Insurance Mathematics & Economics最新文献_第10页

Bivariate distribution regression with application to insurance data 二元分布回归及其在保险数据中的应用

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.08.005

Yunyun Wang , Tatsushi Oka , Dan Zhu

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引用次数: 0

Intergenerational actuarial fairness when longevity increases: Amending the retirement age 寿命增加时的代际精算公平性：修改退休年龄

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.08.007

Jorge M. Bravo , Mercedes Ayuso , Robert Holzmann , Edward Palmer

{"title":"Intergenerational actuarial fairness when longevity increases: Amending the retirement age","authors":"Jorge M. Bravo , Mercedes Ayuso , Robert Holzmann , Edward Palmer","doi":"10.1016/j.insmatheco.2023.08.007","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.08.007","url":null,"abstract":"<div><p>Continuous longevity improvements and population ageing have led countries to modify national public pension schemes by increasing standard and early retirement ages in a discretionary, scheduled, or automatic way, and making it harder for people to retire prematurely. To this end, countries have adopted alternative retirement age strategies, but our analyses show that the measures taken are often poorly designed and consequently misaligned with the pension scheme's ultimate goals. This paper discusses how to implement automatic indexation of the retirement age to life expectancy developments while respecting the principles of intergenerational actuarial fairness and neutrality among generations of the respective policy scheme design. With stable demographic conditions, we show in policy designs in which extended working lives translate into additional pension entitlements, the pension age must be automatically updated to keep the period in retirement constant. Alternatively, policy designs that pursue a fixed replacement rate are consistent with retirement age policies targeting a constant balance between active years in the workforce and years in retirement. Under conditions of population ageing, the statutory pension age will have to increase at a faster rate to meet the intergenerational equity criteria. The empirical strategy employed a Bayesian Model Ensemble approach to stochastic mortality modelling to address model risk and generate forecasts of intergenerationally and actuarially fair pension ages for 23 countries from 2000 to 2050. The findings show that the pension age increases needed to accommodate the effect of longevity developments on pay-as-you-go equilibrium and to reinstate equity between generations are sizeable and well beyond those employed and/or legislated in most countries. A new wave of pension reforms may be at the doorsteps.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"113 ","pages":"Pages 161-184"},"PeriodicalIF":1.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49851127","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 retirement savings over the life cycle: A deterministic analysis in closed form 生命周期中的最佳退休储蓄：封闭形式的确定性分析

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.05.010

Marcel Fischer , Bjarne Astrup Jensen , Marlene Koch

引用次数: 0

Corrigendum and addendum to “Range Value-at-Risk bounds for unimodal distributions under partial information” [Insurance: Math. Econ. 94 (2020) 9–24] “部分信息下单峰分布的范围-风险值边界”的勘误表和附录[保险:数学]。经济学。94 (2020)9-24]

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.06.004

Carole Bernard , Rodrigue Kazzi , Steven Vanduffel

引用次数: 0

Diversification quotients based on VaR and ES 基于VaR和ES的多元化商

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.08.006

Xia Han , Liyuan Lin , Ruodu Wang

引用次数: 1

Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model 复合Poisson盈余模型中损失发生时的条件平均风险分担

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.05.008

Michel Denuit , Christian Y. Robert

引用次数: 0

The Cramér-Lundberg model with a fluctuating number of clients 客户数量波动的Cramér-Lundberg模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.05.007

Peter Braunsteins , Michel Mandjes

引用次数: 0

Asymptotics for a time-dependent by-claim model with dependent subexponential claims 具有相依次指数索赔的含时索赔模型的渐近性

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.07.001

Meng Yuan , Dawei Lu

引用次数: 0

Optimal insurance design under mean-variance preference with narrow framing 窄框架下均值方差偏好下的最优保险设计

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.06.002

Xiaoqing Liang , Wenjun Jiang , Yiying Zhang

{"title":"Optimal insurance design under mean-variance preference with narrow framing","authors":"Xiaoqing Liang , Wenjun Jiang , Yiying Zhang","doi":"10.1016/j.insmatheco.2023.06.002","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.06.002","url":null,"abstract":"<div><p>In this paper, we study an optimal insurance design problem under mean-variance criterion by considering the local gain-loss utility of the net payoff of insurance, namely, narrow framing. We extend the existing results in the literature to the case where the decision maker has mean-variance preference with a constraint on the expected utility of the net payoff of insurance, where the premium is determined by the mean-variance premium principle. We first show the existence and uniqueness of the optimal solution to the main problem studied in the paper. We find that the optimal indemnity function involves a deductible provided that the safety loading imposed on the “mean part” of the premium principle is strictly positive. Our main result shows that narrow framing indeed reduces the demand for insurance. The explicit optimal indemnity functions are derived under two special local gain-loss utility functions – the quadratic utility function and the piecewise linear utility function. As a spin-off result, the Bowley solution is also derived for a Stackelberg game between the decision maker and the insurer under the quadratic local gain-loss utility function. Several numerical examples are presented to further analyze the effects of narrow framing on the optimal indemnity function as well as the interests of both parties.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"112 ","pages":"Pages 59-79"},"PeriodicalIF":1.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49875785","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

Valuation of general GMWB annuities in a low interest rate environment 在低利率环境下评估一般GMWB年金

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.07.003

Claudio Fontana, Francesco Rotondi

{"title":"Valuation of general GMWB annuities in a low interest rate environment","authors":"Claudio Fontana, Francesco Rotondi","doi":"10.1016/j.insmatheco.2023.07.003","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.07.003","url":null,"abstract":"<div><p>Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of an equity fund. In this paper, we consider the valuation of a general class of GMWB annuities, allowing for step-up, bonus and surrender features, taking also into account mortality risk and death benefits. When dynamic withdrawals are allowed, the valuation of GMWB annuities leads to a stochastic optimal control problem, which we address here by dynamic programming techniques. Adopting a Hull-White interest rate model, correlated with the equity fund, we propose an efficient tree-based algorithm. We perform a thorough analysis of the determinants of the market value of GMWB annuities and of the optimal withdrawal strategies. In particular, we study the impact of a low/negative interest rate environment. Our findings indicate that low/negative rates profoundly affect the optimal withdrawal behaviour and, in combination with step-up and bonus features, increase significantly the fair values of GMWB annuities, which can only be compensated by large management fees.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"112 ","pages":"Pages 142-167"},"PeriodicalIF":1.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49838186","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: 1