Insurance Mathematics & Economics最新文献

Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework 均值-方差框架下异质信念的动态再保险设计

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2025-12-30 DOI: 10.1016/j.insmatheco.2025.103207

Junyi Guo , Xia Han , Hao Wang

{"title":"Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework","authors":"Junyi Guo , Xia Han , Hao Wang","doi":"10.1016/j.insmatheco.2025.103207","DOIUrl":"10.1016/j.insmatheco.2025.103207","url":null,"abstract":"<div><div>This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and introducing an incentive compatibility constraint to address moral hazard. The insurer’s surplus process is modeled using the classical Cramér-Lundberg risk model, with the option to invest in a risk-free asset. To solve the extended Hamilton-Jacobi-Bellman (HJB) system, we apply the partitioned domain optimization technique, transforming the infinite-dimensional optimization problem into a finite-dimensional one determined by several key parameters. The resulting optimal reinsurance contracts are more complex than the standard proportional and excess-of-loss contracts commonly studied in the mean-variance literature with homogeneous beliefs. By further assuming specific forms of belief heterogeneity, we derive the parametric solutions and obtain a clear optimal equilibrium solution. Finally, we compare our results with models where the insurer and reinsurer share identical beliefs or where the incentive compatibility constraint is relaxed. Numerical examples are provided to illustrate the impacts of belief heterogeneity and the incentive compatibility constraint on optimal reinsurance strategies.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103207"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145928592","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 demand for insurance with ambiguous recovery rate 赔偿率模糊的保险需求

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-01 DOI: 10.1016/j.insmatheco.2025.103209

Yichun Chi , Yuxia Huang , Sheng Chao Zhuang

{"title":"The demand for insurance with ambiguous recovery rate","authors":"Yichun Chi , Yuxia Huang , Sheng Chao Zhuang","doi":"10.1016/j.insmatheco.2025.103209","DOIUrl":"10.1016/j.insmatheco.2025.103209","url":null,"abstract":"<div><div>It is not uncommon for insurance contracts to fail performing as intended. In practice, the default recovery rate is rather difficult to be evaluated precisely by insureds at the inception of the insurance contract. Thus, in this paper we assume ambiguous recovery rates and study optimal insurance demand for an insured. Under the insured’s identifiable smooth ambiguity preference, we derive conditions for the optimality of full insurance, partial insurance, or no insurance. In particular, we find that the introduction of ambiguity on the recovery rate raises the trigger level for full insurance to be optimal under actuarially fair contract pricing. We further carry out comparative statics to analyze the effect of the change in the degree of the insured’s ambiguity aversion or ambiguity level on the insurance demand. The insurance demand is reduced for a higher degree of ambiguity aversion or greater ambiguity, if certain conditions are imposed on the insurance pricing and the insured’s risk preference and ambiguity preference. We also examine the impact of the insured’s initial wealth, and find that the ambiguity reinforces the wealth effect when her coefficient of relative risk aversion is less than one.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103209"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145928596","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 future of mortality – mortality forecasting by extrapolation of deaths curve evolution patterns 死亡率的未来——死亡曲线演化模式外推法预测死亡率

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-02-20 DOI: 10.1016/j.insmatheco.2026.103232

Matthias Börger , Martin Genz , Jochen Ruß

{"title":"The future of mortality – mortality forecasting by extrapolation of deaths curve evolution patterns","authors":"Matthias Börger , Martin Genz , Jochen Ruß","doi":"10.1016/j.insmatheco.2026.103232","DOIUrl":"10.1016/j.insmatheco.2026.103232","url":null,"abstract":"<div><div>A variety of mortality models can be used to project future mortality. However, the parameters of most of these models lack a clear demographic interpretation. Hence, the resulting projections may be demographically implausible in the sense that trends in key demographic statistics are not extrapolated in a reasonable way. When demographers make predictions on future mortality, they typically focus on one or few relevant demographic statistics related to certain aspects of the mortality evolution. However, they do not derive comprehensive mortality forecasts as required for actuarial purposes. This article aims to close the gap between these forecasting approaches.</div><div>To this end, we establish a new deterministic mortality model which can be used for best estimate and scenario forecasts. We model the deaths curve, i.e. the age-at-death distribution, and derive forecasts based on the extrapolation of statistics that have a clear demographic interpretation. The four key statistics of the model are those from the classification framework of <span><span>Börger et al. (2018)</span></span>. The design of our model makes sure that forecasts for the immediate future of the deaths curve are consistent with the most recent trends of all demographically relevant statistics. Moreover, expert opinions with respect to the future trends of certain demographically interpretable statistics can easily be incorporated – in particularly for the farther future where a pure extrapolation of historic trends might lead to implausible results. We present a possible implementation of the model and provide case studies that illustrate how the model can be applied.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103232"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147384601","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

Probabilistic loss reserving prediction via denoising diffusion model 基于去噪扩散模型的概率损失保留预测

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-03 DOI: 10.1016/j.insmatheco.2025.103208

Shiying Gao, Yuning Zhang, Ruikun Li, S.T. Boris Choy, Junbin Gao

引用次数: 0

Scanning the horizon: integrating expert knowledge into the calibration of stochastic mortality models 扫描地平线：将专家知识整合到随机死亡率模型的校准中

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-02-04 DOI: 10.1016/j.insmatheco.2026.103230

Richard G.A. Faragher , Arne Freimann , Jochen Ruß

{"title":"Scanning the horizon: integrating expert knowledge into the calibration of stochastic mortality models","authors":"Richard G.A. Faragher , Arne Freimann , Jochen Ruß","doi":"10.1016/j.insmatheco.2026.103230","DOIUrl":"10.1016/j.insmatheco.2026.103230","url":null,"abstract":"<div><div>Expert knowledge from many different disciplines has the potential to inform on developments that could significantly increase or decrease human life expectancy. However, such knowledge is typically not considered in longevity risk management, since stochastic mortality models are generally only calibrated to historical mortality patterns, i.e., fully data-driven.</div><div>Following an interdisciplinary approach, we develop a methodology how expert knowledge on the (uncertainty of the) future of human life expectancy can be integrated into the calibration of stochastic mortality models. We argue that this approach is particularly relevant if there are “low probability / high impact” scenarios on the horizon, that are considered plausible by experts in their respective fields but are “virtually impossible” in models calibrated to historical data. Based on current research on treatments that might be effective in slowing down ageing, we motivate and propose an exemplary plausible scenario for the future development of human life expectancy. We assign a potential impact on life expectancy as well as a plausible probability of occurrence to the scenario and present a method for calibrating stochastic mortality models so that the resulting projections are in line with these parameters. In a case study, we analyse and compare the longevity risk in an exemplary annuity portfolio and show that this so-called “driver-driven” calibration can lead to a structurally different assessment of longevity risk than the traditional “data-driven” approach, especially with regard to tail risks.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103230"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146173655","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

Stochastic optimal control of Lévy tax processes with bailouts 带救助的lsamy税收过程的随机最优控制

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-27 DOI: 10.1016/j.insmatheco.2026.103226

Dalal Al Ghanim , Ronnie Loeffen , Alexander R. Watson

引用次数: 0

PowerBurr regression model for heavy-tailed loss data and its application 重尾损失数据的PowerBurr回归模型及其应用

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-23 DOI: 10.1016/j.insmatheco.2026.103224

Yu Liu, Shengwang Meng

{"title":"PowerBurr regression model for heavy-tailed loss data and its application","authors":"Yu Liu, Shengwang Meng","doi":"10.1016/j.insmatheco.2026.103224","DOIUrl":"10.1016/j.insmatheco.2026.103224","url":null,"abstract":"<div><div>Statistical modeling of heavy-tailed loss data is a crucial foundation for catastrophe risk management. The PowerBurr distribution, as a novel multi-parameter heavy-tailed distribution, has promising applications in catastrophe risk management. This paper explores the statistical properties of the PowerBurr distribution in depth, including its special distributional forms under specific parameter settings and the limiting distributions at the boundaries of the parameter space. We further extend the concept to a family of PowerBurr distributions and analyze the tail properties of various distributions within this family. Building upon this foundation, the present study constructs a general linear regression model by specifying functional relationships between the reparameterized scale and shape parameters of the PowerBurr distribution and a set of explanatory variables. Methods for parameter estimation and model validation are provided. The commonly used Lomax regression model is a special case of this regression model. Finally, the PowerBurr-based regression model is applied to earthquake loss data in China and compared with regression models based on other heavy-tailed distributions. The results demonstrate that the new model improves the model’s goodness-of-fit and predictive performance, providing a new and effective tool for modeling heavy-tailed loss data.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103224"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146078328","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 annuitization and asset allocation with fixed transaction costs 具有固定交易成本的最优年金化与资产配置

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.insmatheco.2026.103223

Junyi Guo , Xiaoqing Liang , Yang Shen , Jie Xiong

{"title":"Optimal annuitization and asset allocation with fixed transaction costs","authors":"Junyi Guo , Xiaoqing Liang , Yang Shen , Jie Xiong","doi":"10.1016/j.insmatheco.2026.103223","DOIUrl":"10.1016/j.insmatheco.2026.103223","url":null,"abstract":"<div><div>In this paper, we examine optimal annuitization and asset allocation strategies for a utility-maximizing retiree with constant absolute risk aversion (CARA). The retiree can invest in a market consisting of one risky asset and one risk-free asset and is also allowed to purchase life annuities, with each purchase of life annuities incurring a fixed transaction cost. By using a stochastic control approach and duality techniques, we find that the optimal annuitization strategy is a barrier strategy involving a lower and an upper barrier on the retiree’s wealth. Once the wealth reaches the upper barrier, the retiree purchases additional annuity income to reduce the wealth to the lower one. Furthermore, we provide several numerical examples to illustrate our results and analyze the sensitivity of various parameters. We also compare these optimal strategies with those in the constrained Merton model and the scenario without transaction costs. Numerical results indicate that transaction costs cannot only postpone the retiree’s decision on annuitizing additional wealth, but also result in underspending and slow drawdown rate in the decumulation phases, which provides further explanations for the annuity puzzle, retirement-consumption puzzle and retirement-savings puzzle. Finally, we conduct perturbation analysis and find an asymptotic approximation of the value function when the transaction fee is small.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103223"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146078329","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

A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models 齐次风险模型的De Vylder和Goovaerts猜想的完整证明

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2025-12-25 DOI: 10.1016/j.insmatheco.2025.103205

Bara Kim , Jeongsim Kim , Jerim Kim

引用次数: 0

The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance 抵押贷款违约与提前还款联合模型及其在抵押贷款保险中的应用

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-29 DOI: 10.1016/j.insmatheco.2026.103227

Lan Bu , Fang Wang , Jingping Yang

{"title":"The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance","authors":"Lan Bu , Fang Wang , Jingping Yang","doi":"10.1016/j.insmatheco.2026.103227","DOIUrl":"10.1016/j.insmatheco.2026.103227","url":null,"abstract":"<div><div>In a portfolio of loans, default and prepayment are two competing events, and only the time and type of the first event to occur can be observed. Modeling the competing risks is crucial for mortgage insurance. This paper focuses on modeling the joint distribution of the time to default and the time to prepayment by considering two components: subdistributions of the time to default and time to prepayment, and a copula to model their dependence structure, where the subdistributions are estimated from the portfolio data, and the copula is chosen by concentrating on some optimal criteria.</div><div>For this purpose, we discuss the compatibility of a copula with the given subdistributions, and provide a method for deriving the marginal distributions of default and prepayment from the subdistributions and a compatible copula. Moreover, two criteria are proposed for finding a copula compatible with the given subdistributions. For estimating the subdistributions, a bilinear model is proposed. The asymptotic properties of the model’s estimators are proved. Additionally, a simulation study demonstrates the consistency of the estimators by considering both large and small sample cases. Finally, an empirical study is performed to estimate the subdistributions with static and time-varying covariates, and to identify compatible copulas under the proposed criteria. The application of the proposed method is further highlighted for determining premiums of mortgage insurance.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103227"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146173657","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