Insurance Mathematics & Economics最新文献

IME’s editorial board, IME’s editorial office and the IME award 2025 IME编辑委员会，IME编辑部和2025年IME奖

IF 1.8 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-07-01 Epub Date: 2026-05-21 DOI: 10.1016/j.insmatheco.2026.103264

Andrew J.G. Cairns, Roger J.A. Laeven, Sheldon Lin, Qihe Tang

引用次数: 0

Distributionally robust optimization under ambiguity across two layers 跨两层模糊情况下的分布鲁棒优化

IF 1.8 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-07-01 Epub Date: 2026-06-11 DOI: 10.1016/j.insmatheco.2026.103271

Yingyin Lu, Qihe Tang

引用次数: 0

Optimal benefits, contributions, and asset allocation for a PAYG system with reserve fund under equity, longevity, and unemployment risks 股票风险、寿命风险和失业风险下公积金现收现付制度的最优收益、缴费和资产配置

IF 1.8 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-07-01 Epub Date: 2026-06-30 DOI: 10.1016/j.insmatheco.2026.103273

Sander van Eekelen, Frank van Berkum, Torsten Kleinow, Michel Vellekoop

引用次数: 0

Unraveling the time dynamics of life annuities 揭示终身年金的时间动态

IF 1.8 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-07-01 Epub Date: 2026-06-29 DOI: 10.1016/j.insmatheco.2026.103274

Jesús-Adrián Alvarez, Andrés M. Villegas

{"title":"Unraveling the time dynamics of life annuities","authors":"Jesús-Adrián Alvarez, Andrés M. Villegas","doi":"10.1016/j.insmatheco.2026.103274","DOIUrl":"10.1016/j.insmatheco.2026.103274","url":null,"abstract":"<div><div>Mortality and interest rates evolve together, dynamically influencing the values of life annuities and actuarial reserves. This paper introduces differential equations that simultaneously quantify (i) changes in mortality and interest rates, and (ii) the sensitivity of annuities and reserves to these changes, measured through entropies and durations.</div><div>We illustrate our equations by examining the long-term development of life annuity prices using data for the United Kingdom from 1841 to 2021. The analysis reveals how financial and longevity risks have evolved over time, uncovering detailed patterns across interest rate terms, age groups, and causes of death. It also highlights a clear interplay between the financial and longevity risk, where the latter one is at times masked by periods of elevated financial volatility.</div><div>Our equations explicitly capture the joint dynamics of mortality and interest rates, enhancing the understanding of the changing economic-demographic environment and its impact on life annuity values. The main contribution of this paper is providing actuaries with practical tools to better understand the evolving risks in annuity portfolios and actuarial reserves using real-world data.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"129 ","pages":"Article 103274"},"PeriodicalIF":1.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148540031","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

On the determinants of intensity and duration in institutional long-term care in Switzerland: New insights from random forest modeling 关于瑞士机构长期护理的强度和持续时间的决定因素：随机森林模型的新见解

IF 1.8 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-07-01 Epub Date: 2026-06-20 DOI: 10.1016/j.insmatheco.2026.103272

Lucien Lorenz, Joël Wagner

{"title":"On the determinants of intensity and duration in institutional long-term care in Switzerland: New insights from random forest modeling","authors":"Lucien Lorenz, Joël Wagner","doi":"10.1016/j.insmatheco.2026.103272","DOIUrl":"10.1016/j.insmatheco.2026.103272","url":null,"abstract":"<div><div>This study examines the intensity of care and duration of stay among elderly residents in long-term care institutions in the canton of Geneva, Switzerland. We use a dataset of 26 060 individuals spanning 1998–2024 and described by 55 covariates, including demographic information, medical records, and quality-of-life indicators. Building on prior work based on classical regression methods, we propose a three-step machine learning approach: a random forest to identify the key determinants of each outcome and estimate their relative contributions, density-based clustering using the forest’s distance measure, and a classification tree to identify the drivers of cluster membership. We identify ten distinct clusters for intensity of care and five for duration of stay. The level of dependence is the dominant predictor across both outcomes, with effects most pronounced at high dependence levels. Quality-of-life indicators prove stronger predictors than medical diagnoses; in particular, gender outperforms primary diagnosis in predicting duration of stay. The random forest outperforms classical models in predictive accuracy, though it yields a lower C-index, consistent with the homogeneity of the institutionalized population. Cluster-level estimates of total care volume per resident profile provide actionable guidance for planning infrastructure, healthcare personnel, and financial resources, relevant to policymakers, insurers, care institutions, and individuals alike.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"129 ","pages":"Article 103272"},"PeriodicalIF":1.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148540033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Contract structure and risk aversion in longevity risk transfers 长寿风险转移中的契约结构与风险规避

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-05-01 Epub Date: 2026-04-25 DOI: 10.1016/j.insmatheco.2026.103251

David Landriault , Bin Li , Hong Li , Yuanyuan Zhang

引用次数: 0

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