Insurance Mathematics & Economics最新文献_第2页

The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance 抵押贷款违约与提前还款联合模型及其在抵押贷款保险中的应用

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-29 DOI: 10.1016/j.insmatheco.2026.103227

Lan Bu , Fang Wang , Jingping Yang

{"title":"The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance","authors":"Lan Bu , Fang Wang , Jingping Yang","doi":"10.1016/j.insmatheco.2026.103227","DOIUrl":"10.1016/j.insmatheco.2026.103227","url":null,"abstract":"<div><div>In a portfolio of loans, default and prepayment are two competing events, and only the time and type of the first event to occur can be observed. Modeling the competing risks is crucial for mortgage insurance. This paper focuses on modeling the joint distribution of the time to default and the time to prepayment by considering two components: subdistributions of the time to default and time to prepayment, and a copula to model their dependence structure, where the subdistributions are estimated from the portfolio data, and the copula is chosen by concentrating on some optimal criteria.</div><div>For this purpose, we discuss the compatibility of a copula with the given subdistributions, and provide a method for deriving the marginal distributions of default and prepayment from the subdistributions and a compatible copula. Moreover, two criteria are proposed for finding a copula compatible with the given subdistributions. For estimating the subdistributions, a bilinear model is proposed. The asymptotic properties of the model’s estimators are proved. Additionally, a simulation study demonstrates the consistency of the estimators by considering both large and small sample cases. Finally, an empirical study is performed to estimate the subdistributions with static and time-varying covariates, and to identify compatible copulas under the proposed criteria. The application of the proposed method is further highlighted for determining premiums of mortgage insurance.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103227"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146173657","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

Efficient pricing and Greeks estimation for variable annuities under a multivariate OUSV model 多元OUSV模型下可变年金的有效定价与希腊人估计

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-07 DOI: 10.1016/j.insmatheco.2026.103220

Shaoying Chen , Zhenyu Cui , Yang Yang , Zhimin Zhang

引用次数: 0

Generalized expected-shortfalls based on distortion risk measures 基于失真风险度量的广义预期缺陷

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.2025.103206

Shuyu Gong , Zhenfeng Zou , Meng Guan , Taizhong Hu

引用次数: 0

On the range of a Lévy risk process with fair valuation of insurance contracts 对保险合同进行公平估价的范围内的一个lsamvy风险过程

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-29 DOI: 10.1016/j.insmatheco.2026.103228

Mengni Yang , Mohamed Amine Lkabous , Zijia Wang

{"title":"On the range of a Lévy risk process with fair valuation of insurance contracts","authors":"Mengni Yang , Mohamed Amine Lkabous , Zijia Wang","doi":"10.1016/j.insmatheco.2026.103228","DOIUrl":"10.1016/j.insmatheco.2026.103228","url":null,"abstract":"<div><div>In the context of insurance risk management, large fluctuations in the surplus process represent a critical source of risk, with implications for the financial stability and resilience of insurers. Understanding and quantifying such variability is therefore essential for assessing the financial robustness of insurers. In this paper, we investigate the range of a Lévy risk process, which captures surplus variability by tracking the difference between the running supremum and infimum within a given time horizon. We derive new fluctuation identities for the inverse range time under both continuous and Poissonian observation schemes, extending results that were previously available only for Brownian motion in the existing literature. In addition, we study the joint Laplace transform of the inverse range time and the previous extremum time. For illustration, explicit expressions are obtained for the Brownian risk process and the Cramér-Lundberg risk model with exponential claims. Finally, we apply our results to the fair valuation of insurance contracts associated with the range process.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103228"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146173654","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

Mortality risks, survival pessimism, and subjective well-Being: Evidence from the health and retirement study 死亡风险、生存悲观主义和主观幸福感：来自健康和退休研究的证据

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2025-12-25 DOI: 10.1016/j.insmatheco.2025.103204

Lisa Posey , Sharon Tennyson , Nan Zhu

{"title":"Mortality risks, survival pessimism, and subjective well-Being: Evidence from the health and retirement study","authors":"Lisa Posey , Sharon Tennyson , Nan Zhu","doi":"10.1016/j.insmatheco.2025.103204","DOIUrl":"10.1016/j.insmatheco.2025.103204","url":null,"abstract":"<div><div>The positive relationship between an individual’s subjective well-being (SWB) and their future survival prospects has been well documented. Using data from the Health and Retirement Study (HRS), we present empirical evidence of how this relationship operates through various channels. We use a two-stage approach where objective survival probability estimates derived from our first-stage Cox model are used to construct the survival bias employed as the dependent variable in the second stage, with SWB and other demographic and health-related variables being covariates in both stages. Our findings reveal that even after controlling for objective health-related factors and potential private information on health and mortality, individuals’ SWB remains as a significant factor to their objective mortality. Moreover, respondents’ SWB also affects the bias in the survival estimation—measured as the disparity between their subjective and objective survival probabilities. In particular, a higher SWB is correlated with a reduction in survival pessimism. We provide new evidence that bias in survival estimates can distort consumption and saving decisions, and provide estimates of its impact on welfare across different levels of SWB.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103204"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145886219","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 periodic strategies with dividends payable from gains only 仅从收益中支付股息的最优周期性策略

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2025-12-18 DOI: 10.1016/j.insmatheco.2025.103203

Eric C.K. Cheung , Guo Liu , Jae-Kyung Woo , Jiannan Zhang , Dan Zhu

{"title":"Optimal periodic strategies with dividends payable from gains only","authors":"Eric C.K. Cheung , Guo Liu , Jae-Kyung Woo , Jiannan Zhang , Dan Zhu","doi":"10.1016/j.insmatheco.2025.103203","DOIUrl":"10.1016/j.insmatheco.2025.103203","url":null,"abstract":"<div><div>In this paper, we consider the compound Poisson insurance risk model and analyze the optimal dividend strategy (that maximizes the expected present value of dividend payments until ruin) when dividends can only be paid periodically as lump sums. If one makes the usual assumption that dividends can be paid from the available surplus, then the optimal strategies are often of band or barrier type, resulting in a ruin probability of one (e.g. Albrecher et al. (2011a)). As opposed to such an assumption, we propose that dividends can only be paid from a certain fraction of the gains (i.e. positive increment of the process between successive dividend decision times), and such a constraint allows the surplus process to have a positive survival probability. Some theoretical properties of the value function and the optimal strategy are derived in connection to the Bellman equation. These properties suggest that a bang-bang type of control can be a candidate for the optimal strategy, where dividend is paid at the highest possible amount as long as the surplus is high enough. The dividend function under the candidate strategy is subsequently derived under exponential inter-observation times and claims with a rational Laplace transform, and we also provide specific numerical examples with (mixed) exponential claims where the proposed strategy is optimal in such cases.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103203"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145886220","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

Mitigating ambiguity in earthquake catastrophe insurance pricing: A model averaging and α-Maxmin approach 减轻地震巨灾保险定价中的模糊性：模型平均和α-Maxmin方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-13 DOI: 10.1016/j.insmatheco.2026.103222

Yunxian Li , Xinmei Yang , Zhilan Zi , Hefei Liu

{"title":"Mitigating ambiguity in earthquake catastrophe insurance pricing: A model averaging and α-Maxmin approach","authors":"Yunxian Li , Xinmei Yang , Zhilan Zi , Hefei Liu","doi":"10.1016/j.insmatheco.2026.103222","DOIUrl":"10.1016/j.insmatheco.2026.103222","url":null,"abstract":"<div><div>Ambiguity poses a key challenge in the pricing of catastrophe insurance, as it leads to higher premiums compared to unambiguous risks. This paper proposes a novel approach that integrates model averaging (MA) techniques with an extended <em>α</em>-maxmin framework to address ambiguity in insurance pricing decisions. Specifically, we introduce three MA weighting strategies within a quantile regression setting to mitigate estimation uncertainty and extend the <em>α</em>-maxmin framework to formally incorporate both the insurer’s ambiguity aversion and survival constraints into the pricing process. Using earthquake loss data from China (1974-2023), we show that MA improves predictive accuracy and mitigates affordability issues by reducing ambiguity-induced premium inflation, with jackknife model averaging lowering net premiums by 15.69%. Sensitivity analyzes indicate that stronger ambiguity aversion (higher <em>α</em>), tighter survival constraints (lower <em>θ</em>), and a higher cost of capital (higher <em>δ</em>) all necessitate larger capital reserves to counter bankruptcy risk, thereby raising premiums, with the first two factors exerting a more pronounced influence. The paper offers a coherent toolkit for integrating model uncertainty into catastrophe insurance pricing with practical relevance for risk management and regulation.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"127 ","pages":"Article 103222"},"PeriodicalIF":2.2,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146023343","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

Subgame perfect Nash equilibria in large reinsurance markets 大型再保险市场的子博弈完全纳什均衡

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-07 DOI: 10.1016/j.insmatheco.2025.103210

Maria Andraos , Mario Ghossoub , Michael B. Zhu

引用次数: 0

Robust pricing of equity-Indexed annuities under uncertain volatility and stochastic interest rate 不确定波动率和随机利率下股票指数年金的稳健定价

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-02-05 DOI: 10.1016/j.insmatheco.2026.103229

Ludovic Goudenège , Andrea Molent , Antonino Zanette

引用次数: 0

Asymptotically unbiased estimation of the extreme value index under random censoring 随机筛选下极值指标的渐近无偏估计