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Tweedie multivariate semi-parametric credibility with the exchangeable correlation 特威迪多变量半参数可信度与可交换相关性
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-01-11 DOI: 10.1016/j.insmatheco.2023.12.007
Himchan Jeong
{"title":"Tweedie multivariate semi-parametric credibility with the exchangeable correlation","authors":"Himchan Jeong","doi":"10.1016/j.insmatheco.2023.12.007","DOIUrl":"10.1016/j.insmatheco.2023.12.007","url":null,"abstract":"<div><p>This article proposes a framework for determining credibility premiums for multiple coverages in a compound risk model with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit multivariate credibility premium formula that is applicable to the Tweedie family assuming that the unobserved heterogeneity for the multiple coverage have the common correlation. The practical applicability of the proposed framework is evaluated through simulation and empirical analysis using the LGPIF dataset, which includes claims and policy characteristics data for various types of coverages observed over time. The findings suggest that the proposed framework can be useful in ratemaking practice by incorporating a non-trivial dependence structure among the multiple types of claims.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 13-21"},"PeriodicalIF":1.9,"publicationDate":"2024-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139421073","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
Probability equivalent level for CoVaR and VaR CoVaR 和 VaR 的概率等效水平
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-01-10 DOI: 10.1016/j.insmatheco.2023.12.004
Patricia Ortega-Jiménez , Franco Pellerey , Miguel A. Sordo , Alfonso Suárez-Llorens
{"title":"Probability equivalent level for CoVaR and VaR","authors":"Patricia Ortega-Jiménez ,&nbsp;Franco Pellerey ,&nbsp;Miguel A. Sordo ,&nbsp;Alfonso Suárez-Llorens","doi":"10.1016/j.insmatheco.2023.12.004","DOIUrl":"10.1016/j.insmatheco.2023.12.004","url":null,"abstract":"<div><p><span><span>For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For this reason, conditional VaRs that capture contagion effects and tail dependence among risks, such as the Co-Value-at-Risk (CoVaR), have been defined and studied in recent literature. In this paper we study conditions that guarantee, in the </span>bivariate<span> setting, the ordering between VaR and CoVaR, allowing to understand which, among the two measures, is more or less conservative than the other. By doing this, we introduce the notion of Probability Equivalent Level of CoVaR-VaR (PELCoV), which is the VaR value of the observable variable for which VaR and CoVaR coincide, and we study some of its properties such as uniqueness and </span></span>boundedness<span>. In particular, we show that its properties are entirely explained by the copula that describes the dependence between risks, and we provide a list of copulas for which PELCoV is explicitly available, and for which it is or not bounded. A practical applicative example is also presented.</span></p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 22-35"},"PeriodicalIF":1.9,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139413593","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
Variance insurance contracts 差异 保险合同
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-01-09 DOI: 10.1016/j.insmatheco.2023.12.005
Yichun Chi , Xun Yu Zhou , Sheng Chao Zhuang
{"title":"Variance insurance contracts","authors":"Yichun Chi ,&nbsp;Xun Yu Zhou ,&nbsp;Sheng Chao Zhuang","doi":"10.1016/j.insmatheco.2023.12.005","DOIUrl":"10.1016/j.insmatheco.2023.12.005","url":null,"abstract":"<div><p><span>We study the design of an optimal insurance contract in which the insured maximizes her expected utility and the insurer limits the variance of his risk exposure while maintaining the principle of indemnity and charging the premium according to the expected value principle. We derive the optimal policy<span> semi-analytically, which is coinsurance above a deductible when the variance bound is binding. This policy automatically satisfies the incentive-compatible condition, which is crucial to rule out ex post moral hazard. We also find that the deductible is absent if and only if the contract pricing is actuarially fair. Focusing on the actuarially fair case, we carry out comparative statics on the effects of the insured's initial wealth and the variance bound on insurance demand. Our results indicate that the expected coverage is always larger for a wealthier insured, implying that the underlying insurance is a </span></span><em>normal</em> good, which supports certain recent empirical findings. Moreover, as the variance constraint tightens, the prudent insured cedes less losses, while the insurer is exposed to less tail risk.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 62-82"},"PeriodicalIF":1.9,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139413507","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
Adjusted higher-order expected shortfall 调整后的高阶预期缺口
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-01-02 DOI: 10.1016/j.insmatheco.2023.12.006
Zhenfeng Zou , Taizhong Hu
{"title":"Adjusted higher-order expected shortfall","authors":"Zhenfeng Zou ,&nbsp;Taizhong Hu","doi":"10.1016/j.insmatheco.2023.12.006","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.12.006","url":null,"abstract":"<div><p>How to detect different tail behaviors of two risk random variables with the same mean is an important task. In this paper, motivated by <span>Burzoni et al. (2022)</span><span>, a class of convex risk measures, referred to as adjusted higher-order Expected Shortfall (ES), is introduced and studied. The adjusted risk measure quantifies risk as the minimum amount of capital that has to be raised and injected into a financial position to ensure that its higher-order ES does not exceed a pre-specified threshold for every probability level. This new risk measure is intimately linked to dual higher-order increasing convex order by choosing the risk threshold to be the higher-order ES of a special benchmark random loss. The dual representation for (adjusted) higher-order Expected Shortfall is also given.</span></p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"115 ","pages":"Pages 1-12"},"PeriodicalIF":1.9,"publicationDate":"2024-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139108374","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
Longevity hedge effectiveness using socioeconomic indices 利用社会经济指数的长寿套期保值效果
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2024-01-01 DOI: 10.1016/j.insmatheco.2023.11.008
Malene Kallestrup-Lamb , Nicolai Søgaard Laursen
{"title":"Longevity hedge effectiveness using socioeconomic indices","authors":"Malene Kallestrup-Lamb ,&nbsp;Nicolai Søgaard Laursen","doi":"10.1016/j.insmatheco.2023.11.008","DOIUrl":"10.1016/j.insmatheco.2023.11.008","url":null,"abstract":"<div><p>This paper evaluates socioeconomic basis risk in longevity hedging. Using data for a full population stratified into socioeconomic groups, we explore the benefits and costs of two alternative hedging strategies, with and without basis risk, in the capital market. The benefit of the longevity hedge is represented by the risk reduction in the variability of a life annuity, whereas the cost is the notional amount of hedging contracts times the actuarial risk premium. We find that hedging is more cost-effective for the annuity provider when basis risk is eliminated. Moreover, it allows for a higher degree of hedge effectiveness at a cost that is equivalent to a hedge where basis risk is present. Finally, the yearly expenses related to hedging longevity risk require, at most, an extra added rate of return of no more than 0.16%.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 242-251"},"PeriodicalIF":1.9,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668723001026/pdfft?md5=b80c9c2adba5388fc774c9b6cd988249&pid=1-s2.0-S0167668723001026-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138687006","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
On the factors determining the health profiles and care needs of institutionalized elders 院舍長者的健康狀況及護理需要的決定因素
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2023-12-19 DOI: 10.1016/j.insmatheco.2023.12.003
Aleksandr Shemendyuk , Joël Wagner
{"title":"On the factors determining the health profiles and care needs of institutionalized elders","authors":"Aleksandr Shemendyuk ,&nbsp;Joël Wagner","doi":"10.1016/j.insmatheco.2023.12.003","DOIUrl":"10.1016/j.insmatheco.2023.12.003","url":null,"abstract":"<div><p>In many developed countries, population aging raises a number of issues related to the organization and financing of long-term care. While the determinants of the overall burden and cost of care are well understood, the organization of institutionalized long-term care must meet the needs of the elderly. One way to optimize management is to use information on health problems to assess the infrastructure needed, the qualifications of staff, and the allocation of new entrants. In this research, we determine the typical health profiles of institutionalized elderly using novel longitudinal data from nursing homes in the canton of Geneva, Switzerland. Our data contain comprehensive information on health factors such as impairments of psychological and sensory functions, levels of limitations, and pathologies for 21<!--> <!-->549 individuals covering the period from 1996 to 2018. First, we perform a spectral clustering algorithm and determine the profiles of the institutionalized individuals. Then, we use multinomial logistic regression to study the effects of the factors that determine these health profiles. Our main findings include eight typical health profiles: the largest group consists of the most “healthy” individuals, who, on average, require the least amount of help with their daily needs and who stay in the institution the longest. We show that, in contrast to age at admission and gender, the limitations and the set of pathologies are relevant factors in determining the profile. Our study sheds light on the typical structures of elderly' health profiles, which can be used by institutions to organize their resources and by insurance companies to derive profile-based products that provide additional insurance coverage in case of special needs.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 223-241"},"PeriodicalIF":1.9,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167668723001051/pdfft?md5=9fa9c22ea3b9d4e00aa79ee918e148c8&pid=1-s2.0-S0167668723001051-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028941","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 family of variability measures based on the cumulative residual entropy and distortion functions 基于累积残差熵和失真函数的可变性测量系列
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2023-12-13 DOI: 10.1016/j.insmatheco.2023.12.002
Georgios Psarrakos , Abdolsaeed Toomaj , Polyxeni Vliora
{"title":"A family of variability measures based on the cumulative residual entropy and distortion functions","authors":"Georgios Psarrakos ,&nbsp;Abdolsaeed Toomaj ,&nbsp;Polyxeni Vliora","doi":"10.1016/j.insmatheco.2023.12.002","DOIUrl":"10.1016/j.insmatheco.2023.12.002","url":null,"abstract":"<div><p>Variability measures are important tools in the construction of premium principles and risk aversions. In this paper, we propose a family of such measures based on a distorted weighted cumulative residual entropy, which follows by a sensitivity analysis of distortion risk measures. For this family, we obtain properties, connections with other measures, a covariance representation, and some useful interpretations. Furthermore, we explore an application on premium principles based on beta generated distributions, and we give an empirical estimation. We also provide bounds and numerical illustrations.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 212-222"},"PeriodicalIF":1.9,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138687000","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 in defined contribution pension schemes with forward utility preferences 具有前向效用偏好的固定缴费养老金计划的最优投资
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2023-12-13 DOI: 10.1016/j.insmatheco.2023.12.001
Kenneth Tsz Hin Ng , Wing Fung Chong
{"title":"Optimal investment in defined contribution pension schemes with forward utility preferences","authors":"Kenneth Tsz Hin Ng ,&nbsp;Wing Fung Chong","doi":"10.1016/j.insmatheco.2023.12.001","DOIUrl":"10.1016/j.insmatheco.2023.12.001","url":null,"abstract":"<div><p>Optimal investment strategies of an individual worker during the accumulation phase in the defined contribution pension scheme have been well studied in the literature. Most of them adopted the classical backward model and approach, but any pre-specifications of retirement time, preferences, and market environment models do not often hold in such a prolonged horizon of the pension scheme. Pre-commitment to ensure the time-consistency of an optimal investment strategy derived from the backward model and approach leads the supposedly optimal strategy<span> to be sub-optimal in the actual realizations. This paper revisits the optimal investment problem for the worker during the accumulation phase in the defined contribution pension scheme, via the forward preferences, in which an environment-adapting strategy is able to hold optimality<span> and time-consistency together. Stochastic partial differential equation representation for the worker's forward preferences is illustrated. This paper constructs two of the forward utility preferences and solves the corresponding optimal investment strategies, in the cases of initial power and exponential utility functions.</span></span></p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 192-211"},"PeriodicalIF":1.9,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138687312","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 annuitization and asset allocation under linear habit formation 线性习惯养成下的最优年金和资产配置
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2023-12-07 DOI: 10.1016/j.insmatheco.2023.11.007
Guohui Guan , Zongxia Liang , Xingjian Ma
{"title":"Optimal annuitization and asset allocation under linear habit formation","authors":"Guohui Guan ,&nbsp;Zongxia Liang ,&nbsp;Xingjian Ma","doi":"10.1016/j.insmatheco.2023.11.007","DOIUrl":"10.1016/j.insmatheco.2023.11.007","url":null,"abstract":"<div><p>This paper studies the optimal consumption-investment-annuitization problem for a retiree with linear consumption habits. We explore the effect of consumption habits on the decision to annuitize when annuities are purchased as a lump sum. The problem is formulated as a combined stopping-control problem. We derive optimal annuitization time, investment, and consumption strategies by a generalized dual method and habit reduction method. We investigate the influence of various factors on the annuitization time and derive optimal annuitization time, which is a barrier strategy. The numerical simulations reveal several interesting results. Our results demonstrate that risk aversion, subjective hazard rate, and consumption habits all play a role in shaping annuitization decisions. Furthermore, we offer a new explanation for the rarity of voluntary annuitization among retirees.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 176-191"},"PeriodicalIF":1.9,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138548633","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 multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment 多代理不完全均衡模型及其在再保险定价和生命周期投资中的应用
IF 1.9 2区 经济学
Insurance Mathematics & Economics Pub Date : 2023-11-30 DOI: 10.1016/j.insmatheco.2023.11.006
Keisuke Kizaki , Taiga Saito , Akihiko Takahashi
{"title":"A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment","authors":"Keisuke Kizaki ,&nbsp;Taiga Saito ,&nbsp;Akihiko Takahashi","doi":"10.1016/j.insmatheco.2023.11.006","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.11.006","url":null,"abstract":"<div><p>This paper develops an incomplete equilibrium model with multi-agents' different risk attitudes and heterogeneous income/payout profiles. Particularly, we apply its concrete and computationally tractable model to reinsurance derivatives pricing and life-cycle investment, which are important for insurance and asset management companies in practice. In numerical experiments, we explicitly obtain endogenously determined expected returns of the risky asset in equilibrium, agents' specific reinsurance prices with their stochastic discount factors (SDF) and optimal life-cycle trading strategies. Moreover, we investigate how each agent's degree of risk aversion and income/payout profile, and correlations between an insurance or economic factor and the risky asset price affect reinsurance claims pricing and optimal portfolios in life-cycle investment.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"114 ","pages":"Pages 132-155"},"PeriodicalIF":1.9,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138490117","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
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