North American Actuarial Journal最新文献_第10页

Data Breach CAT Bonds: Modeling and Pricing 数据泄露CAT债券:建模和定价

IF 1.4

North American Actuarial Journal Pub Date : 2021-05-04 DOI: 10.1080/10920277.2021.1886948

Maochao Xu, Yiying Zhang

引用次数: 5

Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis 基于协整分析的病因特异性死亡率的短期和长期动态

IF 1.4

North American Actuarial Journal Pub Date : 2021-04-15 DOI: 10.1080/10920277.2021.1874421

Séverine Arnold, V. Glushko

引用次数: 7

Price Subsidies and the Demand for Automobile Insurance 价格补贴与汽车保险需求

IF 1.4

North American Actuarial Journal Pub Date : 2021-03-17 DOI: 10.1080/10920277.2022.2082986

Boheng Su, Sharon Tennyson

引用次数: 0

Mixture Composite Regression Models with Multi-type Feature Selection 多类型特征选择的混合复合回归模型

IF 1.4

North American Actuarial Journal Pub Date : 2021-03-12 DOI: 10.1080/10920277.2022.2099426

Tsz Chai Fung, G. Tzougas, M. Wüthrich

引用次数: 13

On a Family of Log-Gamma-Generated Archimedean Copulas 关于对数伽玛生成的阿基米德Copulas族

IF 1.4

North American Actuarial Journal Pub Date : 2021-02-25 DOI: 10.1080/10920277.2020.1856687

Yaming Yang, Shuanming Li

引用次数: 2

Collaborative Insurance with Stop-Loss Protection and Team Partitioning 具有止损保护和团队划分的协作保险

IF 1.4

North American Actuarial Journal Pub Date : 2021-02-23 DOI: 10.1080/10920277.2020.1855199

M. Denuit, C. Robert

{"title":"Collaborative Insurance with Stop-Loss Protection and Team Partitioning","authors":"M. Denuit, C. Robert","doi":"10.1080/10920277.2020.1855199","DOIUrl":"https://doi.org/10.1080/10920277.2020.1855199","url":null,"abstract":"Denuit (2019, 2020a) demonstrated that conditional mean risk sharing introduced by Denuit and Dhaene (2012) is the appropriate theoretical tool to share losses in collaborative peer-to-peer insurance schemes. Denuit and Robert (2020a, 2020b, 2021) studied this risk sharing mechanism and established several attractive properties including linear approximations when total losses or the number of participants get large. It is also shown there that the conditional expectation defining the conditional mean risk sharing is asymptotically increasing in the total loss (under mild technical assumptions). This ensures that the risk exchange is Pareto-optimal and that all participants have an interest to keep total losses as small as possible. In this article, we design a flexible system where entry prices can be made attractive compared to the premium of a regular, commercial insurance contract and participants are awarded cash-backs in case of favorable experience while being protected by a stop-loss treaty in the opposite case. Members can also be grouped according to some meaningful criteria, resulting in a hierarchical decomposition of the community. The particular case where realized losses are allocated in proportion to the pure premiums is studied.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":"26 1","pages":"143 - 160"},"PeriodicalIF":1.4,"publicationDate":"2021-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10920277.2020.1855199","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47463162","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: 11

Backcasting Mortality in England and Wales, 1600–1840 英格兰和威尔士1600–1840年的回溯死亡率

IF 1.4

North American Actuarial Journal Pub Date : 2021-02-19 DOI: 10.1080/10920277.2020.1853574

Di Wang, W. Chan

{"title":"Backcasting Mortality in England and Wales, 1600–1840","authors":"Di Wang, W. Chan","doi":"10.1080/10920277.2020.1853574","DOIUrl":"https://doi.org/10.1080/10920277.2020.1853574","url":null,"abstract":"There have been significant developments in using extrapolative stochastic models for mortality forecasting (forward projection) in the literature. However, little attention has been devoted to mortality backcasting (backward projection). This article proposes a simple mortality backcasting framework that can be used in practice. Research and analysis of English demography in the 17th and 18th centuries have suffered from a lack of mortality data. We attempt to alleviate this problem by developing a technique that runs backward in time and produces estimates of mortality data before the time at which such data became available. After confirming the time reversibility of the mortality data, we compare the backcasting performance of some commonly used stochastic mortality models for the England and Wales data. The original Lee–Carter model is selected for backcasting purpose of this dataset. Finally, we examine the longevity of British artists between the 17th and the 20th centuries using the backcasted population mortality as benchmarks. The results show that artists living in Britain from 1600 to the mid 1800s had life expectancies similar to those of the general population, with a marked increase in longevity after the Industrial Revolution.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":"26 1","pages":"102 - 122"},"PeriodicalIF":1.4,"publicationDate":"2021-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10920277.2020.1853574","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48430451","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

A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data 使用死因死亡率数据预测全因死亡率的多人群方法

IF 1.4

North American Actuarial Journal Pub Date : 2021-02-18 DOI: 10.1080/10920277.2019.1662316

P. Lyu, A. D. De Waegenaere, B. Melenberg

{"title":"A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data","authors":"P. Lyu, A. D. De Waegenaere, B. Melenberg","doi":"10.1080/10920277.2019.1662316","DOIUrl":"https://doi.org/10.1080/10920277.2019.1662316","url":null,"abstract":"All-cause mortality is driven by various types of cause-specific mortality. Projecting all-cause mortality based on cause-of-death mortality allows one to understand the drivers of the recent changes in all-cause mortality. However, the existing literature has argued that all-cause mortality projections based on cause-specific mortality experience have a number of serious drawbacks, including the inferior cause-of-death mortality data and the complex dependence structure between causes of death. In this article, we use the recent World Health Organization causes-of-death data to address this issue in a multipopulation context. We construct a new model in the spirit of N. Li and Lee (2005) but in terms of cause-specific mortality. A new two-step beta convergence test is used to capture the cause-specific mortality dynamics between different countries and between different causes. We show that the all-cause mortality estimations produced by the new model perform in the sample similarly to the estimations by the Lee-Carter and Li-Lee all-cause mortality models. However, in contrast to results from earlier studies, we find that the all-cause mortality projections of the new model have better out-of-sample performance in a long forecast horizon. Moreover, for the case of The Netherlands, an approximately 1-year higher remaining life expectancy projection for a 67-year-old Dutch male in a 30-year forecast horizon is obtained by this new model, compared to the all-cause Li-Lee mortality model.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":"25 1","pages":"S421 - S456"},"PeriodicalIF":1.4,"publicationDate":"2021-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10920277.2019.1662316","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48538440","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: 8

Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers 基于指数的长期套期保值中的基差风险：长期套期保值指南

IF 1.4

North American Actuarial Journal Pub Date : 2021-02-18 DOI: 10.1080/10920277.2019.1651658

A. Cairns, Ghali El Boukfaoui

引用次数: 22

Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies 使用风险最小化策略的股票关联产品的最坏情况估值

IF 1.4

North American Actuarial Journal Pub Date : 2021-01-27 DOI: 10.1080/10920277.2020.1826975

Patrice Gaillardetz, Emmanuel Osei Mireku

引用次数: 1