Insurance Mathematics & Economics最新文献_第10页

Bootstrap consistency for the Mack bootstrap Mack 引导系统的引导一致性

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-17 DOI: 10.1016/j.insmatheco.2024.01.001

Julia Steinmetz, Carsten Jentsch

{"title":"Bootstrap consistency for the Mack bootstrap","authors":"Julia Steinmetz, Carsten Jentsch","doi":"10.1016/j.insmatheco.2024.01.001","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2024.01.001","url":null,"abstract":"<div><p>Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the reserve, it does not allow to identify the whole distribution of the reserve. For this purpose, Mack's model is usually equipped with a tailor-made bootstrap procedure. Although widely used in practice to estimate the reserve risk, no theoretical bootstrap consistency results exist that justify this approach.</p><p>To fill this gap in the literature, we adopt the framework proposed by <span>Steinmetz and Jentsch (2022)</span> to derive asymptotic theory in Mack's model. By splitting the reserve into two parts corresponding to process and estimation uncertainty, this enables - for the first time - a rigorous investigation also of the validity of the Mack bootstrap. We prove that the (conditional) distribution of the asymptotically dominating process uncertainty part is correctly mimicked by Mack's bootstrap if the parametric family of distributions of the individual development factors is correctly specified. Otherwise, this is not the case. In contrast, the (conditional) distribution of the estimation uncertainty part is generally not correctly captured by Mack's bootstrap. To tackle this, we propose an alternative Mack-type bootstrap, which is designed to capture also the distribution of the estimation uncertainty part.</p><p>We illustrate our findings by simulations and show that the newly proposed alternative Mack bootstrap performs superior to the Mack bootstrap.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 83-121"},"PeriodicalIF":1.9,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000015/pdfft?md5=e2632068fb5d1d788be9187b10f3152b&pid=1-s2.0-S0167668724000015-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139493477","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

Moral hazard in loss reduction and state-dependent utility 减少损失中的道德风险与国家效用

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-17 DOI: 10.1016/j.insmatheco.2024.01.003

S. Hun Seog , Jimin Hong

{"title":"Moral hazard in loss reduction and state-dependent utility","authors":"S. Hun Seog , Jimin Hong","doi":"10.1016/j.insmatheco.2024.01.003","DOIUrl":"10.1016/j.insmatheco.2024.01.003","url":null,"abstract":"<div><p>We consider a state-dependent utility model with a binary loss distribution, wherein moral hazard occurs in loss reduction. The findings are as follows: First, partial insurance is optimal under state-dependent utility. Second, the optimal insurance coverage and effort level are affected by the relative sizes of the marginal utilities in the loss and no-loss states. (i) If the marginal utilities are equal between the two states, the optimal coverage and effort are identical to those in the state-independent case. (ii) If the marginal utility in the loss state is greater (less) than that in the no-loss state, the optimal coverage and effort cannot simultaneously be less (greater) than those in the state-independent case. Both coverage and effort can be greater (less) than those in the state-independent case when state dependency is sufficiently large. The compensating variation decreases (increases) as state dependency increases if state dependency is sufficiently large. Although the effect of state dependency on the sensitivity of effort with respect to coverage is unclear, sensitivity decreases (increases) when the loss distribution function is convex in effort.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 151-168"},"PeriodicalIF":1.9,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515182","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

Bowley solution under the reinsurer's default risk 再保险公司违约风险下的 Bowley 解决方案

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-11 DOI: 10.1016/j.insmatheco.2024.01.002

Yanhong Chen , Ka Chun Cheung , Yiying Zhang

引用次数: 0

Tweedie multivariate semi-parametric credibility with the exchangeable correlation 特威迪多变量半参数可信度与可交换相关性

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-11 DOI: 10.1016/j.insmatheco.2023.12.007

Himchan Jeong

引用次数: 0

Probability equivalent level for CoVaR and VaR CoVaR 和 VaR 的概率等效水平

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-10 DOI: 10.1016/j.insmatheco.2023.12.004

Patricia Ortega-Jiménez , Franco Pellerey , Miguel A. Sordo , Alfonso Suárez-Llorens

{"title":"Probability equivalent level for CoVaR and VaR","authors":"Patricia Ortega-Jiménez , Franco Pellerey , Miguel A. Sordo , Alfonso Suárez-Llorens","doi":"10.1016/j.insmatheco.2023.12.004","DOIUrl":"10.1016/j.insmatheco.2023.12.004","url":null,"abstract":"<div><p><span><span>For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For this reason, conditional VaRs that capture contagion effects and tail dependence among risks, such as the Co-Value-at-Risk (CoVaR), have been defined and studied in recent literature. In this paper we study conditions that guarantee, in the </span>bivariate<span> setting, the ordering between VaR and CoVaR, allowing to understand which, among the two measures, is more or less conservative than the other. By doing this, we introduce the notion of Probability Equivalent Level of CoVaR-VaR (PELCoV), which is the VaR value of the observable variable for which VaR and CoVaR coincide, and we study some of its properties such as uniqueness and </span></span>boundedness<span>. In particular, we show that its properties are entirely explained by the copula that describes the dependence between risks, and we provide a list of copulas for which PELCoV is explicitly available, and for which it is or not bounded. A practical applicative example is also presented.</span></p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 22-35"},"PeriodicalIF":1.9,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139413593","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

Variance insurance contracts 差异保险合同

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-09 DOI: 10.1016/j.insmatheco.2023.12.005

Yichun Chi , Xun Yu Zhou , Sheng Chao Zhuang

引用次数: 0

Adjusted higher-order expected shortfall 调整后的高阶预期缺口

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-02 DOI: 10.1016/j.insmatheco.2023.12.006

Zhenfeng Zou , Taizhong Hu

引用次数: 0

Longevity hedge effectiveness using socioeconomic indices 利用社会经济指数的长寿套期保值效果

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-01-01 DOI: 10.1016/j.insmatheco.2023.11.008

Malene Kallestrup-Lamb , Nicolai Søgaard Laursen

引用次数: 0

On the factors determining the health profiles and care needs of institutionalized elders 院舍長者的健康狀況及護理需要的決定因素

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-12-19 DOI: 10.1016/j.insmatheco.2023.12.003

Aleksandr Shemendyuk , Joël Wagner

{"title":"On the factors determining the health profiles and care needs of institutionalized elders","authors":"Aleksandr Shemendyuk , Joël Wagner","doi":"10.1016/j.insmatheco.2023.12.003","DOIUrl":"10.1016/j.insmatheco.2023.12.003","url":null,"abstract":"<div><p>In many developed countries, population aging raises a number of issues related to the organization and financing of long-term care. While the determinants of the overall burden and cost of care are well understood, the organization of institutionalized long-term care must meet the needs of the elderly. One way to optimize management is to use information on health problems to assess the infrastructure needed, the qualifications of staff, and the allocation of new entrants. In this research, we determine the typical health profiles of institutionalized elderly using novel longitudinal data from nursing homes in the canton of Geneva, Switzerland. Our data contain comprehensive information on health factors such as impairments of psychological and sensory functions, levels of limitations, and pathologies for 21549 individuals covering the period from 1996 to 2018. First, we perform a spectral clustering algorithm and determine the profiles of the institutionalized individuals. Then, we use multinomial logistic regression to study the effects of the factors that determine these health profiles. Our main findings include eight typical health profiles: the largest group consists of the most “healthy” individuals, who, on average, require the least amount of help with their daily needs and who stay in the institution the longest. We show that, in contrast to age at admission and gender, the limitations and the set of pathologies are relevant factors in determining the profile. Our study sheds light on the typical structures of elderly' health profiles, which can be used by institutions to organize their resources and by insurance companies to derive profile-based products that provide additional insurance coverage in case of special needs.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 223-241"},"PeriodicalIF":1.9,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668723001051/pdfft?md5=9fa9c22ea3b9d4e00aa79ee918e148c8&pid=1-s2.0-S0167668723001051-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028941","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

A family of variability measures based on the cumulative residual entropy and distortion functions 基于累积残差熵和失真函数的可变性测量系列

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-12-13 DOI: 10.1016/j.insmatheco.2023.12.002

Georgios Psarrakos , Abdolsaeed Toomaj , Polyxeni Vliora

引用次数: 0