ASTIN Bulletin: The Journal of the IAA最新文献_第2页

Expressive mortality models through Gaussian process kernels 通过高斯过程核建立具有表现力的死亡率模型

ASTIN Bulletin: The Journal of the IAA Pub Date : 2024-02-15 DOI: 10.1017/asb.2023.39

Jimmy Risk, Mike Ludkovski

引用次数: 0

Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data 用于横截面和纵向索赔数量数据的远程信息处理组合精算神经网络

ASTIN Bulletin: The Journal of the IAA Pub Date : 2024-02-14 DOI: 10.1017/asb.2024.4

Francis Duval, Jean-Philippe Boucher, Mathieu Pigeon

{"title":"Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data","authors":"Francis Duval, Jean-Philippe Boucher, Mathieu Pigeon","doi":"10.1017/asb.2024.4","DOIUrl":"https://doi.org/10.1017/asb.2024.4","url":null,"abstract":"We present novel cross-sectional and longitudinal claim count models for vehicle insurance built upon the combinedd actuarial neural network (CANN) framework proposed by Wüthrich and Merz. The CANN approach combines a classical actuarial model, such as a generalized linear model, with a neural network. This blending of models results in a two-component model comprising a classical regression model and a neural network part. The CANN model leverages the strengths of both components, providing a solid foundation and interpretability from the classical model while harnessing the flexibility and capacity to capture intricate relationships and interactions offered by the neural network. In our proposed models, we use well-known log-linear claim count regression models for the classical regression part and a multilayer perceptron (MLP) for the neural network part. The MLP part is used to process telematics car driving data given as a vector characterizing the driving behavior of each insured driver. In addition to the Poisson and negative binomial distributions for cross-sectional data, we propose a procedure for training our CANN model with a multivariate negative binomial specification. By doing so, we introduce a longitudinal model that accounts for the dependence between contracts from the same insured. Our results reveal that the CANN models exhibit superior performance compared to log-linear models that rely on manually engineered telematics features.","PeriodicalId":501189,"journal":{"name":"ASTIN Bulletin: The Journal of the IAA","volume":"28 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139751354","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

Fair valuations of insurance policies under multiple risk factors: A flexible lattice approach 多重风险因素下保险单的公平估值：灵活的网格方法

ASTIN Bulletin: The Journal of the IAA Pub Date : 2024-02-12 DOI: 10.1017/asb.2024.5

Pierre Devolder, Emilio Russo, Alessandro Staino

{"title":"Fair valuations of insurance policies under multiple risk factors: A flexible lattice approach","authors":"Pierre Devolder, Emilio Russo, Alessandro Staino","doi":"10.1017/asb.2024.5","DOIUrl":"https://doi.org/10.1017/asb.2024.5","url":null,"abstract":"We propose a flexible lattice model to evaluate the fair value of insurance contracts embedding both financial and actuarial risk factors. Flexibility relies on the ability of the model to manage different specifications of the correlated processes governing interest rate, mortality, and fund dynamics, thus allowing the insurer to make the most appropriate choices. The model is also able to handle additional guarantees like a surrender opportunity for which explicit formulae are not available being it similar to an American derivative. The model discretizes mortality and interest rate dynamics through two different binomial lattices and then combines them into a bivariate tree characterized by the presence of four branches for each node. The probability of each branch is defined to replicate the correlation affecting the two processes. The bivariate model is useful to compute the value of survival zero coupon bond. When adding another source of risk, such as the fund dynamics for evaluating fund-linked insurance products, we model it through a bivariate tree that captures the influence of the interest rate on its drift term. Then, the mortality risk is embedded by defining a trivariate tree presenting eight branches emanating from each node with probabilities defined in order to capture the correlations of the processes. Extensive numerical experiments assess the model accuracy by considering some stylized policies, but the model application is not limited to them being it able to manage different contract specifications.","PeriodicalId":501189,"journal":{"name":"ASTIN Bulletin: The Journal of the IAA","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139751356","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

Optimal insurance with counterparty and additive background risk 具有对手风险和附加背景风险的最佳保险

ASTIN Bulletin: The Journal of the IAA Pub Date : 2024-02-02 DOI: 10.1017/asb.2024.3

Yanhong Chen

引用次数: 0

Microscopic traffic models, accidents, and insurance losses 微观交通模型、事故和保险损失

ASTIN Bulletin: The Journal of the IAA Pub Date : 2024-01-10 DOI: 10.1017/asb.2023.36

Sojung Kim, Marcel Kleiber, Stefan Weber

引用次数: 0

Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits 税收与投保人行为：保证最低积累额案例

ASTIN Bulletin: The Journal of the IAA Pub Date : 2024-01-05 DOI: 10.1017/asb.2023.38

Jennifer Alonso-García, Michael Sherris, Samuel Thirurajah, Jonathan Ziveyi

{"title":"Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits","authors":"Jennifer Alonso-García, Michael Sherris, Samuel Thirurajah, Jonathan Ziveyi","doi":"10.1017/asb.2023.38","DOIUrl":"https://doi.org/10.1017/asb.2023.38","url":null,"abstract":"This paper considers variable annuity (VA) contracts embedded with guaranteed minimum accumulation benefit (GMAB) riders when policyholder’s proceeds are taxed upon early surrender or maturity. These contracts promise the return of the premium paid by the policyholder, or a higher rolled-up value, at the end of the investment period. A partial differential equation valuation framework which exploits the numerical method of lines is used to determine fair fees that render the policyholder and insurer breakeven. Two taxation regimes are considered: one where capital gains are allowed to offset losses and a second where gains do not offset losses. Most insurance providers highlight the tax-deferred features of VA contracts. We show that the regime under which the insured is taxed significantly impacts prices. If losses are allowed to offset gains then this enhances the market, increasing the policyholder’s willingness to participate in the market compared to the case when losses are not allowed to offset gains. With fair fees from the policyholder’s perspective, we show that the net profit is generally positive for insurance companies offering the contract as a naked option without any hedge. We also show how investment policy, as reflected in the Sharpe ratio, impacts and interacts with policyholder persistency.","PeriodicalId":501189,"journal":{"name":"ASTIN Bulletin: The Journal of the IAA","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139103395","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

Pricing and hedging of longevity basis risk through securitisation 通过证券化对长寿基础风险进行定价和对冲

ASTIN Bulletin: The Journal of the IAA Pub Date : 2023-12-27 DOI: 10.1017/asb.2023.37

Fadoua Zeddouk, Pierre Devolder

引用次数: 0

Optimal performance of a tontine overlay subject to withdrawal constraints 受撤回约束的tontine覆盖层的最佳性能

ASTIN Bulletin: The Journal of the IAA Pub Date : 2023-11-17 DOI: 10.1017/asb.2023.35

Peter A. Forsyth, Kenneth R. Vetzal, Graham Westmacott

{"title":"Optimal performance of a tontine overlay subject to withdrawal constraints","authors":"Peter A. Forsyth, Kenneth R. Vetzal, Graham Westmacott","doi":"10.1017/asb.2023.35","DOIUrl":"https://doi.org/10.1017/asb.2023.35","url":null,"abstract":"We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65 and earns mortality credits while alive, but forfeits all wealth in the account upon death. The holder wants to maximize total withdrawals and minimize expected shortfall at the end of the retirement horizon of 30 years (i.e., it is assumed that the holder survives to age 95). The holder controls the amount withdrawn each year and the fraction of the retirement portfolio invested in stocks and bonds. The optimal controls are determined based on a parametric model fitted to almost a century of market data. The optimal control algorithm is based on dynamic programming and the solution of a partial integro differential equation (PIDE) using Fourier methods. The optimal strategy (based on the parametric model) is tested out of sample using stationary block bootstrap resampling of the historical data. In terms of an expected total withdrawal, expected shortfall (EW-ES) efficient frontier, the tontine overlay dramatically outperforms an optimal strategy (without the tontine overlay), which in turn outperforms a constant weight strategy with withdrawals based on the ubiquitous four per cent rule.","PeriodicalId":501189,"journal":{"name":"ASTIN Bulletin: The Journal of the IAA","volume":"55 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542132","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

Optimal commissions and subscriptions in mutual aid platforms 互助平台的最优佣金和订阅

ASTIN Bulletin: The Journal of the IAA Pub Date : 2023-07-04 DOI: 10.1017/asb.2023.21

Yixing Zhao, Yan Zeng

{"title":"Optimal commissions and subscriptions in mutual aid platforms","authors":"Yixing Zhao, Yan Zeng","doi":"10.1017/asb.2023.21","DOIUrl":"https://doi.org/10.1017/asb.2023.21","url":null,"abstract":"This paper investigates an operation mechanism for mutual aid platforms to develop more sustainably and profitably. A mutual aid platform is an online risk-sharing platform for risk-heterogeneous participants, and the platform extracts revenues by charging participants commission and subscription fees. A modeling framework is proposed to identify the optimal commissions and subscriptions for mutual aid platforms. Participants are divided into different types based on their loss probabilities and values derived from the platform. We present how these commissions and subscriptions should be set in a mutual aid plan to maximize the platform’s revenues. Our analysis emphasized the importance of accounting for risk heterogeneity in mutual aid platforms. Specifically, different types of participants should be charged different commissions/subscriptions depending on their loss probabilities and values on the platform. Participants’ shared costs should be determined based on their loss probabilities. Adverse selection occurs on the platform if participants with different risks pay the same shared costs. Our results also show that the platform’s maximum revenue will be lower if the platform charges the same fee to all participants. The numerical results of a practical example illustrate that the optimal commission/subscription scheme and risk-sharing rule result in considerable improvements in platform revenue over the current scheme implemented by the platform.","PeriodicalId":501189,"journal":{"name":"ASTIN Bulletin: The Journal of the IAA","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531204","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: 3

THE SAINT MODEL: A DECADE LATER 圣人模式:十年后

ASTIN Bulletin: The Journal of the IAA Pub Date : 2022-01-20 DOI: 10.1017/asb.2021.37

Søren F. Jarner, Snorre Jallbjørn

{"title":"THE SAINT MODEL: A DECADE LATER","authors":"Søren F. Jarner, Snorre Jallbjørn","doi":"10.1017/asb.2021.37","DOIUrl":"https://doi.org/10.1017/asb.2021.37","url":null,"abstract":"While many of the prevalent stochastic mortality models provide adequate short- to medium-term forecasts, only few provide biologically plausible descriptions of mortality on longer horizons and are sufficiently stable to be of practical use in smaller populations. Among the very first to address the issue of modelling adult mortality in small populations was the SAINT model, which has been used for pricing, reserving and longevity risk management by the Danish Labour Market Supplementary Pension Fund (ATP) for more than a decade. The lessons learned have broadened our understanding of desirable model properties from the practitioner’s point of view and have led to a revision of model components to address accuracy, stability, flexibility, explainability and credibility concerns. This paper serves as an update to the original version published 10 years ago and presents the SAINT model with its modifications and the rationale behind them. The main improvement is the generalization of frailty models from deterministic structures to a flexible class of stochastic models. We show by example how the SAINT framework is used for modelling mortality at ATP and make comparisons to the Lee-Carter model.","PeriodicalId":501189,"journal":{"name":"ASTIN Bulletin: The Journal of the IAA","volume":"155 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138511494","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