Insurance Mathematics & Economics最新文献_第4页

Data-rich economic forecasting for actuarial applications 精算应用中数据丰富的经济预测

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-23 DOI: 10.1016/j.insmatheco.2025.103126

Felix Zhu , Yumo Dong , Fei Huang

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引用次数: 0

As-if-Markov reserves for reserve-dependent payments 对依赖于储备的支付的似马尔可夫准备金

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-23 DOI: 10.1016/j.insmatheco.2025.103129

Marcus C. Christiansen , Boualem Djehiche

引用次数: 0

Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility HARA效用下随机市场随机现金流下的稳健资产负债管理博弈

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-06-18 DOI: 10.1016/j.insmatheco.2025.103125

Ning Wang , Yumo Zhang

{"title":"Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility","authors":"Ning Wang , Yumo Zhang","doi":"10.1016/j.insmatheco.2025.103125","DOIUrl":"10.1016/j.insmatheco.2025.103125","url":null,"abstract":"<div><div>This paper investigates an optimal asset-liability management problem involving two strategically interactive managers with ambiguity aversion under a multivariate stochastic covariance model characterized by hybrid stochastic volatility and stochastic interest rates. Two ambiguity-averse managers participate in a financial market comprising a money market account, a market index, a stock, and zero-coupon bonds to enhance profits, where interest rates are determined via an affine model, which includes both the Cox–Ingersoll–Ross model and the Vasicek model as specific instances, while the market index and stock price are driven by a general class of non-Markovian multivariate stochastic covariance models. Moreover, the two competitive managers, subject to idiosyncratic liability commitments and influenced by the random nature of cash inflow or outflow in their investment decision making, have varying risk preferences described by the hyperbolic absolute risk aversion (HARA) utility function, with the power utility function as a special case. Each manager aims to develop a robust investment strategy to outperform their competitors by maximizing the expected terminal utility of the relative surplus in worst-case scenarios. A backward stochastic differential equation method coupled with the martingale optimality principle is used to solve this robust non-Markovian stochastic differential game, resulting in closed-form expressions for robust Nash equilibrium investment strategies, the density generator processes under worst-case probability measures, and the corresponding value functions. Finally, numerical examples are provided to illustrate their financial implications.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103125"},"PeriodicalIF":1.9,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144322309","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 valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option 最优估值可变年金保证终身提取利益与嵌入式充值选项

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-28 DOI: 10.1016/j.insmatheco.2025.103117

Budhi Arta Surya, Wawan Hafid Syaifudin

{"title":"Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option","authors":"Budhi Arta Surya, Wawan Hafid Syaifudin","doi":"10.1016/j.insmatheco.2025.103117","DOIUrl":"10.1016/j.insmatheco.2025.103117","url":null,"abstract":"<div><div>This paper generalizes earlier works on the variable annuity guaranteed lifetime withdrawal benefits (VAGLWB) by introducing an embedded top-up option to the contract. This new feature/rider gives the policyholder an option to top-up the existing contract to a new one with larger withdrawal rate and reduced premium rate subject to paying a cost proportional to the current account value. The option is of American type which can be exercised at anytime prior to the maturity of the contract. In this work, we provide an analytical solution to the risk-neutral valuation for the VAGLWB with embedded top-up option from both policyholder's and insurer's perspective. From the perspective of policyholder, the valuation is formulated in terms of an optimal stopping problem of finding an exercise time of the option and the optimal account level at which the monetary value of the contract is maximized. The optimal solution to the stopping problem is derived under geometric Brownian motion dynamics of the equity price, the underlying investment vehicle of VAGLWB. The optimal value function (early exercise premium of the option) is given explicitly in terms of the confluent hypergeometric function satisfying both continuous and smooth pasting conditions. Furthermore, majorant and (super) harmonic properties of the value function are established to show the optimality of the solution. In the absence of top-up option, i.e., the new contract has equal withdrawal and premium rates with that of the existing contract, the results reduce to that of <span><span>Feng and Jing (2017)</span></span>. Valuation from the insurer's perspective is discussed using equivalence principle between insurer's liabilities and fee incomes to find the fair value of the new premium rate. Finally, numerical examples are provided to exemplify the main results.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103117"},"PeriodicalIF":1.9,"publicationDate":"2025-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144169222","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

The principle of a single big jump from the perspective of tail moment risk measure 从尾矩风险测度的角度分析了单次大跳跃的原理

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-28 DOI: 10.1016/j.insmatheco.2025.103118

Jinzhu Li

{"title":"The principle of a single big jump from the perspective of tail moment risk measure","authors":"Jinzhu Li","doi":"10.1016/j.insmatheco.2025.103118","DOIUrl":"10.1016/j.insmatheco.2025.103118","url":null,"abstract":"<div><div>Consider a financial or insurance system with a finite number of individual components. The famous principle of a single big jump (PSBJ) says that a system crisis occurs mainly due to a single but unusually large loss from some individual component. Most of literatures modeled the PSBJ through the tail probabilities of the largest risk and the total risk of the system. Different from the existing works, this paper is devoted to explore the PSBJ from a new perspective. We aim to establish the PSBJ based on a kind of risk measure defined via the tail moments of the related risks. Our study is mainly conducted under a widely used framework, in which the individual risks are pairwise asymptotically independent and have the distributions from the Fréchet or Gumbel max-domain of attraction. The asymptotic behavior of the tail mixed moments is also discussed in detail. The results obtained are applied to an optimal capital allocation problem based on a tail mean-variance model. A numerical study is given to illustrate the accuracy of our main asymptotic results. We also give a thorough discussion on some interesting theoretical properties regarding the PSBJ.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103118"},"PeriodicalIF":1.9,"publicationDate":"2025-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195362","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 hedging of life insurance portfolio for loss-averse insurers 规避损失保险公司寿险投资组合的有效套期保值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-23 DOI: 10.1016/j.insmatheco.2025.103116

Edouard Motte, Donatien Hainaut

{"title":"Efficient hedging of life insurance portfolio for loss-averse insurers","authors":"Edouard Motte, Donatien Hainaut","doi":"10.1016/j.insmatheco.2025.103116","DOIUrl":"10.1016/j.insmatheco.2025.103116","url":null,"abstract":"<div><div>This paper investigates the hedging of equity-linked life insurance portfolio for loss-averse insurers. We consider a general arbitrage-free financial market and an actuarial market composed of <em>n</em>-independent policyholders. As the combined market is incomplete, perfect hedging of any actuarial-financial payoff is not possible. Instead, we study the efficient hedging of <em>n</em>-size equity-linked life insurance portfolio for insurers who are only concerned with their losses. To this end, we consider stochastic control problems (under the real-world measure) in order to determine the optimal hedging strategies that either maximize the probability of successful hedge (called quantile hedging) or minimize the expectation for a class of shortfall loss functions (called shortfall hedging). Based on the super-replication theory and a duality approach, we show that the optimal strategies depend both on actuarial and financial risks. Moreover, these strategies adapt not only to the size of the insurance portfolio but also to the risk-aversion of the insurer. The numerical results show that, for loss-averse insurers, the strategies outperform the mean-variance hedging strategy, demonstrating the relevance of adopting the right strategy according to the insurers' risk aversion and portfolio size.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103116"},"PeriodicalIF":1.9,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144138149","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 insurance contract under mean-variance preference with value at risk constraint 风险约束下均值-方差偏好下的最优保险契约

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-23 DOI: 10.1016/j.insmatheco.2025.103115

Zixuan Li , Hui Meng , Ming Zhou

{"title":"Optimal insurance contract under mean-variance preference with value at risk constraint","authors":"Zixuan Li , Hui Meng , Ming Zhou","doi":"10.1016/j.insmatheco.2025.103115","DOIUrl":"10.1016/j.insmatheco.2025.103115","url":null,"abstract":"<div><div>In this paper, we investigate the optimal insurance arrangement for an agent who exhibits a mean-variance preference. For the purpose of risk management, the agent's terminal wealth is constrained via a Value at Risk condition. As for the admissible indemnity functions, we suppose that they are subjected to principle of indemnity, incentive compatibility condition, and a so-called Vajda condition as well. The Vajda condition stipulates that within an insurance contract, the proportion of the loss borne by the insurance company should be non-decreasing as the total loss amount increases. By employing a non-decreasing rearrangement technique and a modification approach, our results show that the optimal insurance is either a pure deductible insurance or a mixed proportional insurance with a deductible under expected value premium principle. As by-products, we also obtain the optimal insurance policies under preferences of mean-variance, mean-VaR, and mean-variance with a portfolio insurance constraint, respectively. Finally, we present numerical studies to provide economic insights into these findings.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103115"},"PeriodicalIF":1.9,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144138148","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

Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era 从COVID-19吸取教训：大流行后时代的巨灾死亡率债券解决方案

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-21 DOI: 10.1016/j.insmatheco.2025.103113

Ze Chen , Hong Li , Yu Mao , Kenneth Q. Zhou

引用次数: 0

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models Wishart随机波动率模型中路径相关担保的可变年金定价与套期保值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-05-20 DOI: 10.1016/j.insmatheco.2025.103114

José Da Fonseca , Patrick Wong

引用次数: 0

Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing 利用承保控制测试改进纵向精算数据的连续动态检测

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-04-16 DOI: 10.1016/j.insmatheco.2025.103111

Tsz Chai Fung

{"title":"Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing","authors":"Tsz Chai Fung","doi":"10.1016/j.insmatheco.2025.103111","DOIUrl":"10.1016/j.insmatheco.2025.103111","url":null,"abstract":"<div><div>Longitudinal actuarial data, where policyholders' claims are recorded over multiple years, offer valuable insights for pricing and reserving. However, standard modeling approaches typically assume no serial dynamics in conditional claim distributions over time. Such an assumption is difficult to validate given that most non-life insurance products are short-term, yielding data from only a few years. Recent diagnostic methods can detect serial dynamics but do not distinguish between changes induced by endogenous underwriting standards (e.g., renewal and pricing policies favoring low-risk policyholders) and genuine, exogenous temporal shifts (e.g., evolving socioeconomic environment). In this paper, we develop underwriting-controlled serial dynamic tests for longitudinal actuarial data. By applying an inverse-probability-weighted estimation approach, we adjust for underwriting effects and thus detect the true underlying serial dynamics. We propose tests based on three metrics, parameter difference, prediction bias, and prediction loss, enabling both statistical and economic interpretations of dynamic changes. Simulation studies show that our tests avoid false detections caused by underwriting effects. An analysis using European automobile insurance data illustrates how our approach offers deeper insights into when and why serial dynamics emerge.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103111"},"PeriodicalIF":1.9,"publicationDate":"2025-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143855796","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