Insurance Mathematics & Economics最新文献

Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach 李-卡特族的鲁棒参数估计：一种概率主成分方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-10-01 DOI: 10.1016/j.insmatheco.2025.103164

Yiping Guo , Johnny Siu-Hang Li

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引用次数: 0

Individual survivor fund account: The impact of bequest motives on tontine participation 个人遗属基金账户：遗赠动机对长期参与的影响

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-10-01 DOI: 10.1016/j.insmatheco.2025.103161

Tak Wa Ng, Thai Nguyen

引用次数: 0

Dynamic investment-driven insurance pricing and optimal regulation 动态投资驱动的保险定价与最优监管

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-29 DOI: 10.1016/j.insmatheco.2025.103160

Bingzheng Chen , Zongxia Liang , Shunzhi Pang

引用次数: 0

Transformers-based least square Monte Carlo for solvency calculation in life insurance 基于变压器的寿险偿付能力最小二乘蒙特卡罗计算

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-29 DOI: 10.1016/j.insmatheco.2025.103163

Francesca Perla , Salvatore Scognamiglio , Andrea Spadaro , Paolo Zanetti

{"title":"Transformers-based least square Monte Carlo for solvency calculation in life insurance","authors":"Francesca Perla , Salvatore Scognamiglio , Andrea Spadaro , Paolo Zanetti","doi":"10.1016/j.insmatheco.2025.103163","DOIUrl":"10.1016/j.insmatheco.2025.103163","url":null,"abstract":"<div><div>The Solvency Capital Requirement (SCR), mandated by Solvency II, represents the capital insurers must hold to ensure solvency, calculated as the Value-at-Risk of the Net Asset Value at a 99.5% confidence level over a one-year period. While Nested Monte Carlo simulations are the gold standard for SCR calculation, they are highly resource-intensive. The Least Squares Monte Carlo (LSMC) method provides a more efficient alternative but faces challenges with high-dimensional data due to the curse of dimensionality. We introduce a novel extension of LSMC, incorporating advanced deep learning models, specifically Transformer models, which enhance traditional machine learning methods. This approach significantly improves the accuracy of approximating the complex relationship between insurance liabilities and risk factors, leading to a more accurate SCR calculation. Our extensive experiments on two insurance portfolios demonstrate the effectiveness of this transformer-based LSMC approach. Additionally, we show that Shapley values can be applied to achieve model explainability, which is crucial for regulatory compliance and for fostering the adoption of deep learning in the highly regulated insurance sector.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103163"},"PeriodicalIF":2.2,"publicationDate":"2025-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145219559","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective 基于动态衍生品的随机波动养老金投资：行为视角

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-18 DOI: 10.1016/j.insmatheco.2025.103158

Zheng Chen , Zhongfei Li , Yan Zeng , Yang Shen

引用次数: 0

Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility 具有随机利率和4/2随机波动率的保险稳健时一致Stackelberg微分对策

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-18 DOI: 10.1016/j.insmatheco.2025.103159

Hao Chang, Xiao-Jia Li

{"title":"Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility","authors":"Hao Chang, Xiao-Jia Li","doi":"10.1016/j.insmatheco.2025.103159","DOIUrl":"10.1016/j.insmatheco.2025.103159","url":null,"abstract":"<div><div>This paper studies the robust time-consistent investment-reinsurance problem for an insurer and a reinsurer under the framework of the Stackelberg stochastic differential game, in which the reinsurer is the leader and the insurer is the follower. The insurer hedges the claim risk by purchasing proportional reinsurance, and both the insurer and reinsurer can invest in a financial market consisting of a risk-free asset, a stock, and a rolling bond to manage risk. The interest rates and the volatility of stock price are assumed to obey the affine term-structure model and the 4/2 stochastic volatility model, respectively. Assume that both the insurer and the reinsurer are ambiguity-averse, and we establish the robust optimal control problem for an insurer and a reinsurer under the mean-variance criterion, respectively. Robust time-consistent investment and reinsurance strategies are determined by the Stackelberg equilibrium of the game, which considers the interests of both the insurer and the reinsurer and reflects the information asymmetry between the two parties. By employing the stochastic optimal control theory, we derive the robust time-consistent Stackelberg strategies. Finally, some sensitivity analysis and comparative analysis are presented to illustrate the results obtained.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103159"},"PeriodicalIF":2.2,"publicationDate":"2025-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145120295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Censored and extreme losses: Functional convergence and applications to tail goodness-of-fit 删减损失和极端损失：函数收敛和尾部拟合优度的应用

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-15 DOI: 10.1016/j.insmatheco.2025.103157

Martin Bladt, Christoffer Øhlenschlæger

引用次数: 0

Diversification effect in multivariate optimal risk transfer 多元最优风险转移中的分散效应

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-12 DOI: 10.1016/j.insmatheco.2025.103156

Vali Asimit , Tsz Chai Fung , Liang Peng , Fang Yang

{"title":"Diversification effect in multivariate optimal risk transfer","authors":"Vali Asimit , Tsz Chai Fung , Liang Peng , Fang Yang","doi":"10.1016/j.insmatheco.2025.103156","DOIUrl":"10.1016/j.insmatheco.2025.103156","url":null,"abstract":"<div><div>There are two main practical questions in the context of multivariate risk transfers. First, non-intragroup risk transfers raise the question of whether to purchase (re)insurance coverage for the aggregate risk or separately for each risk. Second, intragroup risk transfers are always challenged by regulators on whether there is a commercial purpose in such transactions, and therefore, insurance buyers must commercially validate their decisions. This paper investigates the diversification effect from the buyer's and the seller's perspectives. Our analysis for insurance buyers is based on the ratio between the optimal reinsurance risk margin cost for the total sum of losses and the sum of the individual optimal risk margin costs for each loss type. Because analytical comparison is infeasible, we develop a statistical inference method for this ratio and evaluate its finite sample performance through simulation. The seller's perspective is modeled via a new measure to assess the relative profitability of offering joint versus separate risk transfer contracts. The combined use of these measures enables both buyers and sellers to identify optimal risk transfer decisions that are commercially viable for both parties. Finally, we apply the proposed inference methods to the widely studied Danish fire loss dataset, illustrating the practical implications of our findings that equally apply to an intragroup or non-intragroup risk transfer.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103156"},"PeriodicalIF":2.2,"publicationDate":"2025-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145105072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach 瑞士老年人多病模式的发展：一种竞争风险建模方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-09 DOI: 10.1016/j.insmatheco.2025.103155

Laura Iveth Aburto Barrera , Anna Nicolet , Christophe Bagnoud , Joachim Marti , Joël Wagner

{"title":"Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach","authors":"Laura Iveth Aburto Barrera , Anna Nicolet , Christophe Bagnoud , Joachim Marti , Joël Wagner","doi":"10.1016/j.insmatheco.2025.103155","DOIUrl":"10.1016/j.insmatheco.2025.103155","url":null,"abstract":"<div><div>Multimorbidity, multiple long-term health conditions co-occurring in one individual, is a complex challenge that affects individuals, healthcare systems, and society. People with multimorbidity have a lower quality of life, higher mortality, and more complex needs and holistic treatments, resulting in higher health insurance and overall healthcare costs. Our study aims to investigate the progression of multimorbidity by identifying the main disease patterns in the adult population. Using an extensive dataset of health insurance claims from one of the largest Swiss health insurance companies, we categorize chronic long-term diseases into different pharmacy cost groups based on a medical classification system to assess the morbidity status of insureds. Developing on a competing risks framework, we use subdistribution hazard models adjusted for age effects to model key multimorbidity patterns, considering the most prevalent chronic diseases in the population. Our analysis focuses on estimating cumulative incidence functions for gender-specific trajectories. By shedding light on these patterns, our study contributes to a deeper understanding of multimorbidity dynamics and potential patient pathways. It provides information for decision-makers, financial planners, and healthcare professionals to enable optimal resource allocation and facilitate prevention and interventions tailored to the needs of various morbidity groups to reduce the disease burden and economic impact.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103155"},"PeriodicalIF":2.2,"publicationDate":"2025-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145026607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 optimal periodic dividend and risk control problem for an insurance company 保险公司最优分红与风险控制问题

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-02 DOI: 10.1016/j.insmatheco.2025.103154

Mark Kelbert, Harold A. Moreno-Franco

引用次数: 0