage-free notional price, to which standard risk-neutral arguments can be applied. Because option deltas tend to zero when the observed price approaches the barrier, hedging with the observed price gives the same results as hedging with the notional price and so exactly replicates option payoffs. Hedging schemes are not unique, with the cheapest scheme for any derivative being the one which best exploits the interventions at the barrier. The price of a put is clear: direct replication has a lower initial cost than synthetic replication, and the replication portfolio always has positive value. The price of a call is ambiguous: synthetic replication has a lower initial cost than direct replication, but the replication portfolio may give interim losses. So the preferred replication strategy (and hence price) of a call depends on what margin payments need to be made on these losses.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47292458","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

Managing the risk of mortality shocks 管理死亡率冲击的风险

IF 1.7

Annals of Actuarial Science Pub Date : 2022-11-01 DOI: 10.1017/S1748499522000197

M. Dacorogna, Runhuan Feng, J. S. Li, A. Olivieri

引用次数: 0