Insurance Mathematics & Economics最新文献

Forecasting and backtesting gradient allocations of expected shortfall 预测和回溯测试预期短缺的梯度分配

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-07 DOI: 10.1016/j.insmatheco.2025.103130

Takaaki Koike , Cathy W.S. Chen , Edward M.H. Lin

{"title":"Forecasting and backtesting gradient allocations of expected shortfall","authors":"Takaaki Koike , Cathy W.S. Chen , Edward M.H. Lin","doi":"10.1016/j.insmatheco.2025.103130","DOIUrl":"10.1016/j.insmatheco.2025.103130","url":null,"abstract":"<div><div>Capital allocation is a procedure for quantifying the contribution of each source of risk to aggregated risk. The gradient allocation rule, also known as the Euler principle, is a prevalent rule of capital allocation under which the allocated capital captures the diversification benefit of the marginal risk as a component of the overall risk. This paper concentrates on Expected Shortfall (ES) as a regulatory standard and focuses on the gradient allocations of ES, also called ES contributions (ESCs). We present the comprehensive treatment of backtesting the tuple of ESCs in the framework of the traditional and comparative backtests based on the concepts of joint identifiability and multi-objective elicitability. For robust forecast evaluation against the choice of scoring function, we also extend the Murphy diagram, a graphical tool to check whether one forecast dominates another under a class of scoring functions, to the case of ESCs. Finally, leveraging the recent concept of multi-objective elicitability, we propose a novel semiparametric model for forecasting dynamic ESCs based on a compositional regression model. In an empirical analysis of stock returns we evaluate and compare a variety of models for forecasting dynamic ESCs and demonstrate the solid performance of the proposed model.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103130"},"PeriodicalIF":1.9,"publicationDate":"2025-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144588381","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

Risk exchange under infinite-mean Pareto models 无穷均值帕累托模型下的风险交换

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-05 DOI: 10.1016/j.insmatheco.2025.103131

Yuyu Chen , Paul Embrechts , Ruodu Wang

引用次数: 0

A usage-based insurance (UBI) pricing model considering customer retention 考虑客户保留的基于使用的保险（UBI）定价模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-05 DOI: 10.1016/j.insmatheco.2025.103132

Hong-Jie Li , Xing-Gang Luo , Zhong-Liang Zhang , Shen-Wei Huang , Wei Jiang

引用次数: 0

Experience rating in the Cramér-Lundberg model cram<s:1> - lundberg模型中的经验评级

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-25 DOI: 10.1016/j.insmatheco.2025.103128

Melanie Averhoff, Julie Thøgersen

引用次数: 0

Care-dependent target benefit pension plan with minimum liability gap 照顾依赖的目标福利养老金计划与最小的责任差距

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-25 DOI: 10.1016/j.insmatheco.2025.103127

Ruotian Ti , Ximin Rong , Cheng Tao , Hui Zhao

{"title":"Care-dependent target benefit pension plan with minimum liability gap","authors":"Ruotian Ti , Ximin Rong , Cheng Tao , Hui Zhao","doi":"10.1016/j.insmatheco.2025.103127","DOIUrl":"10.1016/j.insmatheco.2025.103127","url":null,"abstract":"<div><div>With the progressive aging of populations, the significance of long-term care (LTC) services in aging societies is growing. In this paper, we integrate LTC services with pensions, studying a stochastic model for a care-dependent target benefit pension (TBP) plan. The plan members' target benefit rates are set according to the care cost for three different health states, i.e., healthy, mildly disabled and severely disabled states. The pension liability evaluation is defined as the potential compensation to all active and retired members, under the assumption of the pension fund default. The objective of minimizing the benefit gap and liability gap is achieved by addressing a stochastic optimal control problem. Then, we derive analytic solutions for optimal investment and benefit payment strategies by employing the corresponding Hamilton-Jacobi-Bellman (HJB) equation. Numerical results show that under a fixed aggregate contribution of the care-dependent TBP, a slight decrease in the target benefit for healthy retirees leads to a significant increase for retirees in both mildly and severely disabled states, thereby improving equity for disabled retirees. Furthermore, we compare the care-dependent TBP with a traditional TBP and a care-dependent tontine in terms of risk sharing, financial stability, and intergenerational equity, highlighting the advantages of the care-dependent TBP.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103127"},"PeriodicalIF":1.9,"publicationDate":"2025-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144491368","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

Data-rich economic forecasting for actuarial applications 精算应用中数据丰富的经济预测

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-23 DOI: 10.1016/j.insmatheco.2025.103126

Felix Zhu , Yumo Dong , Fei Huang

{"title":"Data-rich economic forecasting for actuarial applications","authors":"Felix Zhu , Yumo Dong , Fei Huang","doi":"10.1016/j.insmatheco.2025.103126","DOIUrl":"10.1016/j.insmatheco.2025.103126","url":null,"abstract":"<div><div>With the advent of Big Data, machine learning, and artificial intelligence (AI) technologies, actuaries can now develop advanced models in a data-rich environment to achieve better forecasting performance and provide added value in many applications. Traditionally, economic forecasting for actuarial applications is developed using econometric models based on small datasets including only the target variables (usually around 4-6) and their lagged variables. This paper explores the value of economic forecasting using deep learning with a big dataset, Federal Reserve Bank of St Louis (FRED) database, consisting of 121 economic variables and their lagged variables covering periods before, during, and after the global financial crisis (GFC), and during COVID (2019-2021). Four target variables considered in this paper include inflation rate, interest rate, wage rate, and unemployment rate, which are common variables for social security funds forecasting. The proposed model “PCA-Net” combines dimension reduction via principal component analysis (PCA) and Neural Networks (including convolutional neural network (CNN), Long Short-Term Memory (LSTM), and fully-connected layers). PCA-Net generally outperforms the benchmark models based on vector autoregression (VAR) and Wilkie-like models, although the magnitude of its advantage varies across economic variables and forecast horizons. Using conformal prediction, this paper provides prediction intervals to quantify the prediction uncertainty. The model performance is demonstrated using a social security fund forecasting application.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103126"},"PeriodicalIF":1.9,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144518474","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

As-if-Markov reserves for reserve-dependent payments 对依赖于储备的支付的似马尔可夫准备金

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-23 DOI: 10.1016/j.insmatheco.2025.103129

Marcus C. Christiansen , Boualem Djehiche

引用次数: 0

Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility HARA效用下随机市场随机现金流下的稳健资产负债管理博弈

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-18 DOI: 10.1016/j.insmatheco.2025.103125

Ning Wang , Yumo Zhang

{"title":"Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility","authors":"Ning Wang , Yumo Zhang","doi":"10.1016/j.insmatheco.2025.103125","DOIUrl":"10.1016/j.insmatheco.2025.103125","url":null,"abstract":"<div><div>This paper investigates an optimal asset-liability management problem involving two strategically interactive managers with ambiguity aversion under a multivariate stochastic covariance model characterized by hybrid stochastic volatility and stochastic interest rates. Two ambiguity-averse managers participate in a financial market comprising a money market account, a market index, a stock, and zero-coupon bonds to enhance profits, where interest rates are determined via an affine model, which includes both the Cox–Ingersoll–Ross model and the Vasicek model as specific instances, while the market index and stock price are driven by a general class of non-Markovian multivariate stochastic covariance models. Moreover, the two competitive managers, subject to idiosyncratic liability commitments and influenced by the random nature of cash inflow or outflow in their investment decision making, have varying risk preferences described by the hyperbolic absolute risk aversion (HARA) utility function, with the power utility function as a special case. Each manager aims to develop a robust investment strategy to outperform their competitors by maximizing the expected terminal utility of the relative surplus in worst-case scenarios. A backward stochastic differential equation method coupled with the martingale optimality principle is used to solve this robust non-Markovian stochastic differential game, resulting in closed-form expressions for robust Nash equilibrium investment strategies, the density generator processes under worst-case probability measures, and the corresponding value functions. Finally, numerical examples are provided to illustrate their financial implications.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103125"},"PeriodicalIF":1.9,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144322309","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

Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option 最优估值可变年金保证终身提取利益与嵌入式充值选项

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-28 DOI: 10.1016/j.insmatheco.2025.103117

Budhi Arta Surya, Wawan Hafid Syaifudin

{"title":"Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option","authors":"Budhi Arta Surya, Wawan Hafid Syaifudin","doi":"10.1016/j.insmatheco.2025.103117","DOIUrl":"10.1016/j.insmatheco.2025.103117","url":null,"abstract":"<div><div>This paper generalizes earlier works on the variable annuity guaranteed lifetime withdrawal benefits (VAGLWB) by introducing an embedded top-up option to the contract. This new feature/rider gives the policyholder an option to top-up the existing contract to a new one with larger withdrawal rate and reduced premium rate subject to paying a cost proportional to the current account value. The option is of American type which can be exercised at anytime prior to the maturity of the contract. In this work, we provide an analytical solution to the risk-neutral valuation for the VAGLWB with embedded top-up option from both policyholder's and insurer's perspective. From the perspective of policyholder, the valuation is formulated in terms of an optimal stopping problem of finding an exercise time of the option and the optimal account level at which the monetary value of the contract is maximized. The optimal solution to the stopping problem is derived under geometric Brownian motion dynamics of the equity price, the underlying investment vehicle of VAGLWB. The optimal value function (early exercise premium of the option) is given explicitly in terms of the confluent hypergeometric function satisfying both continuous and smooth pasting conditions. Furthermore, majorant and (super) harmonic properties of the value function are established to show the optimality of the solution. In the absence of top-up option, i.e., the new contract has equal withdrawal and premium rates with that of the existing contract, the results reduce to that of <span><span>Feng and Jing (2017)</span></span>. Valuation from the insurer's perspective is discussed using equivalence principle between insurer's liabilities and fee incomes to find the fair value of the new premium rate. Finally, numerical examples are provided to exemplify the main results.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103117"},"PeriodicalIF":1.9,"publicationDate":"2025-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144169222","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

The principle of a single big jump from the perspective of tail moment risk measure 从尾矩风险测度的角度分析了单次大跳跃的原理

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-28 DOI: 10.1016/j.insmatheco.2025.103118

Jinzhu Li

{"title":"The principle of a single big jump from the perspective of tail moment risk measure","authors":"Jinzhu Li","doi":"10.1016/j.insmatheco.2025.103118","DOIUrl":"10.1016/j.insmatheco.2025.103118","url":null,"abstract":"<div><div>Consider a financial or insurance system with a finite number of individual components. The famous principle of a single big jump (PSBJ) says that a system crisis occurs mainly due to a single but unusually large loss from some individual component. Most of literatures modeled the PSBJ through the tail probabilities of the largest risk and the total risk of the system. Different from the existing works, this paper is devoted to explore the PSBJ from a new perspective. We aim to establish the PSBJ based on a kind of risk measure defined via the tail moments of the related risks. Our study is mainly conducted under a widely used framework, in which the individual risks are pairwise asymptotically independent and have the distributions from the Fréchet or Gumbel max-domain of attraction. The asymptotic behavior of the tail mixed moments is also discussed in detail. The results obtained are applied to an optimal capital allocation problem based on a tail mean-variance model. A numerical study is given to illustrate the accuracy of our main asymptotic results. We also give a thorough discussion on some interesting theoretical properties regarding the PSBJ.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103118"},"PeriodicalIF":1.9,"publicationDate":"2025-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195362","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