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North American Actuarial Journal最新文献

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A Discrimination-Free Premium under a Causal Framework 因果框架下的无歧视溢价
IF 1.4
North American Actuarial Journal Pub Date : 2024-03-18 DOI: 10.1080/10920277.2023.2291524
Carlos Andrés Araiza Iturria, Mary Hardy, Paul Marriott
{"title":"A Discrimination-Free Premium under a Causal Framework","authors":"Carlos Andrés Araiza Iturria, Mary Hardy, Paul Marriott","doi":"10.1080/10920277.2023.2291524","DOIUrl":"https://doi.org/10.1080/10920277.2023.2291524","url":null,"abstract":"We examine the discrimination-free premium in Lindholm et al. within a theoretical causal inference framework, and we consider its societal context to assess when the pricing formula should be used...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140169807","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 Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas 利用梯度提升和 Copulas 建立灵活的分层保险索赔模型
IF 1.4
North American Actuarial Journal Pub Date : 2024-03-06 DOI: 10.1080/10920277.2023.2279782
Justine Power, Marie-Pier Côté, Thierry Duchesne
{"title":"A Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas","authors":"Justine Power, Marie-Pier Côté, Thierry Duchesne","doi":"10.1080/10920277.2023.2279782","DOIUrl":"https://doi.org/10.1080/10920277.2023.2279782","url":null,"abstract":"Predicting future claims is an important task for actuaries, and sophisticating the claim modeling process allows insurers to be more competitive and to stay financially sound. We propose a hierarc...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140074356","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
Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses 衡量无限域上的离散风险：理论基础、条件五数总结和数据分析
IF 1.4
North American Actuarial Journal Pub Date : 2024-02-06 DOI: 10.1080/10920277.2023.2285976
Daoping Yu, Vytaras Brazauskas, Ričardas Zitikis
{"title":"Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses","authors":"Daoping Yu, Vytaras Brazauskas, Ričardas Zitikis","doi":"10.1080/10920277.2023.2285976","DOIUrl":"https://doi.org/10.1080/10920277.2023.2285976","url":null,"abstract":"To accommodate numerous practical scenarios, in this article we extend statistical inference for smoothed quantile estimators from finite domains to infinite domains. We accomplish the task with th...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139752163","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
Auto Insurance Pricing Using Telematics Data: Application of a Hidden Markov Model 利用远程信息处理数据进行汽车保险定价：隐马尔可夫模型的应用
IF 1.4
North American Actuarial Journal Pub Date : 2024-02-02 DOI: 10.1080/10920277.2023.2285977
Qiao Jiang, Tianxiang Shi
{"title":"Auto Insurance Pricing Using Telematics Data: Application of a Hidden Markov Model","authors":"Qiao Jiang, Tianxiang Shi","doi":"10.1080/10920277.2023.2285977","DOIUrl":"https://doi.org/10.1080/10920277.2023.2285977","url":null,"abstract":"This study develops a hidden Markov model (HMM)-based clustering framework to predict auto insurance losses using driving characteristics extracted from telematics data. Through a simulation experi...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139751734","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
Claims Reserving with a Robust Generalized Additive Model 利用稳健的广义加法模型进行索赔预估
IF 1.4
North American Actuarial Journal Pub Date : 2024-01-30 DOI: 10.1080/10920277.2023.2259445
Le Chang, Guangyuan Gao, Yanlin Shi
{"title":"Claims Reserving with a Robust Generalized Additive Model","authors":"Le Chang, Guangyuan Gao, Yanlin Shi","doi":"10.1080/10920277.2023.2259445","DOIUrl":"https://doi.org/10.1080/10920277.2023.2259445","url":null,"abstract":"In the actuarial literature, many existing stochastic claims-reserving methods ignore the excessive effects of outliers. In practice, however, these outlying observations may occur in the upper tri...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139752024","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
Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps 流行病融资机制：流行病债券和流行病掉期
IF 1.4
North American Actuarial Journal Pub Date : 2023-12-18 DOI: 10.1080/10920277.2023.2256818
Shimeng Huang, Ken Seng Tan, Jinggong Zhang, Wenjun Zhu
{"title":"Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps","authors":"Shimeng Huang, Ken Seng Tan, Jinggong Zhang, Wenjun Zhu","doi":"10.1080/10920277.2023.2256818","DOIUrl":"https://doi.org/10.1080/10920277.2023.2256818","url":null,"abstract":"The COVID-19 pandemic has had a with severe human toll and catastrophic economic losses and has also heightened the need for more effective solutions for managing epidemic-related risks. This artic...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139029339","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
Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration 自激随机死亡率模型中的保证最低到期日津贴：定价、估算和校准
IF 1.4
North American Actuarial Journal Pub Date : 2023-12-18 DOI: 10.1080/10920277.2023.2254836
David Baños, Å. H. Sande, Carlo Sgarra
{"title":"Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration","authors":"David Baños, Å. H. Sande, Carlo Sgarra","doi":"10.1080/10920277.2023.2254836","DOIUrl":"https://doi.org/10.1080/10920277.2023.2254836","url":null,"abstract":"The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several proce...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823482","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
Estimating Underdiagnosis of Patients in Chronically Ill Populations 估算慢性病患者的漏诊率
IF 1.4
North American Actuarial Journal Pub Date : 2023-12-18 DOI: 10.1080/10920277.2023.2281471
Andrew Stocking, Ian Duncan, Nhan Huynh
{"title":"Estimating Underdiagnosis of Patients in Chronically Ill Populations","authors":"Andrew Stocking, Ian Duncan, Nhan Huynh","doi":"10.1080/10920277.2023.2281471","DOIUrl":"https://doi.org/10.1080/10920277.2023.2281471","url":null,"abstract":"Diagnosis coding in administrative data is often incomplete and introduces inaccurate assessments of patients’ health outcomes. The underdiagnosis of chronic conditions reduces the ability to corre...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138717557","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 Reverse ES (CVaR) Optimization Formula 反向ES (CVaR)优化公式
North American Actuarial Journal Pub Date : 2023-10-19 DOI: 10.1080/10920277.2023.2249524
Yuanying Guan, Zhanyi Jiao, Ruodu Wang
{"title":"A Reverse ES (CVaR) Optimization Formula","authors":"Yuanying Guan, Zhanyi Jiao, Ruodu Wang","doi":"10.1080/10920277.2023.2249524","DOIUrl":"https://doi.org/10.1080/10920277.2023.2249524","url":null,"abstract":"AbstractThe celebrated Expected Shortfall (ES, also known as tail Value at Risk or conditional Value at Risk) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function. We establish a reverse ES optimization formula that says that a mean excess function at any fixed threshold is the maximum of an ES curve minus a linear function. Despite being a simple result, this formula reveals elegant symmetries between the mean excess function and the ES curve, as well as their optimizers. The reverse ES optimization formula is closely related to the Fenchel-Legendre transforms, and our formulas are generalized from ES to optimized certainty equivalents, a popular class of convex risk measures. We analyze worst-case values of the mean excess function under two popular settings of model uncertainty to illustrate the usefulness of the reverse ES optimization formula, and this is further demonstrated with an application using insurance datasets. Disclosure statementNo potential conflict of interest was reported by the author(s).Additional informationFundingRuodu Wang acknowledges financial support from the Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590).","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135729093","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
Optimality of Threshold Strategies for Spectrally Negative Lévy Processes and a Positive Terminal Value at Creeping Ruin 谱负lsamvy过程阈值策略的最优性及蠕变废墟的正终端值
North American Actuarial Journal Pub Date : 2023-10-13 DOI: 10.1080/10920277.2023.2236669
Chong-Rui Zhu
{"title":"Optimality of Threshold Strategies for Spectrally Negative Lévy Processes and a Positive Terminal Value at Creeping Ruin","authors":"Chong-Rui Zhu","doi":"10.1080/10920277.2023.2236669","DOIUrl":"https://doi.org/10.1080/10920277.2023.2236669","url":null,"abstract":"AbstractThis article investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Lévy processes. We consider an insurance company whose surplus process evolves according to a spectrally negative Lévy process with a Gaussian part and a finite Lévy measure. Its objective function relates to dividend payments until ruin and a creeping-associated terminal value at ruin. The positive creeping-associated terminal value represents the salvage value or the creeping reward when creeping happens. Owing to formulas from fluctuation theory, the objective considered is represented explicitly. Under certain restrictions on the terminal value and the surplus process, we show that the threshold strategy should be the optimal one over an admissible class with bounded dividend rates. ACKNOWLEDGMENTI am truly grateful to the two anonymous referees for giving their valuable guiding comments on this work.Disclosure StatementNo potential conflict of interest was reported by the author.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135853142","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
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