Annals of Actuarial Science最新文献

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mvClaim: an R package for multivariate general insurance claims severity modelling mvClaim:一个用于多变量一般保险索赔严重程度建模的R包
IF 1.7
Annals of Actuarial Science Pub Date : 2021-04-05 DOI: 10.1017/S1748499521000099
Sen Hu, T. B. Murphy, A. O'Hagan
{"title":"mvClaim: an R package for multivariate general insurance claims severity modelling","authors":"Sen Hu, T. B. Murphy, A. O'Hagan","doi":"10.1017/S1748499521000099","DOIUrl":"https://doi.org/10.1017/S1748499521000099","url":null,"abstract":"Abstract The mvClaim package in R provides flexible modelling frameworks for multivariate insurance claim severity modelling. The current version of the package implements a parsimonious mixture of experts (MoE) model family with bivariate gamma distributions, as introduced in Hu et al., and a finite mixture of copula regressions within the MoE framework as in Hu & O’Hagan. This paper presents the modelling approach theory briefly and the usage of the models in the package in detail. This package is hosted on GitHub at https://github.com/senhu/.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"15 1","pages":"441 - 457"},"PeriodicalIF":1.7,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000099","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44962260","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
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 : 2021-03-26 DOI: 10.2139/ssrn.3813246
Michael Fackler
{"title":"Panjer class revisited: one formula for the distributions of the Panjer (a,b,n) class","authors":"Michael Fackler","doi":"10.2139/ssrn.3813246","DOIUrl":"https://doi.org/10.2139/ssrn.3813246","url":null,"abstract":"Abstract The loss count distributions whose probabilities ultimately satisfy Panjer’s recursion were classified between 1981 and 2002; they split into six types, which look quite diverse. Yet, the distributions are closely related – we show that their probabilities emerge out of one formula: the binomial series. We propose a parameter change that leads to a unified, practical and intuitive, representation of the Panjer distributions and their parameter space. We determine the subsets of the parameter space where the probabilities are continuous functions of the parameters. Finally, we give an inventory of parameterisations used for Panjer distributions.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"17 1","pages":"145 - 169"},"PeriodicalIF":1.7,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46540893","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
LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model LRMoE。基于专家混合回归模型的保险损失建模软件包
IF 1.7
Annals of Actuarial Science Pub Date : 2021-03-18 DOI: 10.1017/S1748499521000087
Spark C. Tseung, A. Badescu, Tsz Chai Fung, X. Lin
{"title":"LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model","authors":"Spark C. Tseung, A. Badescu, Tsz Chai Fung, X. Lin","doi":"10.1017/S1748499521000087","DOIUrl":"https://doi.org/10.1017/S1748499521000087","url":null,"abstract":"Abstract This paper introduces a new julia package, LRMoE, a statistical software tailor-made for actuarial applications, which allows actuarial researchers and practitioners to model and analyse insurance loss frequencies and severities using the Logit-weighted Reduced Mixture-of-Experts (LRMoE) model. LRMoE offers several new distinctive features which are motivated by various actuarial applications and mostly cannot be achieved using existing packages for mixture models. Key features include a wider coverage on frequency and severity distributions and their zero inflation, the flexibility to vary classes of distributions across components, parameter estimation under data censoring and truncation and a collection of insurance ratemaking and reserving functions. The package also provides several model evaluation and visualisation functions to help users easily analyse the performance of the fitted model and interpret the model in insurance contexts.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"15 1","pages":"419 - 440"},"PeriodicalIF":1.7,"publicationDate":"2021-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000087","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48927521","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
Tree-based models for variable annuity valuation: parameter tuning and empirical analysis 基于树的可变年金估值模型:参数调整与实证分析
IF 1.7
Annals of Actuarial Science Pub Date : 2021-03-16 DOI: 10.1017/s1748499521000075
Zhiyu Quan, Guojun Gan, Emiliano Valdez
{"title":"Tree-based models for variable annuity valuation: parameter tuning and empirical analysis","authors":"Zhiyu Quan, Guojun Gan, Emiliano Valdez","doi":"10.1017/s1748499521000075","DOIUrl":"https://doi.org/10.1017/s1748499521000075","url":null,"abstract":"Variable annuities have become popular retirement and investment vehicles due to their attractive guarantee features. Nonetheless, managing the financial risks associated with the guarantees poses great challenges for insurers. One challenge is risk quantification, which involves frequent valuation of the guarantees. Insurers rely on the use of Monte Carlo simulation for valuation as the guarantees are too complicated to be valued by closed-form formulas. However, Monte Carlo simulation is computationally intensive. In this paper, we empirically explore the use of tree-based models for constructing metamodels for the valuation of the guarantees. In particular, we consider traditional regression trees, tree ensembles, and trees based on unbiased recursive partitioning. We compare the performance of tree-based models to that of existing models such as ordinary kriging and generalised beta of the second kind (GB2) regression. Our results show that tree-based models are efficient in producing accurate predictions and the gradient boosting method is considered the most superior in terms of prediction accuracy.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"9 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529741","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
Valuation of long-term care options embedded in life annuities 嵌入人寿年金的长期护理选项的估值
IF 1.7
Annals of Actuarial Science Pub Date : 2021-03-15 DOI: 10.1017/S1748499521000063
A. Chen, Michel Fuino, Thorsten Sehner, J. Wagner
{"title":"Valuation of long-term care options embedded in life annuities","authors":"A. Chen, Michel Fuino, Thorsten Sehner, J. Wagner","doi":"10.1017/S1748499521000063","DOIUrl":"https://doi.org/10.1017/S1748499521000063","url":null,"abstract":"Abstract In most industrialised countries, one of the major societal challenges is the demographic change coming along with the ageing of the population. The increasing life expectancy observed over the last decades underlines the importance to find ways to appropriately cover the financial needs of the elderly. A particular issue arises in the area of health, where sufficient care must be provided to a growing number of dependent elderly in need of long-term care (LTC) services. In many markets, the offering of life insurance products incorporating care options and LTC insurance products is generally scarce. In our research, we therefore examine a life annuity product with an embedded care option potentially providing additional financial support to dependent persons. To evaluate the care option, we determine the minimum price that the annuity provider requires and the policyholder’s willingness to pay for the care option. For the latter, we employ individual utility functions taking account of the policyholder’s condition. We base our numerical study on recently developed transition probability data from Switzerland. Our findings give new and realistic insights into the nature and the utility of life annuity products proposing an embedded care option for tackling the financing of LTC needs.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"68 - 94"},"PeriodicalIF":1.7,"publicationDate":"2021-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000063","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42816646","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: 5
Automatic analysis of insurance reports through deep neural networks to identify severe claims 通过深度神经网络自动分析保险报告,识别严重索赔
IF 1.7
Annals of Actuarial Science Pub Date : 2021-03-09 DOI: 10.1017/S174849952100004X
Isaac Cohen Sabban, O. Lopez, Yann Mercuzot
{"title":"Automatic analysis of insurance reports through deep neural networks to identify severe claims","authors":"Isaac Cohen Sabban, O. Lopez, Yann Mercuzot","doi":"10.1017/S174849952100004X","DOIUrl":"https://doi.org/10.1017/S174849952100004X","url":null,"abstract":"Abstract In this paper, we develop a methodology to automatically classify claims using the information contained in text reports (redacted at their opening). From this automatic analysis, the aim is to predict if a claim is expected to be particularly severe or not. The difficulty is the rarity of such extreme claims in the database, and hence the difficulty, for classical prediction techniques like logistic regression to accurately predict the outcome. Since data is unbalanced (too few observations are associated with a positive label), we propose different rebalance algorithm to deal with this issue. We discuss the use of different embedding methodologies used to process text data, and the role of the architectures of the networks.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"42 - 67"},"PeriodicalIF":1.7,"publicationDate":"2021-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S174849952100004X","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44803732","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
Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies 使用风险控制策略评估存在保单持有人放弃期权的股票挂钩产品
IF 1.7
Annals of Actuarial Science Pub Date : 2021-03-08 DOI: 10.1017/S1748499521000051
Patrice Gaillardetz, S. Hachem, Mehran Moghtadai
{"title":"Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies","authors":"Patrice Gaillardetz, S. Hachem, Mehran Moghtadai","doi":"10.1017/S1748499521000051","DOIUrl":"https://doi.org/10.1017/S1748499521000051","url":null,"abstract":"Abstract Throughout the past couple of decades, the surge in the sale of equity-linked products has led to many discussions on the evaluation and risk management of surrender options embedded in these products. However, most studies treat such options as American/Bermudian style options. In this article, a different approach is presented where only a portion of the policyholders react optimally due to the belief that not all policyholders are rational. Through this method, a probability of surrender is obtained based on the option moneyness and the product is partially hedged using local risk-control strategies. This partial hedging approach is versatile since few assumptions are required for the financial framework. To compare the different surrender assumptions, the initial capital requirement for an equity-linked product is obtained under a regime-switching equity model. Numerical examples illustrate the dynamics and efficiency of this hedging approach.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"25 - 41"},"PeriodicalIF":1.7,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000051","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46873482","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
Extracting information from textual descriptions for actuarial applications 从精算应用程序的文本描述中提取信息
IF 1.7
Annals of Actuarial Science Pub Date : 2021-03-02 DOI: 10.1017/S1748499521000026
S. Manski, Kaixu Yang, Gee Y. Lee, T. Maiti
{"title":"Extracting information from textual descriptions for actuarial applications","authors":"S. Manski, Kaixu Yang, Gee Y. Lee, T. Maiti","doi":"10.1017/S1748499521000026","DOIUrl":"https://doi.org/10.1017/S1748499521000026","url":null,"abstract":"Abstract Initial insurance losses are often reported with a textual description of the claim. The claims manager must determine the adequate case reserve for each known claim. In this paper, we present a framework for predicting the amount of loss given a textual description of the claim using a large number of words found in the descriptions. Prior work has focused on classifying insurance claims based on keywords selected by a human expert, whereas in this paper the focus is on loss amount prediction with automatic word selection. In order to transform words into numeric vectors, we use word cosine similarities and word embedding matrices. When we consider all unique words found in the training dataset and impose a generalised additive model to the resulting explanatory variables, the resulting design matrix is high dimensional. For this reason, we use a group lasso penalty to reduce the number of coefficients in the model. The scalable, analytical framework proposed provides for a parsimonious and interpretable model. Finally, we discuss the implications of the analysis, including how the framework may be used by an insurance company and how the interpretation of the covariates can lead to significant policy change. The code can be found in the TAGAM R package (github.com/scottmanski/TAGAM).","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"15 1","pages":"605 - 622"},"PeriodicalIF":1.7,"publicationDate":"2021-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000026","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45183496","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
Modelling random vectors of dependent risks with different elliptical components 具有不同椭圆分量的依赖风险随机向量建模
IF 1.7
Annals of Actuarial Science Pub Date : 2021-02-22 DOI: 10.1017/S1748499521000038
Z. Landsman, T. Shushi
{"title":"Modelling random vectors of dependent risks with different elliptical components","authors":"Z. Landsman, T. Shushi","doi":"10.1017/S1748499521000038","DOIUrl":"https://doi.org/10.1017/S1748499521000038","url":null,"abstract":"Abstract In Finance and Actuarial Science, the multivariate elliptical family of distributions is a famous and well-used model for continuous risks. However, it has an essential shortcoming: all its univariate marginal distributions are the same, up to location and scale transformations. For example, all marginals of the multivariate Student’s t-distribution, an important member of the elliptical family, have the same number of degrees of freedom. We introduce a new approach to generate a multivariate distribution whose marginals are elliptical random variables, while in general, each of the risks has different elliptical distribution, which is important when dealing with insurance and financial data. The proposal is an alternative to the elliptical copula distribution where, in many cases, it is very difficult to calculate its risk measures and risk capital allocation. We study the main characteristics of the proposed model: characteristic and density functions, expectations, covariance matrices and expectation of the linear regression vector. We calculate important risk measures for the introduced distributions, such as the value at risk and tail value at risk, and the risk capital allocation of the aggregated risks.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"6 - 24"},"PeriodicalIF":1.7,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000038","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47168492","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
Functional disability with systematic trends and uncertainty: a comparison between China and the US 具有系统趋势和不确定性的功能性残疾:中美比较
IF 1.7
Annals of Actuarial Science Pub Date : 2021-02-15 DOI: 10.2139/SSRN.3785743
Yu-Hsiang Fu, M. Sherris, Mengyi Xu
{"title":"Functional disability with systematic trends and uncertainty: a comparison between China and the US","authors":"Yu-Hsiang Fu, M. Sherris, Mengyi Xu","doi":"10.2139/SSRN.3785743","DOIUrl":"https://doi.org/10.2139/SSRN.3785743","url":null,"abstract":"Abstract China and the US are two contrasting countries in terms of functional disability and long-term care. China is experiencing declining family support for long-term care and developing private long-term care insurance. The US has a more developed public aged care system and private long-term care insurance market than China. Changes in the demand for long-term care are driven by the levels, trends and uncertainty in mortality and functional disability. To understand the future potential demand for long-term care, we compare mortality and functional disability experiences in China and the US, using a multi-state latent factor intensity model with time trends and systematic uncertainty in transition rates. We estimate the model with the Chinese Longitudinal Healthy Longevity Survey (CLHLS) and the US Health and Retirement Study (HRS) data. The estimation results show that if trends continue, both countries will experience longevity improvement with morbidity compression and a declining proportion of the older population with functional disability. Although the elderly Chinese have a shorter estimated life expectancy, they are expected to spend a smaller proportion of their future lifetime functionally disabled than the elderly Americans. Systematic uncertainty is shown to be significant in future trends in disability rates and our model estimates higher uncertainty in trends for the Chinese elderly, especially for urban residents.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"289 - 318"},"PeriodicalIF":1.7,"publicationDate":"2021-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42904368","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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