Annals of Actuarial Science最新文献_第5页

How actuarial perspectives can help in a pandemic 精算观点如何在疫情中发挥作用

IF 1.7

Annals of Actuarial Science Pub Date : 2022-11-01 DOI: 10.1017/s1748499522000185

M. Edwards

引用次数: 1

A Hermite spline approach for modelling population mortality 用于人口死亡率建模的Hermite样条方法

IF 1.7

Annals of Actuarial Science Pub Date : 2022-10-17 DOI: 10.1017/s1748499522000173

Sixian Tang, Jackie Li, L. Tickle

引用次数: 1

Eliminating proxy errors from capital estimates by targeted exact computation 通过有针对性的精确计算消除资本估计中的代理误差

IF 1.7

Annals of Actuarial Science Pub Date : 2022-10-07 DOI: 10.1017/s1748499522000161

D. J. Crispin, S. M. Kinsley

引用次数: 0

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components 死亡率和寿命风险的资本需求评估的随机模型，侧重于特质和趋势成分

IF 1.7

Annals of Actuarial Science Pub Date : 2022-09-30 DOI: 10.1017/S174849952200015X

G. P. Clemente, Francesco Della Corte, N. Savelli

引用次数: 4

Panjer class revisited: one formula for the distributions of the Panjer (a,b,n) class 重新审视Panjer类:Panjer (a,b,n)类分布的一个公式

IF 1.7

Annals of Actuarial Science Pub Date : 2022-09-26 DOI: 10.1017/s1748499522000148

Michael Fackler

引用次数: 0

The moments of the time of ruin in Sparre Andersen risk models 斯帕尔·安德森风险模型中的破产时刻

IF 1.7

Annals of Actuarial Science Pub Date : 2022-08-25 DOI: 10.1017/S1748499522000124

D. Dickson

引用次数: 3

Modelling the burden of long-term care for institutionalised elderly based on care duration and intensity 基于护理持续时间和强度的机构化老年人长期护理负担建模

IF 1.7

Annals of Actuarial Science Pub Date : 2022-08-15 DOI: 10.1017/s1748499522000136

Martin Bladt, Michel Fuino, A. Shemendyuk, J. Wagner

{"title":"Modelling the burden of long-term care for institutionalised elderly based on care duration and intensity","authors":"Martin Bladt, Michel Fuino, A. Shemendyuk, J. Wagner","doi":"10.1017/s1748499522000136","DOIUrl":"https://doi.org/10.1017/s1748499522000136","url":null,"abstract":"Abstract The financing of long-term care and the planning of care capacity are of increasing interest due to demographic changes and the ageing population in many countries. Since many care-intensive conditions begin to manifest at higher ages, a better understanding and assessment of the expected costs, required infrastructure, and number of qualified personnel are essential. To evaluate the overall burden of institutional care, we derive a model based on the duration of stay in dependence and the intensity of help provided to elderly individuals. This article aims to model both aspects using novel longitudinal data from nursing homes in the canton of Geneva in Switzerland. Our data contain comprehensive health and care information, including medical diagnoses, levels of dependence, and physical and psychological impairments on 21,758 individuals. We build an accelerated failure time model to study the influence of selected factors on the duration of care and a beta regression model to describe the intensity of care. We show that apart from age and gender, the duration of stay before death is mainly affected by the underlying diseases and the number of different diagnoses. Simultaneously, care intensity is driven by the individual level of dependence and specific limitations. Using both evaluations, we approximate the overall care severity for individual profiles. Our study sheds light on the relevant medical, physical, and psychological health indicators that need to be accounted for, not only by care providers but also by policy-makers and insurers.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"17 1","pages":"83 - 117"},"PeriodicalIF":1.7,"publicationDate":"2022-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44030546","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

Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack Mack链梯模型中最终索赔预测误差的无偏估计

IF 1.7

Annals of Actuarial Science Pub Date : 2022-08-01 DOI: 10.1017/s1748499522000082

Filippo Siegenthaler

引用次数: 0

Bonus-Malus Scale models: creating artificial past claims history 奖金Malus Scale模型：创建人工过去索赔历史

IF 1.7

Annals of Actuarial Science Pub Date : 2022-07-29 DOI: 10.1017/S1748499522000100

J. Boucher

{"title":"Bonus-Malus Scale models: creating artificial past claims history","authors":"J. Boucher","doi":"10.1017/S1748499522000100","DOIUrl":"https://doi.org/10.1017/S1748499522000100","url":null,"abstract":"Abstract In recent papers, Bonus-Malus Scales (BMS) estimated using data have been considered as an alternative to longitudinal data and hierarchical data approaches to model the dependence between different contracts for the same insured. Those papers, however, did not discuss in detail how to construct and understand BMS models, and many of the BMS’s basic properties were not discussed. The first objective of this paper is to correct this situation by explaining the logic behind BMS models and by describing those properties. More particularly, we will explain how BMS models are linked with simple count regression models that have covariates associated with the past claims experience. This study could help actuaries to understand how and why they should use BMS models for experience rating. The second objective of this paper is to create artificial past claims history for each insured. This is done by combining recent panel data theory with BMS models. We show that this addition significantly improves the prediction capacity of the BMS and provides a temporary solution for insurers who do not have enough historical data. We apply the BMS model to real data from a major Canadian insurance company. Results are analysed deeply to identify specific aspects of the BMS model.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"17 1","pages":"36 - 62"},"PeriodicalIF":1.7,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41845809","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: 4

Less-expensive long-term annuities linked to mortality, cash and equity 与死亡率、现金和股票挂钩的较便宜的长期年金

IF 1.7

Annals of Actuarial Science Pub Date : 2022-07-28 DOI: 10.1017/S1748499522000112

K. Fergusson, E. Platen

{"title":"Less-expensive long-term annuities linked to mortality, cash and equity","authors":"K. Fergusson, E. Platen","doi":"10.1017/S1748499522000112","DOIUrl":"https://doi.org/10.1017/S1748499522000112","url":null,"abstract":"Abstract This paper proposes a shift in the valuation and production of long-term annuities, away from the classical risk-neutral methodology towards a methodology using the real-world probability measure. The proposed production method is applied to three examples of annuity products, one having annual payments linked to a mortality index and the savings account and the others having annual payments linked to a mortality index and an equity index with a guarantee that is linked to the same mortality index and the savings account. Out-of-sample hedge simulations demonstrate the effectiveness of the proposed less-expensive production method. In contrast to classical risk-neutral production, which revolves around the savings account as reference unit, the long-term best-performing portfolio, the numéraire portfolio of the equity market, is employed as the fundamental reference unit in the production of the annuity. The numéraire portfolio is the strictly positive, tradable portfolio that when used as denominator or benchmark makes all benchmarked non-negative portfolios supermartingales. Under real-world valuation, the initial benchmarked value of a benchmarked contingent claim equals its real-world conditional expectation. The proposed real-world valuation and production can lead to significantly lower values of long-term annuities and their less-expensive production than suggested by the risk-neutral approach.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"17 1","pages":"170 - 207"},"PeriodicalIF":1.7,"publicationDate":"2022-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45007835","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