European Actuarial Journal最新文献

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Natural hedging in continuous time life insurance 连续时间人寿保险中的自然套期保值
IF 1.2
European Actuarial Journal Pub Date : 2023-01-09 DOI: 10.2139/ssrn.4086893
Anna Kamille Nyegaard
{"title":"Natural hedging in continuous time life insurance","authors":"Anna Kamille Nyegaard","doi":"10.2139/ssrn.4086893","DOIUrl":"https://doi.org/10.2139/ssrn.4086893","url":null,"abstract":"Life insurance companies face several types of risks including financial risks and insurance risks. Financial risks can to a large extent be hedged by trading in the financial market, but there exists no such market for insurance risks. We suggest an alternative to hedge insurance risks. In a multi-state setup in continuous time life insurance, we describe the concept of natural hedging, which enables us to compose a portfolio of different insurance products where the liabilities are unaffected by shifts in the transition intensities. We describe how to find and how to calculate the natural hedging strategy using directional derivatives (Gateaux derivatives) to measure the sensitivity of the life insurance liabilities with respect to shifts in the transition intensities of a Markov chain governing the state of the insured. Furthermore, we implement the natural hedging strategy in two numerical examples based on the survival model and the disability model, respectively.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"1 1","pages":"1-19"},"PeriodicalIF":1.2,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43515609","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
Impact of rough stochastic volatility models on long-term life insurance pricing. 粗略随机波动模型对长期人寿保险定价的影响。
IF 0.8
European Actuarial Journal Pub Date : 2023-01-01 Epub Date: 2022-06-25 DOI: 10.1007/s13385-022-00317-1
Jean-Loup Dupret, Jérôme Barbarin, Donatien Hainaut
{"title":"Impact of rough stochastic volatility models on long-term life insurance pricing.","authors":"Jean-Loup Dupret, Jérôme Barbarin, Donatien Hainaut","doi":"10.1007/s13385-022-00317-1","DOIUrl":"10.1007/s13385-022-00317-1","url":null,"abstract":"<p><p>The Rough Fractional Stochastic Volatility (RFSV) model of Gatheral et al. (Quant Financ 18(6):933-949, 2014) is remarkably consistent with financial time series of past volatility data as well as with the observed implied volatility surface. Two tractable implementations are derived from the RFSV with the rBergomi model of Bayer et al. (Quant Financ 16(6):887-904, 2016) and the rough Heston model of El Euch et al. (Risk 84-89, 2019). We now show practically how to expand these two rough volatility models at larger time scales, we analyze their implications for the pricing of long-term life insurance contracts and we explain why they provide a more accurate fair value of such long-term contacts. In particular, we highlight and study the long-term properties of these two rough volatility models and compare them with standard stochastic volatility models such as the Heston and Bates models. For the rough Heston, we manage to build a highly consistent calibration and pricing methodology based on a stable regime for the volatility at large maturity. This ensures a reasonable behavior of the model in the long run. Concerning the rBergomi, we show that this model does not exhibit a realistic long-term volatility with extremely large swings at large time scales. We also show that this rBergomi is not fast enough for calibration purposes, unlike the rough Heston which is highly tractable. Compared to standard stochastic volatility models, the rough Heston hence provides efficiently a more accurate fair value of long-term life insurance contracts embedding path-dependent options while being highly consistent with historical and risk-neutral data.</p>","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"13 1","pages":"235-275"},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243767/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10296560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An incremental loss ratio method using prior information on calendar year effects. 一种利用历年影响的先验信息的增量损失率法。
IF 1.2
European Actuarial Journal Pub Date : 2023-01-01 DOI: 10.1007/s13385-022-00315-3
Ulrich Riegel
{"title":"An incremental loss ratio method using prior information on calendar year effects.","authors":"Ulrich Riegel","doi":"10.1007/s13385-022-00315-3","DOIUrl":"https://doi.org/10.1007/s13385-022-00315-3","url":null,"abstract":"<p><p>In a run-off triangle external factors can have a similar influence on all incremental losses of the same calendar year. This can distort the triangle such that reserving methods like chain ladder or the loss ratio method do not work properly. A very recent example of such an external factor is the Covid-19 pandemic. In many countries, the insurance industry is in the process of establishing market knowledge about the impact of the pandemic on premiums and losses. We extend the additive claims reserving model to allow for calendar year effects and develop a variant of the incremental loss ratio method (also known as the additive method) that can make use of such market knowledge. We derive formulas for the mean squared error of prediction and provide a detailed numerical example.</p><p><strong>Supplementary information: </strong>The online version contains supplementary material available at 10.1007/s13385-022-00315-3.</p>","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"13 1","pages":"91-123"},"PeriodicalIF":1.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9119846/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9432878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks. 基于新型混合模型和神经网络的未偿索赔数微观预测。
IF 1.2
European Actuarial Journal Pub Date : 2023-01-01 DOI: 10.1007/s13385-022-00314-4
Axel Bücher, Alexander Rosenstock
{"title":"Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks.","authors":"Axel Bücher,&nbsp;Alexander Rosenstock","doi":"10.1007/s13385-022-00314-4","DOIUrl":"https://doi.org/10.1007/s13385-022-00314-4","url":null,"abstract":"<p><p>Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the Chain Ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potentially useful additional claims information. A new approach based on a micro-level model for reporting delays involving neural networks is proposed. It is shown by extensive simulation experiments and an application to a large-scale real data set involving motor legal insurance claims that the new approach provides more accurate predictions in case of non-homogeneous portfolios.</p><p><strong>Supplementary information: </strong>The online version contains supplementary material available at 10.1007/s13385-022-00314-4.</p>","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"13 1","pages":"55-90"},"PeriodicalIF":1.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9098157/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10296556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach. 死亡率改善率的平滑投影:贝叶斯二维样条方法。
IF 1.2
European Actuarial Journal Pub Date : 2023-01-01 DOI: 10.1007/s13385-022-00323-3
Xiaobai Zhu, Kenneth Q Zhou
{"title":"Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach.","authors":"Xiaobai Zhu,&nbsp;Kenneth Q Zhou","doi":"10.1007/s13385-022-00323-3","DOIUrl":"https://doi.org/10.1007/s13385-022-00323-3","url":null,"abstract":"<p><p>This paper proposes a spline mortality model for generating smooth projections of mortality improvement rates. In particular, we follow the two-dimensional cubic B-spline approach developed by Currie et al. (Stat Model 4(4):279-298, 2004), and adopt the Bayesian estimation and LASSO penalty to overcome the limitations of spline models in forecasting mortality rates. The resulting Bayesian spline model not only provides measures of stochastic and parameter uncertainties, but also allows external opinions on future mortality to be consistently incorporated. The mortality improvement rates projected by the proposed model are smoothly transitioned from the historical values with short-term trends shown in recent observations to the long-term terminal rates suggested by external opinions. Our technical work is complemented by numerical illustrations that use real mortality data and external rates to showcase the features of the proposed model.</p>","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"13 1","pages":"277-305"},"PeriodicalIF":1.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243738/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10346712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A resimulation framework for event loss tables based on clustering 一种基于聚类的事件损失表重构框架
IF 1.2
European Actuarial Journal Pub Date : 2022-12-26 DOI: 10.1007/s13385-022-00338-w
Benedikt Funke, Harmen Roering
{"title":"A resimulation framework for event loss tables based on clustering","authors":"Benedikt Funke, Harmen Roering","doi":"10.1007/s13385-022-00338-w","DOIUrl":"https://doi.org/10.1007/s13385-022-00338-w","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46133111","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
Identifying the determinants of lapse rates in life insurance: an automated Lasso approach 确定人寿保险失效率的决定因素:一种自动套索方法
IF 1.2
European Actuarial Journal Pub Date : 2022-11-10 DOI: 10.1007/s13385-022-00325-1
Lucas Reck, J. Schupp, Andreas Reuß
{"title":"Identifying the determinants of lapse rates in life insurance: an automated Lasso approach","authors":"Lucas Reck, J. Schupp, Andreas Reuß","doi":"10.1007/s13385-022-00325-1","DOIUrl":"https://doi.org/10.1007/s13385-022-00325-1","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52829419","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 “Mortality by socio‑economic class and its impact on the retirement schemes: how to render the systems fairer?” 讨论“按社会经济阶层划分的死亡率及其对退休计划的影响:如何使制度更公平?”
IF 1.2
European Actuarial Journal Pub Date : 2022-11-01 DOI: 10.1007/s13385-022-00336-y
Barbara D’Ambrogi-Ola
{"title":"Discussion on “Mortality by socio‑economic class and its impact on the retirement schemes: how to render the systems fairer?”","authors":"Barbara D’Ambrogi-Ola","doi":"10.1007/s13385-022-00336-y","DOIUrl":"https://doi.org/10.1007/s13385-022-00336-y","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"12 1","pages":"745 - 747"},"PeriodicalIF":1.2,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41500970","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 long-term care multi-state Markov model revisited: a Markov chain Monte Carlo approach’ (Fleichmann et al.) 关于“重新审视长期护理多状态马尔可夫模型:马尔可夫链蒙特卡罗方法”的讨论(Fleichmann等人)
IF 1.2
European Actuarial Journal Pub Date : 2022-10-31 DOI: 10.1007/s13385-022-00334-0
G. Biessy
{"title":"Discussion on ‘A long-term care multi-state Markov model revisited: a Markov chain Monte Carlo approach’ (Fleichmann et al.)","authors":"G. Biessy","doi":"10.1007/s13385-022-00334-0","DOIUrl":"https://doi.org/10.1007/s13385-022-00334-0","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"12 1","pages":"439 - 442"},"PeriodicalIF":1.2,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49377807","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
Optimal insurance for a prudent decision maker under heterogeneous beliefs 异质信念下谨慎决策者的最优保险
IF 1.2
European Actuarial Journal Pub Date : 2022-10-28 DOI: 10.1007/s13385-022-00335-z
Mario Ghossoub, Wenjun Jiang, Jiandong Ren
{"title":"Optimal insurance for a prudent decision maker under heterogeneous beliefs","authors":"Mario Ghossoub, Wenjun Jiang, Jiandong Ren","doi":"10.1007/s13385-022-00335-z","DOIUrl":"https://doi.org/10.1007/s13385-022-00335-z","url":null,"abstract":"<p>In this paper we extend some of the results in the literature on optimal insurance under heterogeneous beliefs in the presence of the no-sabotage condition, by allowing the likelihood ratio function to be non-monotone. Under the assumption of prudence and a mild smoothness condition on the likelihood ratio function, we first partition the whole domain of loss into disjoint regions and then obtain an explicit parametric form for the optimal indemnity function over each piece, by resorting to the marginal indemnity function formulation. The case where there exists belief singularity between the decision maker and the insurer is also studied. As an illustration, we consider a special case of our setting in which the premium principle is a distortion premium principle. We then obtain a closed-form characterization of the optimal indemnity for the cases where premia are determined by Value-at-Risk and Tail Value-at-Risk. Our study complements the literature and provides new insights into several similar problems.</p>","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"282 ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138505063","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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