Insurance Mathematics & Economics最新文献_第5页

On the bailout dividend problem with periodic dividend payments and fixed transaction costs 论定期派息和固定交易成本的救助派息问题

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-15 DOI: 10.1016/j.insmatheco.2025.103182

Harold A. Moreno-Franco , José-Luis Pérez

引用次数: 0

The last passage time before ruin: Theory and applications in liquidation risk management 破产前的最后一段时间：清算风险管理的理论与应用

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-11 DOI: 10.1016/j.insmatheco.2025.103173

Zijia Wang , Jingyi Cao , Shu Li

{"title":"The last passage time before ruin: Theory and applications in liquidation risk management","authors":"Zijia Wang , Jingyi Cao , Shu Li","doi":"10.1016/j.insmatheco.2025.103173","DOIUrl":"10.1016/j.insmatheco.2025.103173","url":null,"abstract":"<div><div>In response to challenges posed by emerging risks such as climate change, practitioners are increasingly aware of the need for a more forward-looking approach to insurance solvency risk management, which requires not only the identification of risks but also timely intervention. However, determining when to implement risk mitigation is often complex, as it involves balancing insolvency prevention against the potential costs and consequences of such actions. In this paper, we provide insights into the timing of risk mitigation before it is too late by studying the last time a Lévy insurance risk process is above a certain threshold before ruin. In the theoretical part, we first derive the joint Laplace transform of the last passage time and the remaining time until ruin. We then study an optimal prediction problem of approximating the last passage time before ruin with a stopping time under the <em>L</em><sub>1</sub> distance, showing that the optimum occurs when the risk process first drops below a certain level. The stopping boundary is independent of the initial surplus level, and we provide an explicit characterization of this boundary. These theoretical results fill a gap in the literature, where last passage times are typically analyzed over an infinite time horizon or an independent exponential time horizon. By focusing on the dynamics of risk processes up to ruin, our findings offer interesting insights into liquidation risk management. These are discussed in the application part, where we develop a framework to endogenously determine financial distress and rehabilitation levels under contemporary regulations. We further analyze the liquidation time under Chapter 7 and Chapter 11 of the U.S. Bankruptcy Code. Numerical examples and an empirical study using real data are presented to illustrate the practical implications of our results.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103173"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145618375","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 expectiles and almost stochastic dominance 关于期望和几乎随机优势

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.2025.103179

Corrado De Vecchi , Matthias Scherer

引用次数: 0

Zero utility principle under uncertainty 不确定性下的零效用原理

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-16 DOI: 10.1016/j.insmatheco.2025.103178

J. Chudziak, S. Wójcik

引用次数: 0

Iterated poisson processes for catastrophic risk modeling in ruin theory 破产理论中灾难性风险建模的迭代泊松过程

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-12-20 DOI: 10.1016/j.insmatheco.2025.103200

Dongdong Hu , Svetlozar T. Rachev , Hasanjan Sayit , Hailiang Yang , Yildiray Yildirim

{"title":"Iterated poisson processes for catastrophic risk modeling in ruin theory","authors":"Dongdong Hu , Svetlozar T. Rachev , Hasanjan Sayit , Hailiang Yang , Yildiray Yildirim","doi":"10.1016/j.insmatheco.2025.103200","DOIUrl":"10.1016/j.insmatheco.2025.103200","url":null,"abstract":"<div><div>This paper studies the properties of the Multiple Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applications in ruin theory. Like standard Poisson processes, MIPPs have exponentially distributed sojourn times (waiting times between jumps). We explicitly derive the probabilities of all possible jump sizes at the first jump and obtain the Laplace transform of the joint distribution of the first jump time and its corresponding jump size. In ruin theory, the classical Cramér–Lundberg model assumes that claims arrive independently according to a Poisson process. In contrast, our model employs an MIPP to allow for clustered arrivals, reflecting real-world scenarios, such as catastrophic events. Under this new framework, we derive the corresponding scale function in closed form, facilitating accurate calculations of the probability of ruin in the presence of clustered claims. These results improve the modeling of extreme risks and have practical implications for insurance solvency assessments, pricing reinsurance, and the estimation of capital reserves.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103200"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840245","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

Optimizing portfolios with surrender variable annuities: A deep reinforcement learning approach 用放弃可变年金优化投资组合：一种深度强化学习方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-11-15 DOI: 10.1016/j.insmatheco.2025.103177

Huifang Huang , Zhuo Jin , Pengbo Li , Fuke Wu , Hailiang Yang

{"title":"Optimizing portfolios with surrender variable annuities: A deep reinforcement learning approach","authors":"Huifang Huang , Zhuo Jin , Pengbo Li , Fuke Wu , Hailiang Yang","doi":"10.1016/j.insmatheco.2025.103177","DOIUrl":"10.1016/j.insmatheco.2025.103177","url":null,"abstract":"<div><div>This paper investigates a portfolio optimization problem for an investor on asset allocation among risk-free asset, risky asset, and surrender variable annuity contracts featuring guaranteed minimum death benefit and guaranteed minimum maturity benefit subject to mortality and surrender risk. The investor’s objective is to maximize the expected utility of the bequest at death or the expected utility of assets at contract maturity. On each trading day before the investor’s death, the investor can adjust the allocation between risk-free and risky assets, invest in a new surrender variable annuity product. Especially, the policyholder may exercise partial or full surrender options for any existing variable annuity contract. This dynamic adjustment creates a high-dimensional state and action space, making traditional optimization methods inadequate. To address this, we utilize the Lee-Carter model to analyze Australian demographic data, predict mortality risk, simulate surrender risk based on market changes, and estimate the fair pricing of variable annuity contracts in the portfolio. Subsequently, we introduce a deep reinforcement learning algorithm within a simulated trading environment that independently models the dynamic behavior of various assets and underlying indices. The algorithm utilizes neural networks to analyze high-dimensional state variables and leverages the interactive capabilities of the agent to flexibly adapt to asset fluctuations, dynamically optimizing investment allocation. Additionally, we prove the global convergence of the algorithm under standard assumptions and validate its effectiveness in managing the complexities of high-dimensional portfolios, particularly in capturing mortality, surrender, and financial risks. Numerical experiments further demonstrate the stability and robustness of the algorithm, showcasing its advantages in complex insurance and financial scenarios.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103177"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145618374","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

Beyond annual data: Mortality forecasting with mixed frequency data 超越年度数据：混合频率数据的死亡率预测

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.2025.103172

Runze Li , Rui Zhou , David Pitt

{"title":"Beyond annual data: Mortality forecasting with mixed frequency data","authors":"Runze Li , Rui Zhou , David Pitt","doi":"10.1016/j.insmatheco.2025.103172","DOIUrl":"10.1016/j.insmatheco.2025.103172","url":null,"abstract":"<div><div>Existing mortality models typically rely on annual data, with forecasts for a given year based on information available up to the end of the previous year. However, technological advances have enabled the collection and production of weekly and monthly death data, offering new opportunities to improve forecasting. Using only annual data overlooks the full range of available information. In this paper, we propose mixed frequency sampling (MIDAS) models to integrate monthly death counts (high frequency) with annual mortality rates (low frequency), enabling improved short-term prediction of annual mortality. Extending economic applications of MIDAS, which typically predict single variables such as GDP growth, our MIDAS framework accounts for age dependence unique to age-specific mortality modeling. We also evaluate different weighting functions, a core element in MIDAS that determines the relative importance of high-frequency data at different lags, and identify suitable weighting functions for mortality forecasting. Using U.S. mortality data, we demonstrate that our approach significantly improves prediction accuracy compared to models relying solely on annual data for short-term forecasting. These findings highlight the potential of MIDAS models as a useful tool for accurate and timely mortality forecasts.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103172"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145618438","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

Prolonging life by vitagions: Modelling of mortality improvement shocks 延长寿命：死亡率改善冲击的模型

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.2025.103198

Maria Carannante , Valeria D’Amato , Cinzia Di Palo

引用次数: 0

The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics 网络风险的变化：损失严重程度和尾部动态的实证分析

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-12-08 DOI: 10.1016/j.insmatheco.2025.103196

Martin Eling , Rustam Ibragimov , Dingchen Ning

{"title":"The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics","authors":"Martin Eling , Rustam Ibragimov , Dingchen Ning","doi":"10.1016/j.insmatheco.2025.103196","DOIUrl":"10.1016/j.insmatheco.2025.103196","url":null,"abstract":"<div><div>Cyber risk poses severe challenges to the society and has become an important theme in risk management and insurance. Yet its statistical features and evolution over time are not sufficiently understood. This paper focuses on two key dimensions of cyber risk-loss severity and tail risk-using three different cyber loss databases. We first focus on the dynamics of loss severity, identifying structural shifts in distributions through a Fréchet-based change point detection method and applying inverse probability weighting to control for selection bias. Our results indicate an increase in the severity of malicious cyber losses since 2018, whereas negligent incidents do not follow the same trend. We then propose methods that combine tail index estimation and change point detection, finding that cyber loss distributions remain heavy-tailed over time, despite heterogeneity across different risk categories. Finally, we present a numerical analysis to illustrate how losses of a simulated cyber insurance portfolio evolve over time, emphasizing the importance of incorporating the dynamic properties of cyber risk into pricing strategies for insurance companies.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103196"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145789689","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

Performance-based variable premium scheme and reinsurance design 基于绩效的可变保费方案与再保险设计

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2026-01-01 Epub Date: 2025-10-22 DOI: 10.1016/j.insmatheco.2025.103169

Ziyue Shi , David Landriault , Fangda Liu

{"title":"Performance-based variable premium scheme and reinsurance design","authors":"Ziyue Shi , David Landriault , Fangda Liu","doi":"10.1016/j.insmatheco.2025.103169","DOIUrl":"10.1016/j.insmatheco.2025.103169","url":null,"abstract":"<div><div>In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller’s risk attitude. Building on the work of Meyers (1980) and Chen et al. (2016), we propose a new performance-based variable premium scheme for reinsurance policies, where the premium depends on both the distribution of the ceded loss and the actual realized loss. Under this scheme, the insurer and the reinsurer face a random premium at the beginning of the policy period. Based on the realized loss, the premium is adjusted into either a “reward” or “penalty” scenario, resulting in a discount or surcharge at the end of the policy period. We characterize the optimal reinsurance policy from the insurer’s perspective under this new variable premium scheme. In addition, we formulate a Bowley optimization problem between the insurer and the monopoly reinsurer. Numerical examples demonstrate that, compared to the expected-value premium principle, the reinsurer prefers the variable premium scheme as it reduces the reinsurer’s total risk exposure.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"126 ","pages":"Article 103169"},"PeriodicalIF":2.2,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145737416","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