Insurance Mathematics & Economics最新文献_第8页

Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information 部分信息下基于均值加权方差- cvar准则的养老金最优投资策略

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.006

Xingchun Peng, Liuling Luo

{"title":"Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information","authors":"Xingchun Peng, Liuling Luo","doi":"10.1016/j.insmatheco.2024.12.006","DOIUrl":"10.1016/j.insmatheco.2024.12.006","url":null,"abstract":"<div><div>This paper studies an asset allocation problem of defined contribution (DC) pension with partial observation and minimum guarantee constraint. In the general framework of the financial market, the investment optimization problem under partial information is transformed into the problem under complete information by using the measure transformation approach. Then two auxiliary processes are introduced to tackle the non-self-financing property of the wealth process. With the mean-weighted variance-CVaR criterion, the optimal terminal surplus and the optimal investment strategy are derived by the martingale method. In order to obtain the concrete expression of the optimal investment strategy, we focus on a particular financial market where three kinds of assets are available, including the risk-free asset, the zero coupon bond and the stock. We assume that the return rate is modulated by a hidden Markov chain and the interest rate is described by the Vasicek model. The analytical expression of the optimal investment strategy is derived by adopting the Wonham filter theory and the Malliavin calculus. Finally, the numerical analysis related to the optimal terminal wealth, the optimal investment strategy and the values of risk measures is carried out to illustrate the theoretical results.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 302-324"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143133332","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

Target benefit pension with longevity risk and stochastic interest rate valuation 具有寿命风险和随机利率评估的目标收益养老金

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-01-01 DOI: 10.1016/j.insmatheco.2024.12.003

Cheng Tao , Ximin Rong , Hui Zhao

引用次数: 0

Tail similarity 尾巴相似

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-12-30 DOI: 10.1016/j.insmatheco.2024.12.004

Vali Asimit , Zhongyi Yuan , Feng Zhou

引用次数: 0

Dividend corridors and a ruin constraint 股息走廊和破产约束

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-12-10 DOI: 10.1016/j.insmatheco.2024.11.010

Hansjörg Albrecher , Brandon Garcia Flores , Christian Hipp

引用次数: 0

Evolution of institutional long-term care costs based on health factors 基于健康因素的机构长期护理成本的演变

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-11-19 DOI: 10.1016/j.insmatheco.2024.11.007

Aleksandr Shemendyuk , Joël Wagner

{"title":"Evolution of institutional long-term care costs based on health factors","authors":"Aleksandr Shemendyuk , Joël Wagner","doi":"10.1016/j.insmatheco.2024.11.007","DOIUrl":"10.1016/j.insmatheco.2024.11.007","url":null,"abstract":"<div><div>As many developed countries face the challenges of an aging population, the need to efficiently plan and finance long-term care (LTC) becomes increasingly important. Understanding the dynamics of care requirements and their associated costs is essential for sustainable healthcare systems. In this study, we employ a multi-state Markov model to analyze the transitions between care states of elderly individuals within institutional LTC in the canton of Geneva, Switzerland. Utilizing a comprehensive dataset of 21494 elderly residents, we grouped care levels into four broader categories reflecting the range from quasi-autonomy to severe dependency. Our model considers fixed covariates at admission, such as demographic details, medical diagnoses, and levels of dependence, to forecast transitions and associated costs. The main results illustrate significant variations in care trajectories and LTC costs across different health profiles, notably influenced by gender and initial care state. Females generally require longer periods with less intensive care, while conditions like severe and nervous diseases show quicker progression to more intensive care and higher initial costs. These transitions and expected length of stay in each state directly impact LTC costs, highlighting the necessity of advanced strategies to manage the financial burden. Our findings offer insights that can be utilized to optimize LTC services in response to the specific needs of institutionalized elderly people. These findings can be applied to enhance healthcare planning, the preparedness of infrastructure, and the design of insurance products.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 107-130"},"PeriodicalIF":1.9,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142697550","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

Hidden semi-Markov models for rainfall-related insurance claims 与降雨有关的保险索赔的隐含半马尔科夫模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-11-19 DOI: 10.1016/j.insmatheco.2024.11.008

Yue Shi , Antonio Punzo , Håkon Otneim , Antonello Maruotti

{"title":"Hidden semi-Markov models for rainfall-related insurance claims","authors":"Yue Shi , Antonio Punzo , Håkon Otneim , Antonello Maruotti","doi":"10.1016/j.insmatheco.2024.11.008","DOIUrl":"10.1016/j.insmatheco.2024.11.008","url":null,"abstract":"<div><div>We analyze the temporal structure of a novel insurance dataset about home insurance claims related to rainfall-induced damage in Norway and employ a hidden semi-Markov model (HSMM) to capture the non-Gaussian nature and temporal dynamics of these claims. By examining a broad range of candidate sojourn and emission distributions and assessing the goodness-of-fit and commonly used risk measures of the corresponding HSMM, we identify an appropriate model for effectively representing insurance losses caused by rainfall-related incidents. Our findings highlight the importance of considering the temporal aspects of weather-related insurance claims and demonstrate that the proposed HSMM adeptly captures this feature. Moreover, the model estimates reveal a concerning trend: the risks associated with heavy rain in the context of home insurance have exhibited an upward trajectory between 2004 and 2020, aligning with the evidence of a changing climate. This insight has significant implications for insurance companies, providing them with valuable information for accurate and robust modeling in the face of climate uncertainties. By shedding light on the evolving risks related to heavy rain and their impact on home insurance, our study offers essential insights for insurance companies to adapt their strategies and effectively manage these emerging challenges. It underscores the necessity of incorporating climate change considerations into insurance models and emphasizes the importance of continuously monitoring and reassessing risk levels associated with rainfall-induced damage. Ultimately, our research contributes to the broader understanding of climate risk in the insurance industry and supports the development of resilient and sustainable insurance practices.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 91-106"},"PeriodicalIF":1.9,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142697551","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

Continuous-time optimal reporting with full insurance under the mean-variance criterion 均值方差准则下的连续时间最优报告与全额保险

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-11-17 DOI: 10.1016/j.insmatheco.2024.11.004

Jingyi Cao , Dongchen Li , Virginia R. Young , Bin Zou

{"title":"Continuous-time optimal reporting with full insurance under the mean-variance criterion","authors":"Jingyi Cao , Dongchen Li , Virginia R. Young , Bin Zou","doi":"10.1016/j.insmatheco.2024.11.004","DOIUrl":"10.1016/j.insmatheco.2024.11.004","url":null,"abstract":"<div><div>We study a continuous-time, loss-reporting problem for an insured with full insurance under the mean-variance (MV) criterion. When a loss occurs, the insured faces two options: she can report it to the insurer for full reimbursement but will pay a higher premium rate; or she can hide it from the insurer by paying it herself and enjoy a lower premium rate. The insured follows a barrier strategy for loss reporting and seeks an optimal barrier to maximize her MV preferences over a random horizon. We show that this problem yields an optimal barrier that is not necessarily decreasing with respect to the insured's risk aversion, as intuition suggests it should. To address this non-monotonicity, we propose two solutions: in the first solution, we restrict the feasible strategies to a bounded interval; in the second, we modify the MV criterion by replacing the variance of the insured's wealth with the variance of the insured's retained losses. We obtain the optimal barrier strategy in semiclosed form—as a unique positive zero of a nonlinear function—for both modified models, and we show that it is a decreasing function of the insured's risk aversion, as expected.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 79-90"},"PeriodicalIF":1.9,"publicationDate":"2024-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142697485","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

How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model 模型不确定性和交易成本如何影响留存收益和股息策略？通过经典保险风险模型进行检验

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-11-15 DOI: 10.1016/j.insmatheco.2024.11.002

Yang Feng , Tak Kuen Siu , Jinxia Zhu

{"title":"How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model","authors":"Yang Feng , Tak Kuen Siu , Jinxia Zhu","doi":"10.1016/j.insmatheco.2024.11.002","DOIUrl":"10.1016/j.insmatheco.2024.11.002","url":null,"abstract":"<div><div>Model uncertainty and ambiguity aversion have important consequences for decision-making under uncertainty in diverse fields such as insurance, finance and economics. Although model uncertainty has been considered in decision-making problems in finance and economics, as well as problems relevant to (re)-insurance, relatively little attention has been given to exploring implications of model uncertainty and ambiguity aversion for the optimal policies governing cash retention and dividend payout. On the other hand, taxes and transaction costs/fees have a significant impact on retained earnings and dividend strategies. Despite its technically challenging, their impacts on optimal dividend strategies have been studied in the literature. However, consequences of model uncertainty and ambiguity aversion for optimal dividend payout policies and related decision-making issues in the presence of transaction costs/taxes have not been well-understood. This paper aims to explore this relatively unknown zone and to articulate this technically challenging problem. Specifically, we shall provide a rigorous approach to examine the impacts of model uncertainty and ambiguity aversion on optimal cash retention and dividend payout strategies with fixed and proportional transaction costs/taxes. Our key findings include (1) model uncertainty and ambiguity aversion change the qualitative behaviour of optimal strategies. Say the optimal strategy is a multi-level lump-sum strategy and tends to have more levels than that of the problem without capturing model uncertainty (2) the value function tends to be rougher (in terms of smoothness) than that of the problem without incorporating model uncertainty.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"120 ","pages":"Pages 131-158"},"PeriodicalIF":1.9,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142744109","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

A risk measurement approach from risk-averse stochastic optimization of score functions 从分值函数的风险规避随机优化出发的风险测量方法

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-11-15 DOI: 10.1016/j.insmatheco.2024.11.005

Marcelo Brutti Righi, Fernanda Maria Müller, Marlon Ruoso Moresco

引用次数: 0

Distributionally robust insurance under the Wasserstein distance 瓦瑟斯坦距离下分布稳健的保险

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2024-11-14 DOI: 10.1016/j.insmatheco.2024.11.003

Tim J. Boonen , Wenjun Jiang

引用次数: 0