European Actuarial Journal最新文献_第2页

Enhancing actuarial non-life pricing models via transformers 通过变压器改进非寿险精算定价模型

IF 1.2

European Actuarial Journal Pub Date : 2024-06-12 DOI: 10.1007/s13385-024-00388-2

Alexej Brauer

{"title":"Enhancing actuarial non-life pricing models via transformers","authors":"Alexej Brauer","doi":"10.1007/s13385-024-00388-2","DOIUrl":"https://doi.org/10.1007/s13385-024-00388-2","url":null,"abstract":"Currently, there is a lot of research in the field of neural networks for non-life insurance pricing. The usual goal is to improve the predictive power of actuarial pricing and behavioral models via neural networks while building upon the generalized linear model, which is the current industry standard. Our paper contributes to this current journey via novel methods to enhance actuarial non-life models with transformer models for tabular data. We build here upon the foundation laid out by the combined actuarial neural network as well as the localGLMnet and enhance those models via the feature tokenizer transformer. The manuscript demonstrates the performance of the proposed methods on a real-world claim frequency dataset and compares them with several benchmark models such as generalized linear models, feed-forward neural networks, combined actuarial neural networks, LocalGLMnet, and the pure feature tokenizer transformer. The paper shows that the new methods can achieve better results than the benchmark models while preserving the structure of the underlying actuarial models, thereby inheriting and retaining their advantages. The paper also discusses the practical implications and challenges of applying transformer models in actuarial settings.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"160 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141504628","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 duration effects in non-life insurance pricing 非寿险定价中的期限效应

IF 1.2

European Actuarial Journal Pub Date : 2024-05-27 DOI: 10.1007/s13385-024-00385-5

Mathias Lindholm, Taariq Nazar

{"title":"On duration effects in non-life insurance pricing","authors":"Mathias Lindholm, Taariq Nazar","doi":"10.1007/s13385-024-00385-5","DOIUrl":"https://doi.org/10.1007/s13385-024-00385-5","url":null,"abstract":"The paper discusses duration effects on the consistency of mean parameter and dispersion parameter estimators in exponential dispersion families (EDFs) that are the standard models used for non-life insurance pricing. Focus is on the standard generalised linear model assumptions where both the mean and variance, conditional on duration, are linear functions in terms of duration. We derive simple convergence results that highlight consequences when the linear conditional moment assumptions are not satisfied. These results illustrate that: (i) the resulting mean estimators always have a relevant asymptotic interpretation in terms of the duration adjusted actuarially fair premium—a premium that only agrees with the standard actuarial premium using a duration equal to one, given that the expected value is linear in the duration; (ii) deviance based estimators of the dispersion parameter in an EDF should be avoided in favour of Pearson estimators; (iii) unless the linear moment assumptions are satisfied, consistency of dispersion and plug-in variance estimators can not be guaranteed and may result in spurious over-dispersion. The results provide explicit conditions on the underlying data generating process that will lead to spurious over-dispersion that can be used for model checking. This is illustrated based on real insurance data, where it is concluded that the linear moment assumptions are violated, which results in non-negligible spurious over-dispersion.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"29 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141167631","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

Profit and loss attribution: an empirical study 损益归属：实证研究

IF 1.2

European Actuarial Journal Pub Date : 2024-05-24 DOI: 10.1007/s13385-024-00380-w

Solveig Flaig, Gero Junike

引用次数: 0

Network analytics for insurance fraud detection: a critical case study 用于保险欺诈检测的网络分析：关键案例研究

IF 1.2

European Actuarial Journal Pub Date : 2024-05-14 DOI: 10.1007/s13385-024-00384-6

Bruno Deprez, Félix Vandervorst, Wouter Verbeke, Tim Verdonck, Bart Baesens

引用次数: 0

Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension 在有经济情况调查公共养老金的情况下，退休后的最优年金、住房和反向抵押贷款

IF 1.2

European Actuarial Journal Pub Date : 2024-05-09 DOI: 10.1007/s13385-024-00379-3

Johan G. Andréasson, Pavel V. Shevchenko

{"title":"Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension","authors":"Johan G. Andréasson, Pavel V. Shevchenko","doi":"10.1007/s13385-024-00379-3","DOIUrl":"https://doi.org/10.1007/s13385-024-00379-3","url":null,"abstract":"In this paper we develop a model to find optimal decisions in retirement with respect to the consumption, risky asset allocation, access to annuities, reverse mortgage and the option to scale housing in the presence of a means-tested public pension. To solve the corresponding high-dimensional optimal stochastic control problem, we use the Least-Squares Monte Carlo simulation method. The model is applied in the context of the Australian retirement system. Few retirees in Australia utilise financial products in retirement, such as annuities or reverse mortgages. Since the government-provided means-tested Age Pension in Australia is an indirect annuity stream which is typically higher than the consumption floor, it can be argued that this could be the reason why many Australians do not annuitise. In addition, in Australia where assets allocated to the family home are not included in the means tests of Age Pension, the incentive to over-allocate wealth into housing assets is high. This raises the question whether a retiree is really better off over-allocating into the family home, while accessing home equity later on either via downsizing housing or by taking out a reverse mortgage. Our findings confirm that means-tested pension crowds out voluntary annuitisation in retirement, and that annuitisation is optimal sooner rather than later once retired. We find that it is never optimal to downscale housing when the means-tested pension and a reverse mortgage are available; only when there is no other way to access equity then downsizing is the only option.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"22 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140927854","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

Discussion on ‘A resimulation framework for event loss tables based on clustering’ by Benedikt Funke and Harmen Roering Benedikt Funke 和 Harmen Roering 关于 "基于聚类的事件损失表重新模拟框架 "的讨论

IF 1.2

European Actuarial Journal Pub Date : 2024-04-03 DOI: 10.1007/s13385-024-00382-8

Mathias Raschke

引用次数: 0

Asymptotic capital allocation based on the higher moment risk measure 基于高时刻风险度量的渐近资本分配

IF 1.2

European Actuarial Journal Pub Date : 2024-03-21 DOI: 10.1007/s13385-024-00378-4

Yiqing Chen, Jiajun Liu

引用次数: 0

A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population 多人群死亡率分析神经网络方法：意大利人口数据案例研究

IF 1.2

European Actuarial Journal Pub Date : 2024-03-06 DOI: 10.1007/s13385-024-00377-5

Maximilian Euthum, Matthias Scherer, Francesco Ungolo

引用次数: 0

Evaluation of participating endowment life insurance policies in a stochastic environment 随机环境下的分红捐赠人寿保险政策评估

IF 1.2

European Actuarial Journal Pub Date : 2024-01-19 DOI: 10.1007/s13385-023-00373-1

Ramin Eghbalzadeh, Patrice Gaillardetz, Frédéric Godin

{"title":"Evaluation of participating endowment life insurance policies in a stochastic environment","authors":"Ramin Eghbalzadeh, Patrice Gaillardetz, Frédéric Godin","doi":"10.1007/s13385-023-00373-1","DOIUrl":"https://doi.org/10.1007/s13385-023-00373-1","url":null,"abstract":"Participating life insurance contracts are policies that provide dividends (participation bonuses) based on the insurer’s financial performance. While these products are popular, there exists a gap in the literature for the analysis of these contracts under a stochastic setting. This paper fills this gap by proposing methods to (i) determine performance bonuses, (ii) compute the fair premium of the contract, and (iii) perform risk measurements for participating contracts in a realistic stochastic environment. The specific case of a fixed premium endowment participating contract, where the annual premium remains constant while benefits increase stochastically, is considered. We extend both the variable benefits life insurance approach of Bowers et al. [9] and the compound reversionary bonus mechanism presented in Booth et al. [8] and Bacinello [2] to a stochastic financial market (including stochastic interest rates) and stochastic mortality framework. Monte Carlo simulations provide insight about the sensitivity of premiums to contract specification and the evolution over time of both benefits and risks faced by the insurer.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"21 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518212","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

Forecasting, interventions and selection: the benefits of a causal mortality model 预测、干预和选择：因果死亡率模型的益处

IF 1.2

European Actuarial Journal Pub Date : 2023-12-20 DOI: 10.1007/s13385-023-00372-2

Snorre Jallbjørn, Søren F. Jarner, Niels R. Hansen

{"title":"Forecasting, interventions and selection: the benefits of a causal mortality model","authors":"Snorre Jallbjørn, Søren F. Jarner, Niels R. Hansen","doi":"10.1007/s13385-023-00372-2","DOIUrl":"https://doi.org/10.1007/s13385-023-00372-2","url":null,"abstract":"Integrating epidemiological information into mortality models has the potential to improve forecasting accuracy and facilitate the assessment of preventive measures that reduce disease risk. While probabilistic models are often used for mortality forecasting, predicting how a system behaves under external manipulation requires a causal model. In this paper, we utilize the potential outcomes framework to explore how population-level mortality forecasts are affected by interventions, and discuss the assumptions and data needed to operationalize such an analysis. A unique challenge arises in population-level mortality models where common forecasting methods treat risk prevalence as an exogenous process. This approach simplifies the forecasting process but overlooks (part of) the interdependency between risk and death, limiting the model’s ability to capture selection-induced effects. Using techniques from causal mediation theory, we quantify the selection effect typically missing in studies on cause-of-death elimination and when analyzing actions that modify risk prevalence. Specifically, we decompose the total effect of an intervention into a part directly attributable to the intervention and a part due to subsequent selection. We illustrate the effects with U.S. data.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"34 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138817186","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