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Scandinavian Actuarial Journal最新文献

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Optimal consumption and investment in pooled annuity funds with and without fund managers 有基金管理人和没有基金管理人的集合年金基金的最优消费和投资
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-08-15 DOI: 10.1080/03461238.2024.2390087
Lin He, Zongxia Liang, Zhaojie Ren
{"title":"Optimal consumption and investment in pooled annuity funds with and without fund managers","authors":"Lin He, Zongxia Liang, Zhaojie Ren","doi":"10.1080/03461238.2024.2390087","DOIUrl":"https://doi.org/10.1080/03461238.2024.2390087","url":null,"abstract":"In this paper, we study two schemes of pooled annuity funds: pools with and without fund managers. In the pool without managers, there are no artificial rules or management cost and we introduce Na...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"71 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142212622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Last passage times for generalized drawdown processes with applications 有应用的广义缩减过程的最后通过时间
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-08-13 DOI: 10.1080/03461238.2024.2387037
Shu Li, Zijia Wang
{"title":"Last passage times for generalized drawdown processes with applications","authors":"Shu Li, Zijia Wang","doi":"10.1080/03461238.2024.2387037","DOIUrl":"https://doi.org/10.1080/03461238.2024.2387037","url":null,"abstract":"In recent years, there has been a significant amount of work dedicated to the study of the generalized drawdown process with its extensive applications in insurance and finance. While existing stud...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"278 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142212627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Money illusion in retirement savings with a minimum guarantee 最低保证退休储蓄中的金钱幻觉
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-07-30 DOI: 10.1080/03461238.2024.2383864
Catherine Donnelly, Gaurav Khemka, William Lim
{"title":"Money illusion in retirement savings with a minimum guarantee","authors":"Catherine Donnelly, Gaurav Khemka, William Lim","doi":"10.1080/03461238.2024.2383864","DOIUrl":"https://doi.org/10.1080/03461238.2024.2383864","url":null,"abstract":"We investigate the impact of money illusion on the investment strategy and retirement outcomes of pre-retirees. Money illusion refers to the tendency of individuals to overlook the effects of infla...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"22 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940682","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cashflow-driven investment beyond expectations 现金流驱动的投资超出预期
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-07-25 DOI: 10.1080/03461238.2024.2377962
Sergio Alvares Maffra, Teemu Pennanen
{"title":"Cashflow-driven investment beyond expectations","authors":"Sergio Alvares Maffra, Teemu Pennanen","doi":"10.1080/03461238.2024.2377962","DOIUrl":"https://doi.org/10.1080/03461238.2024.2377962","url":null,"abstract":"This paper presents a computationally tractable optimization model for cashflow-driven investment where the aim is to find asset portfolios whose future payouts cover given liability payments as we...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"69 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141776090","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Ensemble distributional forecasting for insurance loss reserving 保险损失准备金的集合分布预测
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-07-03 DOI: 10.1080/03461238.2024.2365392
Benjamin Avanzi, Yanfeng Li, Bernard Wong, Alan Xian
{"title":"Ensemble distributional forecasting for insurance loss reserving","authors":"Benjamin Avanzi, Yanfeng Li, Bernard Wong, Alan Xian","doi":"10.1080/03461238.2024.2365392","DOIUrl":"https://doi.org/10.1080/03461238.2024.2365392","url":null,"abstract":"Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects ...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"59 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On technical bases and surplus in life insurance 关于人寿保险的技术基础和盈余
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-06-19 DOI: 10.1080/03461238.2024.2363183
Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald
{"title":"On technical bases and surplus in life insurance","authors":"Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald","doi":"10.1080/03461238.2024.2363183","DOIUrl":"https://doi.org/10.1080/03461238.2024.2363183","url":null,"abstract":"We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regu...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"9 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mutual aid insurance with a three-state Markov chain 采用三态马尔可夫链的互助保险
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-06-18 DOI: 10.1080/03461238.2024.2364730
Ruotian Ti, Ximin Rong, Cheng Tao, Hui Zhao
{"title":"Mutual aid insurance with a three-state Markov chain","authors":"Ruotian Ti, Ximin Rong, Cheng Tao, Hui Zhao","doi":"10.1080/03461238.2024.2364730","DOIUrl":"https://doi.org/10.1080/03461238.2024.2364730","url":null,"abstract":"Mutual aid insurance is a collective type of insurance where the policyholders share the potential losses or risks that they may face. In this paper, we establish a mathematical structure for mutua...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"243 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141609386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing 什么是公平？保险定价中的代理歧视与人口差异
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-06-18 DOI: 10.1080/03461238.2024.2364741
Mathias Lindholm, Ronald Richman, Andreas Tsanakas, Mario V. Wüthrich
{"title":"What is fair? Proxy discrimination vs. demographic disparities in insurance pricing","authors":"Mathias Lindholm, Ronald Richman, Andreas Tsanakas, Mario V. Wüthrich","doi":"10.1080/03461238.2024.2364741","DOIUrl":"https://doi.org/10.1080/03461238.2024.2364741","url":null,"abstract":"Discrimination and fairness are major concerns in algorithmic models. This is particularly true in insurance, where protected policyholder attributes are not allowed to be used for insurance pricin...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"2018 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Spatial natural hedging: a general framework with application to the mortality of U.S. states 空间自然对冲：应用于美国各州死亡率的总体框架
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-06-18 DOI: 10.1080/03461238.2024.2365977
Kyran Cupido, Petar Jevtić, Luca Regis, Kenneth Q. Zhou
{"title":"Spatial natural hedging: a general framework with application to the mortality of U.S. states","authors":"Kyran Cupido, Petar Jevtić, Luca Regis, Kenneth Q. Zhou","doi":"10.1080/03461238.2024.2365977","DOIUrl":"https://doi.org/10.1080/03461238.2024.2365977","url":null,"abstract":"It is well known that coupling life and death benefits within an insurance portfolio may be a beneficial longevity risk reduction technique, especially when policies are underwritten in the same ge...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"10 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Enhanced gradient boosting for zero-inflated insurance claims and comparative analysis of CatBoost, XGBoost, and LightGBM 针对零膨胀保险理赔的增强梯度提升以及 CatBoost、XGBoost 和 LightGBM 的对比分析
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2024-06-10 DOI: 10.1080/03461238.2024.2365390
Banghee So
{"title":"Enhanced gradient boosting for zero-inflated insurance claims and comparative analysis of CatBoost, XGBoost, and LightGBM","authors":"Banghee So","doi":"10.1080/03461238.2024.2365390","DOIUrl":"https://doi.org/10.1080/03461238.2024.2365390","url":null,"abstract":"The property and casualty (P&C) insurance industry faces challenges in developing claim predictive models due to the highly right-skewed distribution of positive claims with excess zeros. To addres...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"44 23 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","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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