North American Actuarial Journal最新文献_第9页

A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling 用于损失建模的一类可牵引的多变量相型分布

IF 1.4

North American Actuarial Journal Pub Date : 2021-10-11 DOI: 10.1080/10920277.2023.2167833

Martin Bladt

{"title":"A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling","authors":"Martin Bladt","doi":"10.1080/10920277.2023.2167833","DOIUrl":"https://doi.org/10.1080/10920277.2023.2167833","url":null,"abstract":"Phase-type (PH) distributions are a popular tool for the analysis of univariate risks in numerous actuarial applications. Their multivariate counterparts (MPH$^ast$), however, have not seen such a proliferation, due to lack of explicit formulas and complicated estimation procedures. A simple construction of multivariate phase-type distributions -- mPH -- is proposed for the parametric description of multivariate risks, leading to models of considerable probabilistic flexibility and statistical tractability. The main idea is to start different Markov processes at the same state, and allow them to evolve independently thereafter, leading to dependent absorption times. By dimension augmentation arguments, this construction can be cast into the umbrella of MPH$^ast$ class, but enjoys explicit formulas which the general specification lacks, including common measures of dependence. Moreover, it is shown that the class is still rich enough to be dense on the set of multivariate risks supported on the positive orthant, and it is the smallest known sub-class to have this property. In particular, the latter result provides a new short proof of the denseness of the MPH$^ast$ class. In practice this means that the mPH class allows for modeling of bivariate risks with any given correlation or copula. We derive an EM algorithm for its statistical estimation, and illustrate it on bivariate insurance data. Extensions to more general settings are outlined.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43493969","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: 5

Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers 风险寻求行为及其对年金保险公司最优决策的启示

IF 1.4

North American Actuarial Journal Pub Date : 2021-08-17 DOI: 10.1080/10920277.2021.1977144

Cuixia Chen, Yi-Jia Lin, Minghe Zhou

引用次数: 0

Dynamic Fund Protection for Property Markets 房地产市场的动态资金保障

IF 1.4

North American Actuarial Journal Pub Date : 2021-08-17 DOI: 10.1080/10920277.2021.1948430

T. Siu, H. Nguyen, Ning Wang

引用次数: 0

Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk 存在背景风险的分布式鲁棒目标达成优化

IF 1.4

North American Actuarial Journal Pub Date : 2021-08-10 DOI: 10.1080/10920277.2021.1966805

Yichun Chi, Z. Xu, S. Zhuang

引用次数: 2

Alcohol and Mortality: An Actuarial Issue 酒精与死亡率：一个精算问题

IF 1.4

North American Actuarial Journal Pub Date : 2021-08-06 DOI: 10.1080/10920277.2021.1946660

S. Gutterman

{"title":"Alcohol and Mortality: An Actuarial Issue","authors":"S. Gutterman","doi":"10.1080/10920277.2021.1946660","DOIUrl":"https://doi.org/10.1080/10920277.2021.1946660","url":null,"abstract":"Despite some favorable global trends in the prevalence of heavy episodic drinking, alcohol-related mortality and morbidity since 2010, and the prevalence of youth drinking in certain developed countries, there has been limited progress in reducing total per-capita alcohol consumption. The burden of disease attributable to alcohol remains high, particularly at pre-retirement ages, and is increasing in some countries and for some causes of death. This article describes the status and trends in alcohol consumption, both worldwide and in the United States. It also describes the adverse consequences of heavy and binge drinking, which are significant to the individual, family and friends, and society. Although the overall effect on mortality of moderate alcohol drinking compared with no drinking at all has generally been viewed to be somewhat favorable due to the effect of certain cardiovascular risks, this view is not shared by all—the arguments involved are examined in this article. The recognition and need for active management of the adverse effects of heavy and binge alcohol consumption, remain essential to favorable health and longevity. Possible public interventions are also described. Actuaries involved in assessing mortality trends and product design need to assess trends in drivers and consequences of historical, current, and expected future alcohol-attributable mortality and morbidity patterns on a regular basis.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10920277.2021.1946660","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45985356","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

Tail Moments of Compound Distributions 复合分布的尾矩

IF 1.4

North American Actuarial Journal Pub Date : 2021-07-05 DOI: 10.2139/ssrn.3880127

Jiandong Ren

引用次数: 1

Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk 极端数据泄露损失:估计数据泄露风险可能最大损失的另一种方法

IF 1.4

North American Actuarial Journal Pub Date : 2021-06-30 DOI: 10.1080/10920277.2021.1919145

Kwangmin Jung

{"title":"Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk","authors":"Kwangmin Jung","doi":"10.1080/10920277.2021.1919145","DOIUrl":"https://doi.org/10.1080/10920277.2021.1919145","url":null,"abstract":"This study proposes a measure of the data breach risk’s probable maximum loss, which stands for the worst data breach loss likely to occur, using an alternative approach to estimating the potential loss degree of an extreme event with one of the largest private databases for data breach risk. We determine stationarity, the presence of autoregressive feature, and the Fréchet type of generalized extreme value distribution (GEV) as the best fit for data breach loss maxima series and check robustness of the model with a public dataset. We find that the predicted data breach loss likely to occur in the next five years is substantially larger than the loss estimated by the recent literature with a Pareto model. In particular, the comparison between the estimates from the recent data (after 2014) and those for the old data (before 2014) shows a significant increase with a break in the loss severity. We design a three-layer reinsurance scheme based on the probable maximum loss estimates with public–private partnership. Our findings are important for risk managers, actuaries, and policymakers concerned about the enormous cost of the next extreme cyber event.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10920277.2021.1919145","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48293207","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: 16

Using Model Averaging to Determine Suitable Risk Measure Estimates 使用模型平均来确定合适的风险度量估计

IF 1.4

North American Actuarial Journal Pub Date : 2021-06-17 DOI: 10.1080/10920277.2021.1911668

T. Miljkovic, B. Grün

引用次数: 2

Discounting the Discounted Projection Approach 贴现投影法

IF 1.4

North American Actuarial Journal Pub Date : 2021-06-11 DOI: 10.1080/10920277.2021.1916537

D. Buckner, K. Dowd

引用次数: 1

Reply to Jiandong Ren on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums” 关于任建东同志讨论《复和的大小偏差风险度量》一文的复函

IF 1.4

North American Actuarial Journal Pub Date : 2021-06-03 DOI: 10.1080/10920277.2021.1925823

M. Denuit

{"title":"Reply to Jiandong Ren on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”","authors":"M. Denuit","doi":"10.1080/10920277.2021.1925823","DOIUrl":"https://doi.org/10.1080/10920277.2021.1925823","url":null,"abstract":"I am grateful to Jiandong Ren for providing readers with a unified treatment of compound sums with frequency component in the ða, b, 0Þ class of counting distributions, which is central to insurance studies. This offers a deeper understanding of the underlying structure of this family, compared to the separate treatment of the Poisson and negative binomial cases in the paper (the latter being treated as a Poisson mixture). Therefore, I sincerely thank Jiandong Ren for having supplemented the initial work with these brilliant ideas. As stressed at the end of the discussion, the Panjer algorithm is particularly useful to compute tail risk measures. In addition to exact calculations, the approximations derived by Denuit and Robert (2021) in terms polynomial expansions (with respect to the Gamma distribution and its associated Laguerre orthonormal polynomials or with respect to the Normal distribution and its associated Hermite polynomials when the size of the pool gets larger) may also be useful in the present context. Depending on the thickness of the tails of the loss distributions, the latter may be replaced with their Esscher transform (or exponential tilting) of negative order. Compound sums with ða, b, 0Þ frequency component are also considered as an application in that paper and the proposed method is compared with the well-established Panjer recursive algorithm.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2021-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10920277.2021.1925823","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42673797","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