Insurance Mathematics & Economics最新文献_第5页

Approximations of multi-period liability values by simple formulas 用简单公式近似计算多期负债值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-04-15 DOI: 10.1016/j.insmatheco.2025.103112

Nils Engler, Filip Lindskog

引用次数: 0

Portfolio benchmarks in defined contribution pension plan management 固定缴费养老金计划管理中的投资组合基准

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-04-08 DOI: 10.1016/j.insmatheco.2025.04.002

Daxin Huang , Yang Liu

{"title":"Portfolio benchmarks in defined contribution pension plan management","authors":"Daxin Huang , Yang Liu","doi":"10.1016/j.insmatheco.2025.04.002","DOIUrl":"10.1016/j.insmatheco.2025.04.002","url":null,"abstract":"<div><div>In financial practice, a portfolio benchmark is of importance as it characterizes the fluctuation of the market and better evaluates the performance of the fund manager. We study the optimal investment problem of Defined Contribution (DC) pension plan management with portfolio benchmarks. As such, three technical difficulties arise, and we overcome them accordingly. First, the classic Legendre transformation cannot handle the stochastic nature of the portfolio benchmark. We introduce a parameterized Legendre transformation technique and conduct it to obtain closed-form optimal control strategies. Second, we discover that the optimal solution is not unique when the drift parameter of the benchmark is exactly Merton's constant. We employ a risk management criterion minimizing the liquidation probability to further select a “best” control strategy among the optimums. Third, the Lagrange multiplier cannot be directly solved from the budget constraint. We propose a new numerical technique called the Monte Carlo bisection method to solve it. Therefore, we can analyze the optimal strategies with asymptotic analysis and demonstrate financial insights. We find that when the benchmark is deterministic or its drift is low, the optimal investment aligns with the literature, while the high-drift benchmarks lead to an opposite risk behavior. Finally, empirical validation using the US and Chinese market data shows that our strategy is more effective in a lower risk-premium market.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103110"},"PeriodicalIF":1.9,"publicationDate":"2025-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143834319","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

Bayesian adaptive portfolio optimization for DC pension plans 固定缴费养老金计划的贝叶斯自适应投资组合优化

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-04-03 DOI: 10.1016/j.insmatheco.2025.04.001

Shuping Gao , Junyi Guo , Xiaoqing Liang

{"title":"Bayesian adaptive portfolio optimization for DC pension plans","authors":"Shuping Gao , Junyi Guo , Xiaoqing Liang","doi":"10.1016/j.insmatheco.2025.04.001","DOIUrl":"10.1016/j.insmatheco.2025.04.001","url":null,"abstract":"<div><div>This paper investigates an optimally defined contribution (DC) pension fund problem with partial information. The fund manager invests his wealth in a financial market consisting of a risk-free asset, a stock, and an index bond. He aims to maximize the expected utility of the terminal wealth minus the minimum guarantee. The drift terms of the stock and the index bond are represented by unobservable random variables and the market price of risk follows a prior probability distribution. Using the Bayesian approach and filtering theory, we first transform the original unobservable optimization problem into one with full information. After that, we introduce an auxiliary process to convert the full information problem into an equivalent unconstrained self-financing optimization problem. We then solve the problem and obtain an explicit expression for the optimal investment strategy by using the martingale approach. To compare the results, we also derive the optimal investment strategy for the DC pension model under constant relative risk aversion (CRRA) utility in which the financial market is fully observable.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"122 ","pages":"Pages 262-274"},"PeriodicalIF":1.9,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143785289","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

Equilibrium intergenerational risk-sharing design for a target benefit pension plan 目标收益养老金计划的均衡代际风险分担设计

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-04-02 DOI: 10.1016/j.insmatheco.2025.03.008

Lv Chen , Danping Li , Yumin Wang , Xiaobai Zhu

{"title":"Equilibrium intergenerational risk-sharing design for a target benefit pension plan","authors":"Lv Chen , Danping Li , Yumin Wang , Xiaobai Zhu","doi":"10.1016/j.insmatheco.2025.03.008","DOIUrl":"10.1016/j.insmatheco.2025.03.008","url":null,"abstract":"<div><div>In this paper, we develop a risk-sharing pension design for a target benefit pension plan to minimize the income instability for all future retirees within a Black-Scholes market setting and a stable population. In contrast to the existing literature, we explicitly consider the difference between individual and intergenerational discount functions. This distinction, motivated by the fact that individual time preferences and societal preferences for different generations are fundamentally different, leads to time-inconsistent preferences for pension sponsors. By using the benefit structure as a control variable and solving a system of extended Hamilton-Jacobi-Bellman equations, we derive an intergenerational Nash equilibrium design that implicitly balances the benefit-risk across different generations. Compared to several conventional designs, we find that the equilibrium design is more robust to the choices of generational weights and time preferences. Consequently, it fosters stronger intergenerational solidarity in the risk-sharing structure, enhancing the stability and continuity of the pension plan. Additional sensitivity tests, including different individual and generational discount functions as well as dynamic investment strategies, are performed.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"122 ","pages":"Pages 275-299"},"PeriodicalIF":1.9,"publicationDate":"2025-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143785196","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

Forecasting age distribution of deaths: Cumulative distribution function transformation 预测死亡年龄分布：累积分布函数变换

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-03-31 DOI: 10.1016/j.insmatheco.2025.03.007

Han Lin Shang , Steven Haberman

引用次数: 0

Length of stay in residential aged care: Patterns and determinants from a population-based cohort study 老年护理住院时间：基于人群的队列研究的模式和决定因素

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-03-24 DOI: 10.1016/j.insmatheco.2025.03.006

Mengyi Xu , Gaoyun Yan

引用次数: 0

Mean-variance optimization for participating life insurance contracts 参与式寿险合同的均值方差优化

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-03-17 DOI: 10.1016/j.insmatheco.2025.03.005

Felix Fießinger, Mitja Stadje

引用次数: 0

Optimal reinsurance from an optimal transport perspective 最优运输视角下的最优再保险

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-03-12 DOI: 10.1016/j.insmatheco.2025.03.004

Beatrice Acciaio , Hansjörg Albrecher , Brandon García Flores

引用次数: 0

A generalized tail mean-variance model for optimal capital allocation 最优资本配置的广义尾均值-方差模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-03-07 DOI: 10.1016/j.insmatheco.2025.03.003

Yang Yang , Guojing Wang , Jing Yao , Hengyue Xie

{"title":"A generalized tail mean-variance model for optimal capital allocation","authors":"Yang Yang , Guojing Wang , Jing Yao , Hengyue Xie","doi":"10.1016/j.insmatheco.2025.03.003","DOIUrl":"10.1016/j.insmatheco.2025.03.003","url":null,"abstract":"<div><div>Capital allocation is a core task in financial and actuarial risk management. Some well-known capital allocation principles, such as the “Euler principle” and the “haircut principle”, have been widely used in the banking and insurance industry. The partitions of allocated capital not only serve as a buffer against potential losses but also provide certain risk pricing and performance measurement to the underlying risks. <span><span>Dhaene et al. (2012)</span></span> proposed a unified distance-minimizing capital allocation framework. Their objective function in the optimization only considers the magnitude of the loss function but not the variability. In this paper, we propose a general tail mean-variance (GTMV) model, which employs the Bregman divergences to construct distance-minimizing functions, and takes both the magnitude and the variability into account. We prove the existence and uniqueness of the optimal allocation and provide the general system of equations that characterizes the optimal solution. In this context, we further introduce the Mahalanobis tail mean-variance (MTMV) model and provide explicit distribution-free optimal allocation formulas, which cover many existing results as special cases. In particular, we derive the parametric analytical solutions for multivariate generalized hyperbolic distributed risks. For multivariate log-generalized hyperbolic distributed non-negative risks, we use the convex approximation method to obtain explicit solutions. We present two numerical examples showing the good performance of our optimal capital allocation rules. The first one analyzes the market risk of S&P 500 industry sector indices. We show that our optimal capital allocation framework is applicable to various scenario analyses and provides a performance measure for the indices and the financial market. The other example is based on insurance claims from an Australian insurance company, showing our approximate formulas are both robust and accurate.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"122 ","pages":"Pages 157-179"},"PeriodicalIF":1.9,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143577525","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

Pricing insurance contracts with an existing portfolio as background risk 以现有投资组合作为背景风险为保险合同定价

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-03-07 DOI: 10.1016/j.insmatheco.2025.03.001

Corrado De Vecchi , Matthias Scherer

{"title":"Pricing insurance contracts with an existing portfolio as background risk","authors":"Corrado De Vecchi , Matthias Scherer","doi":"10.1016/j.insmatheco.2025.03.001","DOIUrl":"10.1016/j.insmatheco.2025.03.001","url":null,"abstract":"<div><div>We develop and investigate a premium principle that explicitly takes into account the impact of a new risk on some insurer's existing portfolio. Specifically, we propose the notion of an indifference premium for a new risk conditioned on an existing portfolio acting as background risk. The resulting premium rule, which in our case depends on the joint distribution of the new risk and the existing portfolio, is analyzed in detail with respect to its mathematical properties. In order to underline the differences between our approach and the literature on law-invariant premium rules, special attention is given to the indifference premium behaviour with respect to some well-known dependence concepts. Axiomatic and continuity properties of the proposed indifference premium rule are also investigated. To demonstrate the practical relevance of our approach, we consider a portfolio of exchangeable risks and investigate the role of the portfolio's dimension on the price of a risk to be added. This illustrates the (limits of) diversification benefits under the flexible exchangeability assumption on the joint distribution of a sequence of risks.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"122 ","pages":"Pages 180-193"},"PeriodicalIF":1.9,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143577526","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