Insurance Mathematics & Economics最新文献_第9页

Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm 用EM算法将Tweedie的复合泊松模型拟合到纯溢价

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-11-17 DOI: 10.1016/j.insmatheco.2023.10.002

Guangyuan Gao

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引用次数: 0

Risk-neutral valuation of GLWB riders in variable annuities 可变年金中GLWB骑手的风险中性估值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-11-09 DOI: 10.1016/j.insmatheco.2023.10.001

Anna Rita Bacinello , Rosario Maggistro , Ivan Zoccolan

引用次数: 0

Analyzing the interest rate risk of equity-indexed annuities via scenario matrices 运用情景矩阵分析股票指数年金的利率风险

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-11-08 DOI: 10.1016/j.insmatheco.2023.10.003

Sascha Günther, Peter Hieber

引用次数: 0

Diagnostic tests before modeling longitudinal actuarial data 纵向精算数据建模前的诊断测试

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-20 DOI: 10.1016/j.insmatheco.2023.09.002

Yinhuan Li , Tsz Chai Fung , Liang Peng , Linyi Qian

{"title":"Diagnostic tests before modeling longitudinal actuarial data","authors":"Yinhuan Li , Tsz Chai Fung , Liang Peng , Linyi Qian","doi":"10.1016/j.insmatheco.2023.09.002","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.09.002","url":null,"abstract":"<div><p>In non-life insurance, it is essential to understand the serial dynamics and dependence structure of the longitudinal insurance data before using them. Existing actuarial literature primarily focuses on modeling, which typically assumes a lack of serial dynamics and a pre-specified dependence structure of claims across multiple years. To fill in the research gap, we develop two diagnostic tests, namely the serial dynamic test and correlation test, to assess the appropriateness of these assumptions and provide justifiable modeling directions. The tests involve the following ingredients: i) computing the change of the cross-sectional estimated parameters under a logistic regression model and the empirical residual correlations of the claim occurrence indicators across time, which serve as the indications to detect serial dynamics; ii) quantifying estimation uncertainty using the randomly weighted bootstrap approach; iii) developing asymptotic theories to construct proper test statistics. The proposed tests are examined by simulated data and applied to two non-life insurance datasets, revealing that the two datasets behave differently.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"113 ","pages":"Pages 310-325"},"PeriodicalIF":1.9,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49851249","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 risk management with reinsurance and its counterparty risk hedging 再保险及其交易对手风险对冲的最优风险管理

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-19 DOI: 10.1016/j.insmatheco.2023.09.003

Yichun Chi , Tao Hu , Yuxia Huang

引用次数: 0

Two-phase selection of representative contracts for valuation of large variable annuity portfolios 大型可变年金投资组合价值评估中代表性合约的两阶段选择

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-14 DOI: 10.1016/j.insmatheco.2023.08.009

Ruihong Jiang, David Saunders, Chengguo Weng

引用次数: 0

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics 具有错误定价和随机因素市场动态的稳健最优资产负债管理

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-12 DOI: 10.1016/j.insmatheco.2023.09.001

Ning Wang , Yumo Zhang

{"title":"Robust optimal asset-liability management with mispricing and stochastic factor market dynamics","authors":"Ning Wang , Yumo Zhang","doi":"10.1016/j.insmatheco.2023.09.001","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.09.001","url":null,"abstract":"<div><p>This paper investigates a robust optimal asset-liability management problem under an expected utility maximization criterion. More specifically, the manager is concerned about the potential model uncertainty and aims to seek the robust optimal investment strategies. We incorporate an uncontrollable random liability described by a generalized drifted Brownian motion. Also, the manager has access to an incomplete financial market consisting of a risk-free asset, a market index with potentially path-dependent, time-varying risk premium and volatility, and a pair of mispriced stocks. The market dynamics are assumed to rely on an affine-form, square-root factor process and the price error is modeled by a co-integrated system. We adopt a backward stochastic differential equation approach hinging on the martingale optimality principle to solve this non-Markovian robust control problem. Closed-form expressions for the robust optimal investment strategies, the probability perturbation process under the well-defined worst-case scenario and the corresponding value function are derived. The admissibility of the robust optimal controls is verified under some technical conditions. Finally, we perform some numerical examples to illustrate the effects of model parameters on the robust investment strategies and draw some economic interpretations from these results.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"113 ","pages":"Pages 251-273"},"PeriodicalIF":1.9,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49851144","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

IME's Editorial Board IME编辑委员会

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-07 DOI: 10.1016/j.insmatheco.2023.08.010

Rob Kaas, Roger J.A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot, Hailiang Yang

引用次数: 0

European option pricing with market frictions, regime switches and model uncertainty 市场摩擦、制度转换和模型不确定性下的欧洲期权定价

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-04 DOI: 10.1016/j.insmatheco.2023.08.008

Tak Kuen Siu

引用次数: 0

Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin 以有界、绝对连续的速率进行年金化，以最小化终身破产的概率

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI: 10.1016/j.insmatheco.2023.06.003

Xiaoqing Liang , Virginia R. Young

{"title":"Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin","authors":"Xiaoqing Liang , Virginia R. Young","doi":"10.1016/j.insmatheco.2023.06.003","DOIUrl":"https://doi.org/10.1016/j.insmatheco.2023.06.003","url":null,"abstract":"<div><p>We minimize the probability of lifetime ruin in a deterministic financial and insurance model, although the investor's time of death is random, with an age-dependent force of mortality. By contrast with the traditional anything-anytime annuitization model (that is, individuals can annuitize any fraction of their wealth at anytime), the individual only purchases life annuity income gradually, using a bounded, absolutely continuous rate. As in the anything-anytime annuitization case, we find that it is optimal for the individual not to purchase additional annuity income when her wealth is less than a specific linear function of her existing annuity income, which we call the <em>buy boundary</em>. Interestingly, we find the buy boundary in our model is identical to the one in the anything-anytime annuitization model. However, there is a separate threshold, which we call the <em>safe level</em>. (This threshold degenerates to the buy boundary in the anything-anytime annuitization model.) When wealth is greater than the safe level, the minimum probability of lifetime ruin is zero; when wealth lies between the buy boundary and the safe level, the individual's best choice is to purchase annuity income at the maximum allowable rate.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"112 ","pages":"Pages 80-96"},"PeriodicalIF":1.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49838188","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