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Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models 最优股息和注资：扩展到制度转换模型的一般莱维模型
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-09-06 DOI: 10.1016/j.insmatheco.2024.08.007
Dante Mata López , Kei Noba , José-Luis Pérez , Kazutoshi Yamazaki
{"title":"Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models","authors":"Dante Mata López ,&nbsp;Kei Noba ,&nbsp;José-Luis Pérez ,&nbsp;Kazutoshi Yamazaki","doi":"10.1016/j.insmatheco.2024.08.007","DOIUrl":"10.1016/j.insmatheco.2024.08.007","url":null,"abstract":"<div><p>This paper studies a general Lévy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in the single-regime setting with a concave terminal payoff function. This is then applied to show the optimality of a Markov-modulated double barrier strategy in the regime-switching model via contraction mapping arguments. We solve these for a general Lévy model with both positive and negative jumps, greatly generalizing the existing results on spectrally one-sided models.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 210-225"},"PeriodicalIF":1.9,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142241354","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 unified theory of decentralized insurance 分散式保险的统一理论
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-09-05 DOI: 10.1016/j.insmatheco.2024.08.008
Runhuan Feng , Ming Liu , Ning Zhang
{"title":"A unified theory of decentralized insurance","authors":"Runhuan Feng ,&nbsp;Ming Liu ,&nbsp;Ning Zhang","doi":"10.1016/j.insmatheco.2024.08.008","DOIUrl":"10.1016/j.insmatheco.2024.08.008","url":null,"abstract":"<div><p>Decentralized insurance can be used to describe risk sharing mechanisms under which participants trade risks among each other as opposed to passing risks mostly to an insurer in traditional centralized insurance. There are a wide range of decentralized practices in all kinds of forms developed around the world, including online mutual aid in East Asia, takaful in the Middle East, peer-to-peer insurance in the West, international catastrophe risk pooling by African, Caribbean and Central America countries, etc. There is also a rich literature of risk sharing in academia that offers theoretical bases of other decentralized mechanisms. This work presents a unified mathematical framework to describe the commonalities and the relationships of all these seemingly different business in practice and theoretical models in academia. Such a framework provides a fertile ground for the comparison of existing practices and the design and engineering of hybrid and innovative models.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 157-178"},"PeriodicalIF":1.9,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142164507","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
Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price 具有生存概率异质性和内生年金价格的均衡唯一性
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-30 DOI: 10.1016/j.insmatheco.2024.08.004
Sau-Him Paul Lau , Yinan Ying , Qilin Zhang
{"title":"Uniqueness of equilibrium with survival probability heterogeneity and endogenous annuity price","authors":"Sau-Him Paul Lau ,&nbsp;Yinan Ying ,&nbsp;Qilin Zhang","doi":"10.1016/j.insmatheco.2024.08.004","DOIUrl":"10.1016/j.insmatheco.2024.08.004","url":null,"abstract":"<div><p>When annuitants' survival probabilities are heterogeneous, the equilibrium annuity price is affected by their annuitization choices, which further depend on the annuity price. Given this mutual dependence, it is generally difficult to establish uniqueness of the equilibrium. Based on similar expressions appearing in several annuity and insurance models, we obtain two results in an annuity model with heterogeneity in survival probability only. First, the equilibrium annuity price is always unique if the annuitization function is multiplicatively separable in survival probability and annuity price. Second, the equilibrium is unique for more general annuitization functions, provided that a sufficient condition on the distribution of survival probabilities holds. Many distributions, including the uniform, normal and gamma distributions, satisfy this condition.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 146-156"},"PeriodicalIF":1.9,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142136699","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
Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: A Poisson-mixed approach for predictive analysis 基于空间 copula 的第三方汽车保险索赔频率和索赔规模建模：用于预测分析的泊松混合方法
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-26 DOI: 10.1016/j.insmatheco.2024.08.005
Vahid Tadayon , Mitra Ghanbarzadeh
{"title":"Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: A Poisson-mixed approach for predictive analysis","authors":"Vahid Tadayon ,&nbsp;Mitra Ghanbarzadeh","doi":"10.1016/j.insmatheco.2024.08.005","DOIUrl":"10.1016/j.insmatheco.2024.08.005","url":null,"abstract":"<div><p>The number and amount of claims, referred to as the sum of claims or the total claim/loss amounts in insurance literature, are crucial pieces of information for insurance companies. The analysis of these numerical values can provide essential insights for targeted planning. This study explores a spatial approach for jointly modeling claim frequency and claim size. We assume that the number of accidents follows a Poisson distribution with a variable mean, and this mean, in turn, has a distribution commonly known as a mixed distribution. The spatial dependence structure within the observations is then modeled using an appropriate copula. By estimating the parameters of the proposed model, we draw prediction maps for both claim frequencies and total claim size. These maps will contribute to the prediction of future claim dynamics, offering insurers the opportunity to refine their market strategies and enhance their overall risk management approach based on evolving spatial patterns.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 119-129"},"PeriodicalIF":1.9,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142087171","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
Multinomial backtesting of distortion risk measures 扭曲风险度量的多项式回溯测试
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-26 DOI: 10.1016/j.insmatheco.2024.08.003
Sören Bettels, Sojung Kim, Stefan Weber
{"title":"Multinomial backtesting of distortion risk measures","authors":"Sören Bettels,&nbsp;Sojung Kim,&nbsp;Stefan Weber","doi":"10.1016/j.insmatheco.2024.08.003","DOIUrl":"10.1016/j.insmatheco.2024.08.003","url":null,"abstract":"<div><p>We extend the scope of risk measures for which backtesting methods are available by proposing a new approach for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our backtest in numerical case studies.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 130-145"},"PeriodicalIF":1.9,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000933/pdfft?md5=d10d76a23b42df236c2f13a2c00fa5fc&pid=1-s2.0-S0167668724000933-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142122326","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
Blended insurance scheme: A synergistic conventional-index insurance mixture 混合保险计划：传统保险与指数保险的协同混合体
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-22 DOI: 10.1016/j.insmatheco.2024.08.002
Jinggong Zhang
{"title":"Blended insurance scheme: A synergistic conventional-index insurance mixture","authors":"Jinggong Zhang","doi":"10.1016/j.insmatheco.2024.08.002","DOIUrl":"10.1016/j.insmatheco.2024.08.002","url":null,"abstract":"<div><p>Conventional indemnity-based insurance (“conventional insurance”) and index-based insurance (“index insurance”) represent two primary insurance types, each harboring distinct advantages depending on specific circumstances. This paper proposes a novel blended insurance whose payout is a mixture of the two, to achieve enhanced risk mitigation and cost efficiency. We present the product design framework that employs a multi-output neural network (NN) model to determine both the triggering type and the index-based payout level. The proposed framework is then applied to an empirical case involving soybean production coverage in Iowa. Our results demonstrate this blended insurance could generally outperform both conventional and index insurance in enhancing policyholders' utility.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 93-105"},"PeriodicalIF":1.9,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142041085","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 mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation 关于混合分数泊松过程的随机死亡率模型：精算估值中长程依赖性的校准和实证分析
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-14 DOI: 10.1016/j.insmatheco.2024.08.001
Haoran Jiang, Zhehao Zhang, Xiaojun Zhu
{"title":"Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation","authors":"Haoran Jiang,&nbsp;Zhehao Zhang,&nbsp;Xiaojun Zhu","doi":"10.1016/j.insmatheco.2024.08.001","DOIUrl":"10.1016/j.insmatheco.2024.08.001","url":null,"abstract":"<div><p>Recently, many studies have adopted the fractional stochastic mortality process in characterising the long-range dependence (LRD) feature of mortality dynamics, while there are still fewer appropriate non-Gaussian fractional models to describe it. We propose a stochastic mortality process driven by a mixture of Brownian motion and modified fractional Poisson process to capture the LRD of mortality rates. The survival probability under this new stochastic mortality model keeps flexibility and consistency with existing affine-form mortality models, which makes the model convenient in evaluating mortality-linked products under the market-consistent method. The formula of survival probability also considers the historical information from survival data, which enables the model to capture historical health records of lives. The LRD feature is reflected by our proposed model in the empirical analysis, which includes the calibration and prediction of survival curves based on recent generation data in Japan and the UK. Finally, the consequent empirical analysis of annuity pricing illustrates the difference of whether this feature is involved in actuarial valuation.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 64-92"},"PeriodicalIF":1.9,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142011986","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
Value-enhancing modeling of surrenders and lapses 退保和失效的增值建模
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-14 DOI: 10.1016/j.insmatheco.2024.07.004
Hsiao-Tzu Huang , Yawen Hwang , Linus Fang-Shu Chan , Chenghsien Jason Tsai
{"title":"Value-enhancing modeling of surrenders and lapses","authors":"Hsiao-Tzu Huang ,&nbsp;Yawen Hwang ,&nbsp;Linus Fang-Shu Chan ,&nbsp;Chenghsien Jason Tsai","doi":"10.1016/j.insmatheco.2024.07.004","DOIUrl":"10.1016/j.insmatheco.2024.07.004","url":null,"abstract":"<div><p>Voluntary terminations of life insurance policies mean customer churns that usually lead to losses. Accurate predictions of voluntary terminations facilitate churn management, the valuation of life insurance policies, and the (asset-liability) management of life insurers. We use real-world data with adequate explanatory variables to evaluate the performance of three machine learning methods relative to the performance of three statistical methods in predicting voluntary terminations. Moreover, we decompose voluntary terminations into surrenders and lapses and find that some factors used to predict surrenders differ from those used to predict lapses. Then, we establish a two-stage model for insurers to take cost-effective actions to reduce the propensities of surrenders and lapses. This model outperforms conventional ones in terms of the resulting NPV (net present value).</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 48-63"},"PeriodicalIF":1.9,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141990376","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 premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach 具有不完全信息的竞争性随机保险市场中的最优保费定价：贝叶斯博弈论方法
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-05 DOI: 10.1016/j.insmatheco.2024.07.006
Fotios Mourdoukoutas , Tim J. Boonen , Bonsoo Koo , Athanasios A. Pantelous
{"title":"Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach","authors":"Fotios Mourdoukoutas ,&nbsp;Tim J. Boonen ,&nbsp;Bonsoo Koo ,&nbsp;Athanasios A. Pantelous","doi":"10.1016/j.insmatheco.2024.07.006","DOIUrl":"10.1016/j.insmatheco.2024.07.006","url":null,"abstract":"<div><p>This paper examines a stochastic one-period insurance market with incomplete information. The aggregate amount of claims follows a compound Poisson distribution. Insurers are assumed to be exponential utility maximizers, with their degree of risk aversion forming their private information. A premium strategy is defined as a mapping between risk-aversion types and premium rates. The optimal premium strategies are denoted by the pure-strategy Bayesian Nash equilibrium, whose existence and uniqueness are demonstrated under specific conditions on the insurer-specific demand functions. Boundary and monotonicity properties for equilibrium premium strategies are derived.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 32-47"},"PeriodicalIF":1.9,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141941731","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
On the effects of public subsidies for severe and mild dependency on long-term care insurance 重度和轻度依赖性公共补贴对长期护理保险的影响
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-08-05 DOI: 10.1016/j.insmatheco.2024.07.007
Christophe Courbage , Cornel Oros
{"title":"On the effects of public subsidies for severe and mild dependency on long-term care insurance","authors":"Christophe Courbage ,&nbsp;Cornel Oros","doi":"10.1016/j.insmatheco.2024.07.007","DOIUrl":"10.1016/j.insmatheco.2024.07.007","url":null,"abstract":"<div><p>Extant theoretical work on long-term care (LTC) and its insurance has neglected an important fact: Benefits of LTC insurance as well as the amount of public subsidization of LTC can differ between severe and mild dependency. The objective of this paper is to revisit the study of optimal purchase of LTC insurance and its crowding out by public subsidies dissociating coverage for the risk of dependency in nursing home and of dependency at home. This study examines three prevalent models of LTC insurance indemnities commonly encountered in various LTC insurance markets. It also studies the presence of potential intergenerational moral hazard and shows how it drives the crowding out or crowding in of LTC insurance by public subsidization according to the insurance models and risk aversion behaviours.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"119 ","pages":"Pages 106-118"},"PeriodicalIF":1.9,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000842/pdfft?md5=7373ad076a44edacc7f6646a6828211d&pid=1-s2.0-S0167668724000842-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142076151","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
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