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Stackelberg reinsurance chain under model ambiguity 模型模糊下的Stackelberg再保险链
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-09-07 DOI: 10.1080/03461238.2023.2255399
Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
{"title":"Stackelberg reinsurance chain under model ambiguity","authors":"Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou","doi":"10.1080/03461238.2023.2255399","DOIUrl":"https://doi.org/10.1080/03461238.2023.2255399","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78516253","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: 1
Isotonic recalibration under a low signal-to-noise ratio 低信噪比下的等压再校准
3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-08-17 DOI: 10.1080/03461238.2023.2246743
Mario V. Wüthrich, Johanna Ziegel
{"title":"Isotonic recalibration under a low signal-to-noise ratio","authors":"Mario V. Wüthrich, Johanna Ziegel","doi":"10.1080/03461238.2023.2246743","DOIUrl":"https://doi.org/10.1080/03461238.2023.2246743","url":null,"abstract":"Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts. Often, regression models are not auto-calibrated. We propose to apply isotonic recalibration to a given regression model to restore auto-calibration. Our main result proves that under a low signal-to-noise ratio, this isotonic recalibration step leads to an explainable pricing system because the resulting isotonically recalibrated regression function has a low complexity.","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136337408","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
Stackelberg differential game for insurance under model ambiguity: general divergence 模型模糊下保险的Stackelberg微分对策:一般散度
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-08-09 DOI: 10.1080/03461238.2022.2145233
Jingyi Cao, Dongchen Li, V. Young, B. Zou
{"title":"Stackelberg differential game for insurance under model ambiguity: general divergence","authors":"Jingyi Cao, Dongchen Li, V. Young, B. Zou","doi":"10.1080/03461238.2022.2145233","DOIUrl":"https://doi.org/10.1080/03461238.2022.2145233","url":null,"abstract":"We solve a Stackelberg differential game between a buyer and a seller of insurance policies, in which both parties are ambiguous about the insurable loss. Both the buyer and seller maximize their expected wealth, plus a penalty term that reflects ambiguity, over an exogenous random horizon. Under a mean-variance premium principle and a general divergence that measures the players' ambiguity, we obtain the Stackelberg equilibrium semi-explicitly. Our main results are that the optimal variance loading equals zero and that the seller's robust optimal premium rule equals the net premium under the buyer's optimally distorted probability. Both of these important results generalize those we obtained in [Cao, J., Li, D., Young, V. R. & Zou, B. (2022). Stackelberg differential game for insurance under model ambiguity. Insurance: Mathematics and Economics, 106, 128–145.] under squared-error divergence.","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73176778","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: 6
Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees 具有保证最低到期收益和定期费用的可变年金的估值
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-07-31 DOI: 10.1080/03461238.2023.2241193
Meiqiao Ai, Yunyun Wang, Zhimin Zhang, Dan Zhu
{"title":"Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees","authors":"Meiqiao Ai, Yunyun Wang, Zhimin Zhang, Dan Zhu","doi":"10.1080/03461238.2023.2241193","DOIUrl":"https://doi.org/10.1080/03461238.2023.2241193","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79727708","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
Pareto-optimal insurance with an upper limit on the insurer's exposure 具有保险公司风险上限的帕累托最优保险
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-07-26 DOI: 10.1080/03461238.2023.2239533
Oma Coke, Mario Ghossoub, Mi Zhu
{"title":"Pareto-optimal insurance with an upper limit on the insurer's exposure","authors":"Oma Coke, Mario Ghossoub, Mi Zhu","doi":"10.1080/03461238.2023.2239533","DOIUrl":"https://doi.org/10.1080/03461238.2023.2239533","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81855767","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
Soft splicing model: bridging the gap between composite model and finite mixture model 软拼接模型:弥补了复合模型与有限混合模型之间的差距
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-07-13 DOI: 10.1080/03461238.2023.2234914
Tsz Chai Fung, Himchan Jeong, George Tzougas
{"title":"Soft splicing model: bridging the gap between composite model and finite mixture model","authors":"Tsz Chai Fung, Himchan Jeong, George Tzougas","doi":"10.1080/03461238.2023.2234914","DOIUrl":"https://doi.org/10.1080/03461238.2023.2234914","url":null,"abstract":"<p>Considerations of both the heavy-tail phenomenon and multi-modality of a claim severity distribution have been challenging in the actuarial literature and practices. In this article, we develop a novel class of soft splicing models that bridges the gap between pre-existing methods for handling the issues above. The proposed method is flexible enough to incorporate tail-heaviness and multi-modality with computational efficiency and nests finite mixture models and splicing models as its special and/or limiting cases. The soft splicing model is also more robust in extrapolating the tail-heaviness of distribution subject to model contamination. According to simulation studies and real insurance claim data analyses, it is shown that the proposed soft splicing model provides superior goodness-of-fit and more accurate estimates of tail risk measures than both finite mixture and composite models.</p>","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138528630","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
Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract 预期寿命与健康预期寿命的贝叶斯联合建模与退休村合同的估价
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-07-12 DOI: 10.1080/03461238.2023.2232816
Jackie Li
{"title":"Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract","authors":"Jackie Li","doi":"10.1080/03461238.2023.2232816","DOIUrl":"https://doi.org/10.1080/03461238.2023.2232816","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73997702","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
Optimal reinsurance contract in a Stackelberg game framework: a view of social planner Stackelberg博弈框架下的最优再保险契约:社会计划者的视角
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-06-07 DOI: 10.1080/03461238.2023.2220219
Xia Han, D. Landriault, Danping Li
{"title":"Optimal reinsurance contract in a Stackelberg game framework: a view of social planner","authors":"Xia Han, D. Landriault, Danping Li","doi":"10.1080/03461238.2023.2220219","DOIUrl":"https://doi.org/10.1080/03461238.2023.2220219","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78981965","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: 1
Time-series forecasting of mortality rates using transformer 基于变压器的死亡率时序预测
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-05-30 DOI: 10.1080/03461238.2023.2218859
Jun Wang, Lihong Wen, Lu Xiao, Chaojie Wang
{"title":"Time-series forecasting of mortality rates using transformer","authors":"Jun Wang, Lihong Wen, Lu Xiao, Chaojie Wang","doi":"10.1080/03461238.2023.2218859","DOIUrl":"https://doi.org/10.1080/03461238.2023.2218859","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81267752","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
An insurer's optimal strategy towards a new independent business 保险公司对新独立业务的最优策略
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-05-12 DOI: 10.1080/03461238.2023.2209858
Yichun Chi, Yuxia Huang, K. S. Tan
{"title":"An insurer's optimal strategy towards a new independent business","authors":"Yichun Chi, Yuxia Huang, K. S. Tan","doi":"10.1080/03461238.2023.2209858","DOIUrl":"https://doi.org/10.1080/03461238.2023.2209858","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.8,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72540471","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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