发布求助
文献互助 智能选刊 最新文献

North American Actuarial Journal最新文献

筛选
英文 中文
Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs 具有比例交易成本的模型不确定性下稳健股利、融资与再保险策略
North American Actuarial Journal Pub Date : 2023-06-06 DOI: 10.1080/10920277.2023.2186430
Guohui Guan, Lin He, Zongxia Liang, Yang Liu, Litian Zhang
{"title":"Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs","authors":"Guohui Guan, Lin He, Zongxia Liang, Yang Liu, Litian Zhang","doi":"10.1080/10920277.2023.2186430","DOIUrl":"https://doi.org/10.1080/10920277.2023.2186430","url":null,"abstract":"This article studies the robust dividend, financing, and reinsurance strategies for an ambiguity aversion insurer (AAI) under model uncertainty. The AAI controls its liquid reserves by purchasing proportional reinsurance, paying dividends, and issuing new equity. We consider model uncertainty and suppose that the AAI is ambiguous about the liquid reserves process, which is described by a class of equivalent probability measures. The objective of the AAI is to maximize the expected present value of the dividend payouts minus the discounted costs of issuing new equity before bankruptcy under the worst-case scenario. A detailed proof of the verification theorem is shown for the robust singular-regular problem. We obtain the explicit solutions of the robust strategies, which are classified into three cases. Numerical results are also presented to show the impacts of the ambiguity aversion coefficient, and the transaction cost factor.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135493342","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
A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products 农业保险产品的动态随机综合气候-经济时空模型
IF 1.4
North American Actuarial Journal Pub Date : 2023-06-06 DOI: 10.1080/10920277.2023.2176323
Suikai Gao, Guillaume Bagnarosa, Gareth W. Peters, M. Ames, Tomoko Matsui
{"title":"A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products","authors":"Suikai Gao, Guillaume Bagnarosa, Gareth W. Peters, M. Ames, Tomoko Matsui","doi":"10.1080/10920277.2023.2176323","DOIUrl":"https://doi.org/10.1080/10920277.2023.2176323","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49474050","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 Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations 基于模型平均法的一致死亡率预测：来自全球人口的证据
IF 1.4
North American Actuarial Journal Pub Date : 2023-05-12 DOI: 10.1080/10920277.2023.2185260
Yanlin Shi
{"title":"Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations","authors":"Yanlin Shi","doi":"10.1080/10920277.2023.2185260","DOIUrl":"https://doi.org/10.1080/10920277.2023.2185260","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48178128","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
A Two-Part Model of the Individual Costs of Chronic Kidney Disease 慢性肾脏疾病个人费用的两部分模型
IF 1.4
North American Actuarial Journal Pub Date : 2023-04-11 DOI: 10.1080/10920277.2023.2177676
Brian Hartman, Courtney L. Larson, Christopher Kunkel, Cason J. Wight, R. Warr
{"title":"A Two-Part Model of the Individual Costs of Chronic Kidney Disease","authors":"Brian Hartman, Courtney L. Larson, Christopher Kunkel, Cason J. Wight, R. Warr","doi":"10.1080/10920277.2023.2177676","DOIUrl":"https://doi.org/10.1080/10920277.2023.2177676","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41311975","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
A Deep Factor Model for Crop Yield Forecasting and Insurance Ratemaking 作物产量预测和保险费率制定的深度因子模型
IF 1.4
North American Actuarial Journal Pub Date : 2023-04-11 DOI: 10.1080/10920277.2023.2182792
Wenjun Zhu
{"title":"A Deep Factor Model for Crop Yield Forecasting and Insurance Ratemaking","authors":"Wenjun Zhu","doi":"10.1080/10920277.2023.2182792","DOIUrl":"https://doi.org/10.1080/10920277.2023.2182792","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42849134","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
In Memoriam: Ken Seng Tan and His Contributions to Actuarial Science, Finance, and Agricultural Insurance 纪念陈肯生及其对精算科学、金融和农业保险的贡献
IF 1.4
North American Actuarial Journal Pub Date : 2023-04-03 DOI: 10.1080/10920277.2023.2201565
P. Brockett
{"title":"In Memoriam: Ken Seng Tan and His Contributions to Actuarial Science, Finance, and Agricultural Insurance","authors":"P. Brockett","doi":"10.1080/10920277.2023.2201565","DOIUrl":"https://doi.org/10.1080/10920277.2023.2201565","url":null,"abstract":"The actuarial science community lost a wonderful human being and a great friend and colleague with the unexpected and sudden passing of Dr. Ken Seng Tan, ASA, CERA, PhD, on January 1, 2023, at the very young age of 53. The North American Actuarial Journal ( NAAJ ) also lost a longtime supporter, contributor","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46569029","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
Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016 美国长期死亡率提高的主要驱动因素：周期、队列和死因分析，1959–2016
IF 1.4
North American Actuarial Journal Pub Date : 2023-03-24 DOI: 10.1080/10920277.2023.2167834
Andrés M. Villegas, M. Bajekal, S. Haberman, Luke Zhou
{"title":"Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016","authors":"Andrés M. Villegas, M. Bajekal, S. Haberman, Luke Zhou","doi":"10.1080/10920277.2023.2167834","DOIUrl":"https://doi.org/10.1080/10920277.2023.2167834","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47521274","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 Comparison of Index-Linked Annuities 指数挂钩年金之比较
IF 1.4
North American Actuarial Journal Pub Date : 2023-03-21 DOI: 10.1080/10920277.2023.2176324
Thorsten Moenig, Bobby Samuelson
{"title":"A Comparison of Index-Linked Annuities","authors":"Thorsten Moenig, Bobby Samuelson","doi":"10.1080/10920277.2023.2176324","DOIUrl":"https://doi.org/10.1080/10920277.2023.2176324","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46364852","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
Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble 通过基于双变量模型的集合增强死亡率预测
IF 1.4
North American Actuarial Journal Pub Date : 2023-03-09 DOI: 10.1080/10920277.2023.2167832
L. Diao, Yechao Meng, Chengguo Weng, T. Wirjanto
{"title":"Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble","authors":"L. Diao, Yechao Meng, Chengguo Weng, T. Wirjanto","doi":"10.1080/10920277.2023.2167832","DOIUrl":"https://doi.org/10.1080/10920277.2023.2167832","url":null,"abstract":"We propose a bivariate model–based ensemble (BMBE) method to borrow information from the mortality data of a given pool of auxiliary populations to enhance the mortality forecasting of a target population. The BMBE method establishes a cascade of bivariate mortality models between the target population and each auxiliary population as the base learners. Then it aggregates prediction results from all of the base learners by means of an averaging strategy. Augmented common factor–type and CBD-type bivariate models are applied as the base learners as illustrative examples in the empirical studies with the Human Mortality Database. Empirical results presented in this article confirm the effectiveness of the proposed BMBE method in enhancing mortality prediction. For completeness, we also conduct a synthetic study to illustrate a particular setting for the superior performance of the BMBE method.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45732222","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
Alternative Predictive Models for Medicare Patient Cost 医疗保险患者成本的替代预测模型
IF 1.4
North American Actuarial Journal Pub Date : 2023-03-08 DOI: 10.1080/10920277.2022.2161577
Xiyue Liao, I. Duncan, Samuel O'Neill
{"title":"Alternative Predictive Models for Medicare Patient Cost","authors":"Xiyue Liao, I. Duncan, Samuel O'Neill","doi":"10.1080/10920277.2022.2161577","DOIUrl":"https://doi.org/10.1080/10920277.2022.2161577","url":null,"abstract":"","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44481392","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