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Scandinavian Actuarial Journal最新文献

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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":"242 1","pages":"735 - 763"},"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":"24 1","pages":""},"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":"26 1","pages":""},"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":"43 1","pages":""},"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":"37 1","pages":""},"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":"00 1","pages":""},"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":"8 1","pages":""},"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":"30 1","pages":""},"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
On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model 在跳跃扩散风险模型中，在盈余降至零以下或达到安全水平之前，对时间和总索赔金额进行计算
IF 1.8 3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-05-10 DOI: 10.1080/03461238.2023.2208787
M. V. Boutsikas, D. Economides, E. Vaggelatou
{"title":"On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model","authors":"M. V. Boutsikas, D. Economides, E. Vaggelatou","doi":"10.1080/03461238.2023.2208787","DOIUrl":"https://doi.org/10.1080/03461238.2023.2208787","url":null,"abstract":"","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"27 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86793360","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
Managing cyber risk, a science in the making 管理网络风险，一门正在形成的科学
3区 经济学
Scandinavian Actuarial Journal Pub Date : 2023-04-25 DOI: 10.1080/03461238.2023.2191869
Michel Dacorogna, Marie Kratz
{"title":"Managing cyber risk, a science in the making","authors":"Michel Dacorogna, Marie Kratz","doi":"10.1080/03461238.2023.2191869","DOIUrl":"https://doi.org/10.1080/03461238.2023.2191869","url":null,"abstract":"Not a day goes by without news about a cyber attack. Fear spreads out and lots of wrong ideas circulate. This survey aims at showing how all these uncertainties about cyber can be transformed into manageable risk. After reviewing the main characteristics of cyber risk, we consider the three layers of cyber space: hardware, software and psycho-cognitive layer. We ask ourselves how is this risk different from others, how modelling has been tackled and needs to evolve, and what are the multi-facetted aspects of cyber risk management. This wide exploration pictures a science in the making and points out the questions to be solved for building a resilient society.","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"257 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135017445","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: 4
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