Insurance Mathematics & Economics最新文献_第2页

Estimating the impact of COVID-19 on mortality using granular data

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-09 DOI: 10.1016/j.insmatheco.2025.01.001

Frank van Berkum , Bertrand Melenberg , Michel Vellekoop

{"title":"Estimating the impact of COVID-19 on mortality using granular data","authors":"Frank van Berkum , Bertrand Melenberg , Michel Vellekoop","doi":"10.1016/j.insmatheco.2025.01.001","DOIUrl":"10.1016/j.insmatheco.2025.01.001","url":null,"abstract":"<div><div>We present an extension of the Li and Lee model to quantify mortality in five European countries during the COVID-19 pandemic. The first two layers specify pre-COVID mortality, with the first one modeling the common trend and the second one the country-specific deviation from the common trend. We calibrate this part of the model using annual data from 1970 to 2019 and then add a third layer to capture the country-specific impact of COVID-19 in 2020 and 2021. The calibration of the added layer is based on data with a higher granularity in time, since we analyze weekly instead of annual data. We also investigate whether estimates improve if we increase the granularity over the ages, utilizing data we obtained for single ages instead of the usual aggregated age groups. We complement our analysis by presenting mortality forecasts based on different possible scenarios for the future course of the pandemic and a backtest in which we compare predictions of Dutch mortality improvements from 2021 to 2022 against their realizations. The results from this backtest can be used to update mortality forecasts as new observations become available.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"121 ","pages":"Pages 144-156"},"PeriodicalIF":1.9,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143144368","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

Uncertainty in heteroscedastic Bayesian model averaging

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-03 DOI: 10.1016/j.insmatheco.2024.12.008

Sébastien Jessup , Mélina Mailhot , Mathieu Pigeon

引用次数: 0

Insurance loss modeling with gradient tree-boosted mixture models

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-03 DOI: 10.1016/j.insmatheco.2024.12.007

Yanxi Hou , Jiahong Li , Guangyuan Gao

{"title":"Insurance loss modeling with gradient tree-boosted mixture models","authors":"Yanxi Hou , Jiahong Li , Guangyuan Gao","doi":"10.1016/j.insmatheco.2024.12.007","DOIUrl":"10.1016/j.insmatheco.2024.12.007","url":null,"abstract":"<div><div>In actuarial practice, finite mixture model is one widely applied statistical method to model the insurance loss. Although the Expectation-Maximization (EM) algorithm usually plays an essential tool for the parameter estimation of mixture models, it suffers from other issues which cause unstable predictions. For example, feature engineering and variable selection are two crucial modeling issues that are challenging for mixture models as they involve several component models. Avoiding overfitting is another technical concern of the modeling method for the prediction of future losses. To address those issues, we propose an Expectation-Boosting (EB) algorithm, which implements the gradient boosting decision trees to adaptively increase the likelihood in the second step. Our proposed EB algorithm can estimate both the mixing probabilities and the component parameters non-parametrically and overfitting-sensitively, and further perform automated feature engineering, model fitting, and variable selection simultaneously, which fully explores the predictive power of feature space. Moreover, the proposed algorithm can be combined with parallel computation methods to improve computation efficiency. Finally, we conduct two simulation studies to show the good performance of the proposed algorithm and an empirical analysis of the claim amounts for illustration.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"121 ","pages":"Pages 45-62"},"PeriodicalIF":1.9,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143144746","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

Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.002

Huainian Zhu , Yumo Zhang

{"title":"Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models","authors":"Huainian Zhu , Yumo Zhang","doi":"10.1016/j.insmatheco.2024.12.002","DOIUrl":"10.1016/j.insmatheco.2024.12.002","url":null,"abstract":"<div><div>This paper explores a stochastic differential investment game problem with delay among <em>n</em> defined contribution pension fund managers. These managers are concerned with relative performance and model ambiguity and participate in an incomplete financial market comprising a risk-free asset, a market index, and a stock. The market index and stock are described by a class of potentially non-Markovian multivariate stochastic covariance models, with the market prices of risks dependent on a multivariate affine-diffusion factor process. Managers' wealth processes are modeled by stochastic differential delay equations, considering performance-related capital inflow and outflow. Each manager aims to maximize the expected exponential utility of his terminal wealth with delay relative to the averages among his competitors under the worst-case scenario of the alternative measures and seek a robust investment strategy. By employing a backward stochastic differential equation approach to address this robust non-Markovian control problem, we derive, in closed form, the robust Nash equilibrium investment strategies, the probability perturbation processes under the well-defined worst-case scenarios, and the corresponding value functions. The admissibility of robust equilibrium policies is confirmed under specific technical conditions. Finally, we conduct numerical examples to demonstrate the impact of model parameters on robust investment policies and derive economic interpretations from the results.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 236-268"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143133329","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 variable annuity portfolios using finite and infinite width neural networks

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.005

Hong Beng Lim , Nariankadu D. Shyamalkumar , Siyang Tao

{"title":"Valuation of variable annuity portfolios using finite and infinite width neural networks","authors":"Hong Beng Lim , Nariankadu D. Shyamalkumar , Siyang Tao","doi":"10.1016/j.insmatheco.2024.12.005","DOIUrl":"10.1016/j.insmatheco.2024.12.005","url":null,"abstract":"<div><div>Direct valuation of variable annuity guarantees relies on nested simulation, which is computationally costly. One way of feasibly valuing large portfolios relies on a two-step process in which such computationally intensive valuations are only performed on a set of carefully chosen representative policies. These values are then used to train a predictive model to obtain those for the remainder of the portfolio. This is known as the metamodeling framework. We empirically demonstrate that, when used as the predictive model, neural networks outperform state-of-the-art tree-based methods in terms of valuation accuracy. Further, we introduce Neural Tangent Kernel (NTK) regression as an easier-to-use and better-performing alternative to standard neural networks. NTK regression is equivalent to fitting the corresponding neural network with layers of infinite width, sidestepping the need to specify the number of nodes. As a kernel regression method, it is also easier to optimize, simplifying greatly the tuning process. We demonstrate that, in the setting of variable annuity valuation, NTK regression delivers significantly better empirical performance compared to finite-width networks.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 269-284"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143133330","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

Mean-variance longevity risk-sharing for annuity contracts

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.001

Hamza Hanbali

引用次数: 0

Optimal consumption and annuity equivalent wealth with mortality model uncertainty

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.11.009

Zhengming Li , Yang Shen , Jianxi Su

{"title":"Optimal consumption and annuity equivalent wealth with mortality model uncertainty","authors":"Zhengming Li , Yang Shen , Jianxi Su","doi":"10.1016/j.insmatheco.2024.11.009","DOIUrl":"10.1016/j.insmatheco.2024.11.009","url":null,"abstract":"<div><div>The classical <span><span>Yaari (1965)</span></span> lifecycle model (LCM) stands as a cornerstone in numerous modern retirement studies, especially in understanding the determinants of annuity demand. The LCM predicts a high annuity demand among individuals facing retirement, yet it is rarely the case in reality. This gap between economic theory and empirical reality, commonly referred to as the annuity puzzle, has spurred extensive research endeavors aimed at elucidating its economic and behavioral underpinnings.</div><div>In this paper, we examine the cause of low annuity demand through the angle of mortality model uncertainty. To this end, we advance Yaari's LCM via integrating a mortality perturbation analysis within a recursive utility framework. Through this approach, we derive the robust optimal consumption strategy and the corresponding annuity equivalent wealth. By utilizing stochastic dominance theory, we establish a series of monotonicity results about the annuity equivalent wealth with respect to ambiguity aversion parameter and other key parameters, such as interest, discount, and mortality rates. Our findings suggest that, among decision-makers with elasticity of intertemporal substitution less than unity, the economic value of an annuity is diminished for those who place greater confidence in their subjective mortality table. In other words, retirees may underestimate the additional utility gained from annuitization if they do not adequately consider the potential uncertainty surrounding their subjective mortality estimates.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 159-188"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143133101","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

Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.11.011

Félix Locas, Jean-François Renaud

引用次数: 0

Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.006

Xingchun Peng, Liuling Luo

{"title":"Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information","authors":"Xingchun Peng, Liuling Luo","doi":"10.1016/j.insmatheco.2024.12.006","DOIUrl":"10.1016/j.insmatheco.2024.12.006","url":null,"abstract":"<div><div>This paper studies an asset allocation problem of defined contribution (DC) pension with partial observation and minimum guarantee constraint. In the general framework of the financial market, the investment optimization problem under partial information is transformed into the problem under complete information by using the measure transformation approach. Then two auxiliary processes are introduced to tackle the non-self-financing property of the wealth process. With the mean-weighted variance-CVaR criterion, the optimal terminal surplus and the optimal investment strategy are derived by the martingale method. In order to obtain the concrete expression of the optimal investment strategy, we focus on a particular financial market where three kinds of assets are available, including the risk-free asset, the zero coupon bond and the stock. We assume that the return rate is modulated by a hidden Markov chain and the interest rate is described by the Vasicek model. The analytical expression of the optimal investment strategy is derived by adopting the Wonham filter theory and the Malliavin calculus. Finally, the numerical analysis related to the optimal terminal wealth, the optimal investment strategy and the values of risk measures is carried out to illustrate the theoretical results.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 302-324"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143133332","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

Target benefit pension with longevity risk and stochastic interest rate valuation

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.003

Cheng Tao , Ximin Rong , Hui Zhao

引用次数: 0