发布求助
文献互助 智能选刊 最新文献

European Actuarial Journal最新文献

筛选
英文 中文
Including individual customer lifetime value and competing risks in tree-based lapse management strategies 在基于树的失效管理策略中包括个体客户生命周期价值和竞争风险
European Actuarial Journal Pub Date : 2023-09-12 DOI: 10.1007/s13385-023-00358-0
Mathias Valla, Xavier Milhaud, Anani Ayodélé Olympio
{"title":"Including individual customer lifetime value and competing risks in tree-based lapse management strategies","authors":"Mathias Valla, Xavier Milhaud, Anani Ayodélé Olympio","doi":"10.1007/s13385-023-00358-0","DOIUrl":"https://doi.org/10.1007/s13385-023-00358-0","url":null,"abstract":"A retention strategy based on an enlightened lapse model is a powerful profitability lever for a life insurer. Some machine learning models are excellent at predicting lapse, but from the insurer’s perspective, predicting which policyholder is likely to lapse is not enough to design a retention strategy. In our paper, we define a lapse management framework with an appropriate validation metric based on Customer Lifetime Value and profitability. We include the risk of death in the study through competing risks considerations in parametric and tree-based models and show that further individualization of the existing approaches leads to increased performance. We show that survival tree-based models outperform parametric approaches and that the actuarial literature can significantly benefit from them. Then, we compare, on real data, how this framework leads to increased predicted gains for a life insurer and discuss the benefits of our model in terms of commercial and strategic decision-making.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135825003","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
Asymptotics of the loss-based tail risk measures in the presence of extreme risks 存在极端风险时基于损失的尾部风险测度的渐近性
IF 1.2
European Actuarial Journal Pub Date : 2023-08-30 DOI: 10.1007/s13385-023-00361-5
Jiajun Liu, T. Shushi
{"title":"Asymptotics of the loss-based tail risk measures in the presence of extreme risks","authors":"Jiajun Liu, T. Shushi","doi":"10.1007/s13385-023-00361-5","DOIUrl":"https://doi.org/10.1007/s13385-023-00361-5","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45169834","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
Discussion on “Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues.” (Louloudis et al) “用断层处理历史目录中不完全信息的地震风险随机评估”的讨论。(Louloudis等人)
IF 1.2
European Actuarial Journal Pub Date : 2023-08-21 DOI: 10.1007/s13385-023-00359-z
Adrien Pothon
{"title":"Discussion on “Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues.” (Louloudis et al)","authors":"Adrien Pothon","doi":"10.1007/s13385-023-00359-z","DOIUrl":"https://doi.org/10.1007/s13385-023-00359-z","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46712619","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
Coherent extrapolation of mortality rates at old ages applied to long term care 应用于长期护理的老年死亡率的一致外推
IF 1.2
European Actuarial Journal Pub Date : 2023-08-10 DOI: 10.1007/s13385-023-00360-6
Léonie Le Bastard
{"title":"Coherent extrapolation of mortality rates at old ages applied to long term care","authors":"Léonie Le Bastard","doi":"10.1007/s13385-023-00360-6","DOIUrl":"https://doi.org/10.1007/s13385-023-00360-6","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46562128","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 “Selection effect modification to the Lee-Carter model” (J. C. Yue et al.) 关于“对Lee-Carter模型的选择效应修正”的讨论(j.c. Yue等)
IF 1.2
European Actuarial Journal Pub Date : 2023-07-18 DOI: 10.1007/s13385-023-00357-1
R. Ionescu, Tiziana Torri
{"title":"Discussion on “Selection effect modification to the Lee-Carter model” (J. C. Yue et al.)","authors":"R. Ionescu, Tiziana Torri","doi":"10.1007/s13385-023-00357-1","DOIUrl":"https://doi.org/10.1007/s13385-023-00357-1","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48140437","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 mixed life insurance contracts under stochastic correlated mortality and interest rates 死亡率和利率随机相关条件下混合寿险合同的价值评估
IF 1.2
European Actuarial Journal Pub Date : 2023-06-23 DOI: 10.1007/s13385-023-00354-4
Vanessa Hanna, P. Devolder
{"title":"Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates","authors":"Vanessa Hanna, P. Devolder","doi":"10.1007/s13385-023-00354-4","DOIUrl":"https://doi.org/10.1007/s13385-023-00354-4","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42860555","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
EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects 具有相关随机效应的二元混合poisson INAR（1）索赔数回归模型的EM估计
IF 1.2
European Actuarial Journal Pub Date : 2023-06-06 DOI: 10.1007/s13385-023-00351-7
Zezhun Chen, A. Dassios, G. Tzougas
{"title":"EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects","authors":"Zezhun Chen, A. Dassios, G. Tzougas","doi":"10.1007/s13385-023-00351-7","DOIUrl":"https://doi.org/10.1007/s13385-023-00351-7","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47981137","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
Efficient projections of with-profit life insurance using lumping 用集中法进行有利润寿险的有效预测
IF 1.2
European Actuarial Journal Pub Date : 2023-06-05 DOI: 10.1007/s13385-023-00352-6
I. E. Andersen, A. S. Lollike
{"title":"Efficient projections of with-profit life insurance using lumping","authors":"I. E. Andersen, A. S. Lollike","doi":"10.1007/s13385-023-00352-6","DOIUrl":"https://doi.org/10.1007/s13385-023-00352-6","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43528097","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
Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration 自校正条件下Pearson相关、浓度和Lorenz曲线的模型选择
IF 1.2
European Actuarial Journal Pub Date : 2023-05-26 DOI: 10.1007/s13385-023-00353-5
M. Denuit, J. Trufin
{"title":"Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration","authors":"M. Denuit, J. Trufin","doi":"10.1007/s13385-023-00353-5","DOIUrl":"https://doi.org/10.1007/s13385-023-00353-5","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48722611","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
Holt–Winters method for run-off triangles in claims reserving 索赔保留中决角三角形的Holt-Winters方法
IF 1.2
European Actuarial Journal Pub Date : 2023-05-26 DOI: 10.1007/s13385-023-00348-2
T. Cipra, R. Hendrych
{"title":"Holt–Winters method for run-off triangles in claims reserving","authors":"T. Cipra, R. Hendrych","doi":"10.1007/s13385-023-00348-2","DOIUrl":"https://doi.org/10.1007/s13385-023-00348-2","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43498199","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信