Insurance Mathematics & Economics最新文献_第5页

Star-shaped acceptability indexes 星形可接受性指数

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-05-21 DOI: 10.1016/j.insmatheco.2024.05.002

Marcelo Brutti Righi

引用次数: 0

Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm 利用大小偏置对数正态混合物和熵正则化 EM 算法建立损失模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-05-14 DOI: 10.1016/j.insmatheco.2024.05.003

Taehan Bae , Tatjana Miljkovic

{"title":"Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm","authors":"Taehan Bae , Tatjana Miljkovic","doi":"10.1016/j.insmatheco.2024.05.003","DOIUrl":"10.1016/j.insmatheco.2024.05.003","url":null,"abstract":"<div><p>The Erlang mixture with a common scale parameter is one of many popular models for modeling insurance losses. However, the actuarial literature recognizes and discusses some limitations of aforementioned model in approximate heavy-tailed distributions. In this paper, a size-biased left-truncated Lognormal (SB-ltLN) mixture is proposed as a robust alternative to the Erlang mixture for modeling left-truncated insurance losses with a heavy tail. The weak denseness property of the weighted Lognormal mixture is studied along with the tail behavior. Explicit analytical solutions are derived for moments and Tail Value at Risk based on the proposed model. An extension of the regularized expectation–maximization (REM) algorithm with Shannon's entropy weights (ewREM) is introduced for parameter estimation and variability assessment. The Operational Riskdata eXchange's left-truncated internal fraud loss data set is used to illustrate applications of the proposed model. Finally, the results of a simulation study show promising performance of the proposed SB-ltLN mixture in different simulation settings.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"117 ","pages":"Pages 182-195"},"PeriodicalIF":1.9,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000593/pdfft?md5=2b45204562f484c02c7d4416265ecc17&pid=1-s2.0-S0167668724000593-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141025931","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

Coping with longevity via hedging: Fair dynamic valuation of variable annuities 通过对冲应对长寿：变额年金的公平动态估值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-05-13 DOI: 10.1016/j.insmatheco.2024.04.005

Ze Chen , Runhuan Feng , Hong Li , Tianyu Yang

引用次数: 0

Law-invariant return and star-shaped risk measures 收益不变定律和星形风险度量

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-05-07 DOI: 10.1016/j.insmatheco.2024.04.006

Roger J.A. Laeven , Emanuela Rosazza Gianin , Marco Zullino

{"title":"Law-invariant return and star-shaped risk measures","authors":"Roger J.A. Laeven , Emanuela Rosazza Gianin , Marco Zullino","doi":"10.1016/j.insmatheco.2024.04.006","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2024.04.006","url":null,"abstract":"<div><p>This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and star-shaped functionals that exhibit second- or convex-order stochastic dominance consistency. Building on these characterizations, we proceed to derive Kusuoka-type representations for these functionals, shedding light on their mathematical structure and intimate connections to Value-at-Risk and Expected Shortfall. Furthermore, we offer representations of general law-invariant star-shaped functionals as robustifications of Value-at-Risk. Notably, our results are versatile, accommodating settings that may, or may not, involve monotonicity and/or cash-additivity. All of these characterizations are developed within a general locally convex topological space of random variables, ensuring the broad applicability of our results in various financial, insurance and probabilistic contexts.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"117 ","pages":"Pages 140-153"},"PeriodicalIF":1.9,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000568/pdfft?md5=acfda4a738d5cd409403a125c396f768&pid=1-s2.0-S0167668724000568-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140905586","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

Testing for auto-calibration with Lorenz and Concentration curves 利用洛伦兹曲线和浓度曲线进行自动校准测试

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-05-06 DOI: 10.1016/j.insmatheco.2024.04.003

Michel Denuit , Julie Huyghe , Julien Trufin , Thomas Verdebout

引用次数: 0

On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization 论非凹优化中基于风险价值的风险度量与基于预期短缺的风险度量之间的等价性

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-05-03 DOI: 10.1016/j.insmatheco.2024.04.002

An Chen , Mitja Stadje , Fangyuan Zhang

{"title":"On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization","authors":"An Chen , Mitja Stadje , Fangyuan Zhang","doi":"10.1016/j.insmatheco.2024.04.002","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2024.04.002","url":null,"abstract":"<div><p>We study a non-concave optimization problem in which an insurance company maximizes the expected utility of the <em>surplus</em> under a risk-based regulatory constraint. The non-concavity does not stem from the utility function, but from non-linear functions related to the terminal wealth characterizing the surplus. For this problem, we consider four different prevalent risk constraints (Expected Shortfall, Expected Discounted Shortfall, Value-at-Risk, and Average Value-at-Risk), and investigate their effects on the optimal solution. Our main contributions are in obtaining an analytical solution under each of the four risk constraints in the form of the optimal terminal wealth. We show that the four risk constraints lead to the <em>same</em> optimal solution, which differs from previous conclusions obtained from the corresponding concave optimization problem under a risk constraint. Compared with the benchmark unconstrained utility maximization problem, all the four risk constraints effectively and equivalently reduce the set of zero terminal wealth, but do not fully eliminate this set, indicating the success and failure of the respective financial regulations.<span><sup>1</sup></span></p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"117 ","pages":"Pages 114-129"},"PeriodicalIF":1.9,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000520/pdfft?md5=311f70bde36992b1118d5727e1d3b491&pid=1-s2.0-S0167668724000520-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140879579","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

An analysis of precautionary behavior in retirement decision making with an application to pension system reform 退休决策中的预防行为分析与养老金制度改革的应用

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-04-26 DOI: 10.1016/j.insmatheco.2024.04.004

Marco Magnani

{"title":"An analysis of precautionary behavior in retirement decision making with an application to pension system reform","authors":"Marco Magnani","doi":"10.1016/j.insmatheco.2024.04.004","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2024.04.004","url":null,"abstract":"<div><p>We analyze how precautionary motives affect the decisions of a risk-averse agent on saving, labor supply and retirement. In a setting where there is a random shock which affects agent disutility from work, we show that uncertainty directly affects retirement age and saving, but leaves labor supply during working age unchanged. In particular, a precautionary motive for retirement always arises, which pushes the agent to bring forward retirement in the presence of a risk on the cost of work effort. Moreover, prudence and a sufficiently high level of absolute temperance are sufficient conditions for precautionary saving. In this setting, we also study the effects of two common reforms of the pension system: an increase in pension contributions and a cut in pension benefits. The conditions for the agent to postpone retirement and increase labor supply are studied. This makes it possible to characterize the circumstances when the financial soundness of the pension system improves after these reforms.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"117 ","pages":"Pages 99-113"},"PeriodicalIF":1.9,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668724000544/pdfft?md5=e00e45418f9584fce66fefe3f6fcad8a&pid=1-s2.0-S0167668724000544-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140813181","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

A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data 为重尾数据建模的一类新的具有不同阈值的复合 GBII 回归模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-04-18 DOI: 10.1016/j.insmatheco.2024.03.005

Zhengxiao Li , Fei Wang , Zhengtang Zhao

{"title":"A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data","authors":"Zhengxiao Li , Fei Wang , Zhengtang Zhao","doi":"10.1016/j.insmatheco.2024.03.005","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2024.03.005","url":null,"abstract":"<div><p>The four-parameter generalized beta distribution of the second kind (GBII) has been proposed for modeling insurance losses with heavy-tailed features. The aim of this paper is to present a parametric composite GBII regression modeling by splicing two GBII distributions using mode matching method. It is designed for simultaneous modeling of small and large claims and capturing the policyholder heterogeneity by introducing the covariates into the scale parameter. The threshold that splits two GBII distributions is allowed to vary across individuals policyholders based on their risk features. The proposed regression modeling also contains a wide range of insurance loss distributions as the head and the tail respectively and provides the close-formed expressions for parameter estimation and model prediction. A simulation study is conducted to show the accuracy of the proposed estimation method and the flexibility of the regressions. Some illustrations of the applicability of the new class of distributions and regressions are provided with a Danish fire losses data set and a Chinese medical insurance claims data set, comparing with the results of competing models from the literature.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"117 ","pages":"Pages 45-66"},"PeriodicalIF":1.9,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140638783","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

Robust asset-liability management games for n players under multivariate stochastic covariance models 多变量随机协方差模型下 n 个参与者的稳健资产负债管理博弈

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-04-17 DOI: 10.1016/j.insmatheco.2024.04.001

Ning Wang , Yumo Zhang

{"title":"Robust asset-liability management games for n players under multivariate stochastic covariance models","authors":"Ning Wang , Yumo Zhang","doi":"10.1016/j.insmatheco.2024.04.001","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2024.04.001","url":null,"abstract":"<div><p>This paper investigates a non-zero-sum stochastic differential game among <em>n</em> competitive CARA asset-liability managers, who are concerned about the potential model ambiguity and aim to seek the robust investment strategies. The ambiguity-averse managers are subject to uncontrollable and idiosyncratic random liabilities driven by generalized drifted Brownian motions and have access to an incomplete financial market consisting of a risk-free asset, a market index and a stock under a multivariate stochastic covariance model. The market dynamics permit not only stochastic correlation between the risky assets but also path-dependent and time-varying risk premium and volatility, depending on two affine-diffusion factor processes. The objective of each manager is to maximize the expected exponential utility of his terminal surplus relative to the average among his competitors under the worst-case scenario of the alternative measures. We manage to solve this robust non-Markovian stochastic differential game by using a backward stochastic differential equation approach. Explicit expressions for the robust Nash equilibrium investment policies, the density generator processes under the well-defined worst-case probability measures and the corresponding value functions are derived. Conditions for the admissibility of the robust equilibrium strategies are provided. Finally, we perform some numerical examples to illustrate the influence of model parameters on the equilibrium investment strategies and draw some economic interpretations from these results.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"117 ","pages":"Pages 67-98"},"PeriodicalIF":1.9,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140638468","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 investment-disinvestment choices in health-dependent variable annuity 依赖健康的变额年金的最佳投资--终止投资选择

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-04-09 DOI: 10.1016/j.insmatheco.2024.03.006

Guglielmo D'Amico , Shakti Singh , Dharmaraja Selvamuthu

引用次数: 0