Scandinavian Actuarial Journal最新文献_第7页

Finite-time ruin probabilities using bivariate Laguerre series 利用二元拉盖尔级数的有限时间破产概率

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-07-12 DOI: 10.1080/03461238.2022.2089051

Eric C. K. Cheung, Hayden Lau, G. Willmot, J. Woo

引用次数: 4

An impossibility theorem on capital allocation 资本配置的不可能定理

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-07-08 DOI: 10.1080/03461238.2022.2094718

Yuanying Guan, A. Tsanakas, Ruodu Wang

引用次数: 3

Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms 最优股息带重新审视:基于梯度的方法和进化算法

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-07-04 DOI: 10.1080/03461238.2022.2147862

H. Albrecher, Brandon Garcia Flores

引用次数: 2

Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio 保险定价与层次结构的数据一个插图与工人赔偿保险投资组合

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-06-30 DOI: 10.1080/03461238.2022.2161413

Bavo D. C. Campo, Katrien Antonio

{"title":"Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio","authors":"Bavo D. C. Campo, Katrien Antonio","doi":"10.1080/03461238.2022.2161413","DOIUrl":"https://doi.org/10.1080/03461238.2022.2161413","url":null,"abstract":"Actuaries use predictive modeling techniques to assess the loss cost on a contract as a function of observable risk characteristics. State-of-the-art statistical and machine learning methods are not well equipped to handle hierarchically structured risk factors with a large number of levels. In this paper, we demonstrate the data-driven construction of an insurance pricing model when hierarchically structured risk factors, contract-specific as well as externally collected risk factors are available. We examine the pricing of a workers' compensation insurance product with a hierarchical credibility model [Jewell, W. S. (1975). The use of collateral data in credibility theory: A hierarchical model. Laxenburg: IIASA], Ohlsson's combination of a generalized linear and a hierarchical credibility model [Ohlsson, E. (2008). Combining generalized linear models and credibility models in practice. Scandinavian Actuarial Journal 2008(4), 301–314] and mixed models. We compare the predictive performance of these models and evaluate the effect of the distributional assumption on the target variable by comparing linear mixed models with Tweedie generalized linear mixed models. For our case-study the Tweedie distribution is well suited to model and predict the loss cost on a contract. Moreover, incorporating contract-specific risk factors in the model improves the predictive performance and the risk differentiation in our workers' compensation insurance portfolio.","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"5 1","pages":"853 - 884"},"PeriodicalIF":1.8,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87614655","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

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables 两个反单调随机变量和的风险值、风险值和上尾变换

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-06-30 DOI: 10.1080/03461238.2022.2092419

Hamza Hanbali, Daniël Linders, Jan Dhaene

引用次数: 4

Expert Kaplan–Meier estimation 专家Kaplan-Meier估计

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-06-27 DOI: 10.1080/03461238.2023.2197442

Martin Bladt, Christian Furrer

引用次数: 3

Some optimisation problems in insurance with a terminal distribution constraint 具有终端分配约束的保险优化问题

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-06-08 DOI: 10.1080/03461238.2022.2142156

Katia Colaneri, J. Eisenberg, Benedetta Salterini

{"title":"Some optimisation problems in insurance with a terminal distribution constraint","authors":"Katia Colaneri, J. Eisenberg, Benedetta Salterini","doi":"10.1080/03461238.2022.2142156","DOIUrl":"https://doi.org/10.1080/03461238.2022.2142156","url":null,"abstract":"In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a normal distribution with a given mean and a given variance. In both cases, the surplus of the insurance company is assumed to follow a Brownian motion with drift. First, we allow the insurance company to pay dividends and seek to maximise the expected discounted dividend payments or to minimise the ruin probability under the terminal distribution constraint. Here, we find explicit expressions for the optimal strategies in both cases, when the dividend strategy is updated at discrete points in time and continuously in time. Second, we let the insurance company buy a reinsurance contract for a pool of insured or a branch of business. We set the initial capital to zero in order to verify whether the premia are sufficient to buy reinsurance and to manage the risk of incoming claims in such a way that the desired risk characteristics are achieved at some terminal time without external help (represented, for instance, by a positive initial capital). We only allow for piecewise constant reinsurance strategies producing a normally distributed terminal surplus, whose mean and variance lead to a given Value at Risk or Expected Shortfall at some confidence level α. We investigate the question which admissible reinsurance strategy produces a smaller ruin probability, if the ruin-checks are due at discrete deterministic points in time.","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"91 4 1","pages":"655 - 678"},"PeriodicalIF":1.8,"publicationDate":"2022-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91039683","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

Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity 模型模糊条件下保险的Stackelberg微分对策的渐近分析

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-06-01 DOI: 10.1080/03461238.2022.2139632

Jingyi Cao, Dongchen Li, V. Young, B. Zou

引用次数: 5

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model 马尔可夫调制跳跃-扩散风险模型中的q标度函数、Banach收缩原理和最终破产概率

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-05-29 DOI: 10.1080/03461238.2022.2078221

Yuxuan Liu, Zhengjun Jiang, Yiwen Zhang

引用次数: 1

Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process 在风险过程的增量上施加安全水平的风险过程中的最优保险策略

IF 1.8 3区经济学

Scandinavian Actuarial Journal Pub Date : 2022-05-18 DOI: 10.1080/03461238.2022.2075282

A. Y. Golubin, V. Gridin

{"title":"Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process","authors":"A. Y. Golubin, V. Gridin","doi":"10.1080/03461238.2022.2075282","DOIUrl":"https://doi.org/10.1080/03461238.2022.2075282","url":null,"abstract":"The problem of designing an optimal insurance strategy in a modification of the risk process with discrete time is investigated. This model introduces stage-by-stage probabilistic constraints (Value-at-Risk (VaR) constraints) on the insurer's capital increments during each stage. Also, the set of admissible insurances is determined by a safety level reflecting a ‘good’ or ‘bad’ capital increment at the previous stage. The mathematical expectation of the insurer's final capital is used as the objective functional. The total loss of the insurer at each stage is modeled by the Gaussian (normal) distribution with parameters depending on a seded loss function (or, in other words, an insurance policy) selected. In contrast to traditional dynamic optimization models for insurance strategies, the proposed approach allows to construct the value functions (and hence the optimal insurance policies) by simply solving a sequence of static insurance optimization problems. It is demonstrated that the optimal seded loss function at each stage depends on the prescribed value of the safety level: it is either a stop-loss insurance or conditional deductible insurance having a discontinuous point. In order to reduce ex post moral hazard, we also investigate the case, where both parties in an insurance contract are obligated to pay more for a larger realization of loss. This leads to that the optimal seeded loss functions are either stop-loss insurances or unconditional deductible insurances.","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"110 1","pages":"20 - 37"},"PeriodicalIF":1.8,"publicationDate":"2022-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76237948","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