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European Actuarial Journal最新文献

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Two-dimensional forward and backward transition rates 二维正向和反向跃迁速率
European Actuarial Journal Pub Date : 2023-10-07 DOI: 10.1007/s13385-023-00363-3
Theis Bathke, Marcus C. Christiansen
{"title":"Two-dimensional forward and backward transition rates","authors":"Theis Bathke, Marcus C. Christiansen","doi":"10.1007/s13385-023-00363-3","DOIUrl":"https://doi.org/10.1007/s13385-023-00363-3","url":null,"abstract":"Abstract Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for avoiding Markov assumptions in the calculation of life insurance reserves. While life insurance reserves are some form of conditional first-order moments, the calculation of conditional second-order moments needs an extension of the forward transition rate concept from one dimension to two dimensions. Two-dimensional forward transition rates are also needed for the calculation of path-dependent life insurance cash-flows as they occur upon contract modifications. Forward transition rates are designed for doing prospective calculations, and by a time-symmetric definition of so-called backward transition rates one can do retrospective calculations.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135254751","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
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
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