Insurance Mathematics & Economics最新文献_第3页

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

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-03-01 Epub Date: 2026-01-25 DOI: 10.1016/j.insmatheco.2026.103225

Martin Bladt , Yuri Goegebeur , Armelle Guillou

引用次数: 0

Hedging universal life insurance policies 对冲万能寿险保单

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.2026.103221

Emmanuel Hamel , Frédéric Godin , Patrice Gaillardetz

引用次数: 0

A one-step approach for determining the optimal aggregate capital reserve and allocation 确定最优总资本储备和配置的一步法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-13 DOI: 10.1016/j.insmatheco.2025.103183

Jun Cai , Huameng Jia , Ying Wang

{"title":"A one-step approach for determining the optimal aggregate capital reserve and allocation","authors":"Jun Cai , Huameng Jia , Ying Wang","doi":"10.1016/j.insmatheco.2025.103183","DOIUrl":"10.1016/j.insmatheco.2025.103183","url":null,"abstract":"<div><div>In this paper, we introduce a new method for determining the optimal aggregate capital reserve and the corresponding optimal allocation through a one-step approach, allowing for the simultaneous consideration of aggregate and individual risks. In our one-step approach, both the aggregate capital and the allocation scheme are optimized to minimize an expected loss or cost function that accounts for these risks. Our findings provide insights into decision-makers’ attitudes toward commonly used capital requirement criteria and allocation principles, including VaR and CTE capital criteria, as well as VaR-based and CTE-based haircut allocation principles, and the CTE additive allocation principle. We also offer quantitative arguments explaining why the aggregate capital requirement and the corresponding allocation are optimal and specify the conditions under which they achieve optimality. Notably, our one-step optimal capital criteria can yield required reserves that meet the safety and budget requirements discussed in. Additionally, we provide numerical examples to illustrate our new approaches and compare them with standard methods commonly used in practice.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103183"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145737415","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

Welfare-enhancing annuity divisor for notional defined contribution design 概念设定供款设计的福利提升年金除数

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-21 DOI: 10.1016/j.insmatheco.2025.103191

Jinggong Zhang , Xiaobai Zhu , Wei Wei

{"title":"Welfare-enhancing annuity divisor for notional defined contribution design","authors":"Jinggong Zhang , Xiaobai Zhu , Wei Wei","doi":"10.1016/j.insmatheco.2025.103191","DOIUrl":"10.1016/j.insmatheco.2025.103191","url":null,"abstract":"<div><div>In this study, we investigate the optimal annuity divisor for a Notional Defined Contribution (NDC) pension scheme. Our analysis reveals that both the constant and actuarially fair annuity divisors, commonly used in practice, disproportionately benefit high-income individuals, resulting in an unintended wealth transfer from low-income to high-income groups. To address this issue, we employ an optimization framework based on a weighted social welfare function and derive the optimal annuity divisor using optimal control techniques. We present the explicit solution when the income distribution follows either Pareto or Pareto-lognormal and when the S-Gini function is adopted in prioritizing different income classes. Our findings suggest that excluding the low-income class from the NDC plan, as practiced in China, renders the NDC plan unnecessary unless the society is nearly inequality-neutral. By calibrating our model with Chinese data, we propose a progressive annuity divisor formula that adjusts for income inequality and mortality differentials, demonstrating its potential to enhance social welfare and achieve a more equitable pension system.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103191"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145684631","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

Asymptotics of systemic risk in a renewal model with multiple business lines and heterogeneous claims 具有多条业务线和异质索赔的更新模型中系统风险的渐近性

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-12-11 DOI: 10.1016/j.insmatheco.2025.103197

Bingzhen Geng , Yang Liu , Hongfu Wan

引用次数: 0