Insurance Mathematics & Economics最新文献_第4页

The ultimate drawdown insurance and its state-dependent premium 终极提款保险及其依赖于国家的保费

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-12-18 DOI: 10.1016/j.insmatheco.2025.103201

Duo Xu, Shu Li

{"title":"The ultimate drawdown insurance and its state-dependent premium","authors":"Duo Xu, Shu Li","doi":"10.1016/j.insmatheco.2025.103201","DOIUrl":"10.1016/j.insmatheco.2025.103201","url":null,"abstract":"<div><div>The analysis of drawdown risk is attracting growing interest thanks to its valuable insights into risk management. In this paper, we analyze an insurance contract designed to provide protection against the risk of market drawdown, where the claim is triggered by an ultimate drawdown. The concept of the ultimate drawdown was introduced in Li and Zhou (2022), which occurs either when the drawdown size exceeds a soft barrier for an extended period (so-called the Parisian drawdown), or when the drawdown size exceeds a significantly hard barrier. We propose the state-dependent premium structure for the ultimate drawdown insurance, where the premium are collected when the underlying process is in the financial non-distress state. Under the Lévy insurance framework, we analytically derive the fair market premium for the proposed premium structure. Furthermore, we explore the policyholder’s optimal surrender strategy when the contract allows for a cancellation feature. We demonstrate the merits of the proposed premium structure on the surrender risk, by comparing it to the constant premium structure. Numerical examples are provided for illustration. In addition, we examine some drawdown-related penalty functions of interest.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103201"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883659","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 measuring COVID-19 excess mortality: Insights and challenges 关于衡量COVID-19超额死亡率：见解和挑战

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-12-10 DOI: 10.1016/j.insmatheco.2025.103199

Ayse Arik , Allen Klein , Han Li

{"title":"On measuring COVID-19 excess mortality: Insights and challenges","authors":"Ayse Arik , Allen Klein , Han Li","doi":"10.1016/j.insmatheco.2025.103199","DOIUrl":"10.1016/j.insmatheco.2025.103199","url":null,"abstract":"<div><div>In this paper, we examine all-cause excess mortality due to the COVID-19 pandemic across 16 countries by age and sex. Utilising the Short-Term Fluctuations data series from the Human Mortality Database, we analyse various measures of excess mortality on weekly and yearly basis from 2020 through the end of 2023. We explore the strengths and limitations of different approaches to offer a comprehensive understanding of the pandemic’s impact on diverse nations. Specifically, we evaluate two methodologies employed by the UK’s Office for National Statistics, considering observed death counts both with and without adjusting for population sizes. We also apply a method based on annual mortality improvements and, as a final approach, implement a statistical model to weekly death counts. Each method defines excess mortality differently, allowing for comparison across alternative perspectives. Our analysis demonstrates largely consistent outcomes across different measures during the first two years of the pandemic, with significant variations in the last two years. These findings contribute to a nuanced understanding of various measures by highlighting their strengths and limitations.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103199"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145789687","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 modeling via vitality: Model constructions and actuarial applications 基于活力的死亡率建模：模型构建和精算应用

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-19 DOI: 10.1016/j.insmatheco.2025.103181

Xiaobai Zhu , Kenneth Q. Zhou , Zijia Wang

{"title":"Mortality modeling via vitality: Model constructions and actuarial applications","authors":"Xiaobai Zhu , Kenneth Q. Zhou , Zijia Wang","doi":"10.1016/j.insmatheco.2025.103181","DOIUrl":"10.1016/j.insmatheco.2025.103181","url":null,"abstract":"<div><div>Mortality modeling plays a central role in actuarial science, with applications ranging from life insurance valuation to optimal lifetime financial planning. Traditional approaches, such as mortality laws and factor-based models, often fall short in capturing the complexity and heterogeneity of mortality dynamics. This paper introduces a novel modeling framework based on the concept of vitality and its stochastic evolution over the life course. The framework consists of four components that account for initial health conditions, natural aging trends, stochastic fluctuations, and sudden accidental events. We explore how modeling mortality through vitality can replicate a wide class of existing mortality models and capture diverse features such as mortality plateaus and longevity trends. Through multiple applications, including optimal consumption planning and disability modeling, we show that the vitality-based framework is capable of providing tractable solutions and intuitive insights to a broad range of mortality-related problems. A numerical illustration using real-world mortality data further demonstrates the framework’s estimation procedure and modeling outcomes.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103181"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145618372","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

Financing aged care with home equity allowing for government age pension and aged care support 用房屋净值为老年护理融资，允许政府提供养老金和老年护理支持

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-24 DOI: 10.1016/j.insmatheco.2025.103193

Lingfeng Lyu , Yang Shen , Michael Sherris , Jonathan Ziveyi

{"title":"Financing aged care with home equity allowing for government age pension and aged care support","authors":"Lingfeng Lyu , Yang Shen , Michael Sherris , Jonathan Ziveyi","doi":"10.1016/j.insmatheco.2025.103193","DOIUrl":"10.1016/j.insmatheco.2025.103193","url":null,"abstract":"<div><div>This paper addresses the critical funding challenge of long-term care in ageing societies by examining the role of home equity in supporting retiree welfare and complementing the fiscal. This paper focuses on how home equity can enhance retirement savings, enable bequests, support living arrangements, and mitigate aged care risks in the Australian context. A recursive utility framework incorporating housing-state-dependent consumption and wait times for means-tested aged care services is adopted. Numerical experiments reveal that retirees with low to moderate net wealth are less willing to enter residential aged care facilities (RACFs). This is due to home equity being perceived as a hedge against this risk, either through generating rental income for covering RACF fees (positive hedging) or acting as a fallback resource (negative hedging). Numerical illustrations reveal that when home care packages (HCPs) are underfunded and residential care is adequately resourced, wealthier retirees tend to draw more heavily on their home equity during the aged care phase. This behaviour effectively curtails overall expenditures. Furthermore, providing timely HCP access to individuals with lower wealth helps maintain retirees’ independence and pension eligibility, without significantly increasing overall government spending. These findings demonstrate the reciprocal relationship between retirees’ choices and government spending, underscoring the opportunity to incorporate both demand- and supply-side factors in policy design.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103193"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145684630","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

Continuous-time modeling and bootstrap for chain-ladder reserving 链梯预留的连续时间建模与自举

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-10 DOI: 10.1016/j.insmatheco.2025.103176

Nicolas Baradel

引用次数: 0

No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses 有条件无破坏意味着混合依赖保险损失的风险共担

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-12-12 DOI: 10.1016/j.insmatheco.2025.103195

Michel Denuit , Patricia Ortega-Jimenez , Christian Y. Robert

引用次数: 0

Stochastic orderings for set-valued risk measures 集值风险度量的随机排序

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-19 DOI: 10.1016/j.insmatheco.2025.103180

Elisa Mastrogiacomo , Marco Tarsia

引用次数: 0

An age–period–cohort model in a Dirichlet framework: A coherent causes of death estimation 狄利克雷框架下的年龄-时期-队列模型：一个连贯的死因估计

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-24 DOI: 10.1016/j.insmatheco.2025.103194

Rebecca Graziani , Andrea Nigri

引用次数: 0

Back to normal? a method to test and correct a shock impact on healthcare usage frequency data 恢复正常？测试和纠正对医疗保健使用频率数据的冲击影响的方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-24 DOI: 10.1016/j.insmatheco.2025.103175

David Moriña , Amanda Fernández-Fontelo , Montserrat Guillén

{"title":"Back to normal? a method to test and correct a shock impact on healthcare usage frequency data","authors":"David Moriña , Amanda Fernández-Fontelo , Montserrat Guillén","doi":"10.1016/j.insmatheco.2025.103175","DOIUrl":"10.1016/j.insmatheco.2025.103175","url":null,"abstract":"<div><div>A method based on Bayesian structural time series is proposed to predict healthcare usage trends and to test for changes in the series levels during or after an abnormal year, such as that of the 2020 COVID-19 pandemic. Our method can also serve to calculate correction factors for frequency count data that can be integrated in a preprocessing step before undertaking a cross-sectional statistical analysis, and, in this way, the impact of a shock can be eliminated. Here, adjustments are derived for a large private health insurer in Spain from estimates of average healthcare usage. Median claims rate levels in 2020 were 15 % down on 2019 figures, but rose in 2021 and 2022, when the rate was 11 % and 8 % higher than in 2019, respectively. Once the shock correction is incorporated in the preprocessing step, our approach is shown to outperform traditional time series techniques. Healthcare insurance usage in Spain did not fully go back to normal levels (assuming that pre-pandemic values represent normality) in 2022, with the exception of some patient groups and specific medical services. Our method can be implemented in other areas of risk analysis when frequency counts are exposed to shocks and it allows estimating the difference in claims volume between real figures and those estimated, had the shock not occurred.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103175"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145618439","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

Cyber risk taxonomies: statistical analysis of cybersecurity risk classifications 网络风险分类：网络安全风险分类的统计分析

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-10-29 DOI: 10.1016/j.insmatheco.2025.103167

Matteo Malavasi , Gareth W. Peters , Stefan Trück , Pavel V. Shevchenko , Jiwook Jang , Georgy Sofronov

{"title":"Cyber risk taxonomies: statistical analysis of cybersecurity risk classifications","authors":"Matteo Malavasi , Gareth W. Peters , Stefan Trück , Pavel V. Shevchenko , Jiwook Jang , Georgy Sofronov","doi":"10.1016/j.insmatheco.2025.103167","DOIUrl":"10.1016/j.insmatheco.2025.103167","url":null,"abstract":"<div><div>Cyber risk classifications are widely used in the modeling of cyber event distributions, yet their effectiveness in out of sample forecasting performance remains underexplored. In this paper, we analyze the most commonly used classifications and argue in favor of switching the attention from goodness-of-fit and in-sample predictive performance, to focusing on the out-of sample forecasting performance. We use a rolling window analysis, to compare cyber risk distribution forecasts via threshold weighted scoring functions. Our results indicate that business motivated cyber risk classifications appear to be too restrictive and not flexible enough to capture the heterogeneity of cyber risk events. We investigate how dynamic and impact-based cyber risk classifiers seem to be better suited in forecasting future cyber risk losses than the other considered classifications. These findings suggest that cyber risk types provide limited forecasting ability concerning cyber event loss severity distribution, and cyber insurance rate-makers should utilize cyber risk types only when modeling the cyber event frequency distribution. Our study offers valuable insights for decision-makers and policymakers alike, contributing to the advancement of scientific knowledge in the field of cyber risk management.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103167"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145536948","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