Insurance Mathematics & Economics最新文献_第9页

A usage-based insurance (UBI) pricing model considering customer retention 考虑客户保留的基于使用的保险（UBI）定价模型

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-01 Epub Date: 2025-07-05 DOI: 10.1016/j.insmatheco.2025.103132

Hong-Jie Li , Xing-Gang Luo , Zhong-Liang Zhang , Shen-Wei Huang , Wei Jiang

引用次数: 0

The principle of a single big jump from the perspective of tail moment risk measure 从尾矩风险测度的角度分析了单次大跳跃的原理

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-01 Epub Date: 2025-05-28 DOI: 10.1016/j.insmatheco.2025.103118

Jinzhu Li

{"title":"The principle of a single big jump from the perspective of tail moment risk measure","authors":"Jinzhu Li","doi":"10.1016/j.insmatheco.2025.103118","DOIUrl":"10.1016/j.insmatheco.2025.103118","url":null,"abstract":"<div><div>Consider a financial or insurance system with a finite number of individual components. The famous principle of a single big jump (PSBJ) says that a system crisis occurs mainly due to a single but unusually large loss from some individual component. Most of literatures modeled the PSBJ through the tail probabilities of the largest risk and the total risk of the system. Different from the existing works, this paper is devoted to explore the PSBJ from a new perspective. We aim to establish the PSBJ based on a kind of risk measure defined via the tail moments of the related risks. Our study is mainly conducted under a widely used framework, in which the individual risks are pairwise asymptotically independent and have the distributions from the Fréchet or Gumbel max-domain of attraction. The asymptotic behavior of the tail mixed moments is also discussed in detail. The results obtained are applied to an optimal capital allocation problem based on a tail mean-variance model. A numerical study is given to illustrate the accuracy of our main asymptotic results. We also give a thorough discussion on some interesting theoretical properties regarding the PSBJ.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103118"},"PeriodicalIF":1.9,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195362","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

Care-dependent target benefit pension plan with minimum liability gap 照顾依赖的目标福利养老金计划与最小的责任差距

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-01 Epub Date: 2025-06-25 DOI: 10.1016/j.insmatheco.2025.103127

Ruotian Ti , Ximin Rong , Cheng Tao , Hui Zhao

{"title":"Care-dependent target benefit pension plan with minimum liability gap","authors":"Ruotian Ti , Ximin Rong , Cheng Tao , Hui Zhao","doi":"10.1016/j.insmatheco.2025.103127","DOIUrl":"10.1016/j.insmatheco.2025.103127","url":null,"abstract":"<div><div>With the progressive aging of populations, the significance of long-term care (LTC) services in aging societies is growing. In this paper, we integrate LTC services with pensions, studying a stochastic model for a care-dependent target benefit pension (TBP) plan. The plan members' target benefit rates are set according to the care cost for three different health states, i.e., healthy, mildly disabled and severely disabled states. The pension liability evaluation is defined as the potential compensation to all active and retired members, under the assumption of the pension fund default. The objective of minimizing the benefit gap and liability gap is achieved by addressing a stochastic optimal control problem. Then, we derive analytic solutions for optimal investment and benefit payment strategies by employing the corresponding Hamilton-Jacobi-Bellman (HJB) equation. Numerical results show that under a fixed aggregate contribution of the care-dependent TBP, a slight decrease in the target benefit for healthy retirees leads to a significant increase for retirees in both mildly and severely disabled states, thereby improving equity for disabled retirees. Furthermore, we compare the care-dependent TBP with a traditional TBP and a care-dependent tontine in terms of risk sharing, financial stability, and intergenerational equity, highlighting the advantages of the care-dependent TBP.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"124 ","pages":"Article 103127"},"PeriodicalIF":1.9,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144491368","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

As-if-Markov reserves for reserve-dependent payments 对依赖于储备的支付的似马尔可夫准备金

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-09-01 Epub Date: 2025-06-23 DOI: 10.1016/j.insmatheco.2025.103129

Marcus C. Christiansen , Boualem Djehiche

引用次数: 0

Efficient hedging of life insurance portfolio for loss-averse insurers 规避损失保险公司寿险投资组合的有效套期保值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-01 Epub Date: 2025-05-23 DOI: 10.1016/j.insmatheco.2025.103116

Edouard Motte, Donatien Hainaut

{"title":"Efficient hedging of life insurance portfolio for loss-averse insurers","authors":"Edouard Motte, Donatien Hainaut","doi":"10.1016/j.insmatheco.2025.103116","DOIUrl":"10.1016/j.insmatheco.2025.103116","url":null,"abstract":"<div><div>This paper investigates the hedging of equity-linked life insurance portfolio for loss-averse insurers. We consider a general arbitrage-free financial market and an actuarial market composed of <em>n</em>-independent policyholders. As the combined market is incomplete, perfect hedging of any actuarial-financial payoff is not possible. Instead, we study the efficient hedging of <em>n</em>-size equity-linked life insurance portfolio for insurers who are only concerned with their losses. To this end, we consider stochastic control problems (under the real-world measure) in order to determine the optimal hedging strategies that either maximize the probability of successful hedge (called quantile hedging) or minimize the expectation for a class of shortfall loss functions (called shortfall hedging). Based on the super-replication theory and a duality approach, we show that the optimal strategies depend both on actuarial and financial risks. Moreover, these strategies adapt not only to the size of the insurance portfolio but also to the risk-aversion of the insurer. The numerical results show that, for loss-averse insurers, the strategies outperform the mean-variance hedging strategy, demonstrating the relevance of adopting the right strategy according to the insurers' risk aversion and portfolio size.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103116"},"PeriodicalIF":1.9,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144138149","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

Approximations of multi-period liability values by simple formulas 用简单公式近似计算多期负债值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-01 Epub Date: 2025-04-15 DOI: 10.1016/j.insmatheco.2025.103112

Nils Engler, Filip Lindskog

引用次数: 0

Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing 利用承保控制测试改进纵向精算数据的连续动态检测

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-01 Epub Date: 2025-04-16 DOI: 10.1016/j.insmatheco.2025.103111

Tsz Chai Fung

{"title":"Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing","authors":"Tsz Chai Fung","doi":"10.1016/j.insmatheco.2025.103111","DOIUrl":"10.1016/j.insmatheco.2025.103111","url":null,"abstract":"<div><div>Longitudinal actuarial data, where policyholders' claims are recorded over multiple years, offer valuable insights for pricing and reserving. However, standard modeling approaches typically assume no serial dynamics in conditional claim distributions over time. Such an assumption is difficult to validate given that most non-life insurance products are short-term, yielding data from only a few years. Recent diagnostic methods can detect serial dynamics but do not distinguish between changes induced by endogenous underwriting standards (e.g., renewal and pricing policies favoring low-risk policyholders) and genuine, exogenous temporal shifts (e.g., evolving socioeconomic environment). In this paper, we develop underwriting-controlled serial dynamic tests for longitudinal actuarial data. By applying an inverse-probability-weighted estimation approach, we adjust for underwriting effects and thus detect the true underlying serial dynamics. We propose tests based on three metrics, parameter difference, prediction bias, and prediction loss, enabling both statistical and economic interpretations of dynamic changes. Simulation studies show that our tests avoid false detections caused by underwriting effects. An analysis using European automobile insurance data illustrates how our approach offers deeper insights into when and why serial dynamics emerge.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103111"},"PeriodicalIF":1.9,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143855796","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

Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era 从COVID-19吸取教训：大流行后时代的巨灾死亡率债券解决方案

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-01 Epub Date: 2025-05-21 DOI: 10.1016/j.insmatheco.2025.103113

Ze Chen , Hong Li , Yu Mao , Kenneth Q. Zhou

引用次数: 0

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models Wishart随机波动率模型中路径相关担保的可变年金定价与套期保值

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-01 Epub Date: 2025-05-20 DOI: 10.1016/j.insmatheco.2025.103114

José Da Fonseca , Patrick Wong

引用次数: 0

Portfolio benchmarks in defined contribution pension plan management 固定缴费养老金计划管理中的投资组合基准

IF 1.9 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-07-01 Epub Date: 2025-04-08 DOI: 10.1016/j.insmatheco.2025.04.002

Daxin Huang , Yang Liu

{"title":"Portfolio benchmarks in defined contribution pension plan management","authors":"Daxin Huang , Yang Liu","doi":"10.1016/j.insmatheco.2025.04.002","DOIUrl":"10.1016/j.insmatheco.2025.04.002","url":null,"abstract":"<div><div>In financial practice, a portfolio benchmark is of importance as it characterizes the fluctuation of the market and better evaluates the performance of the fund manager. We study the optimal investment problem of Defined Contribution (DC) pension plan management with portfolio benchmarks. As such, three technical difficulties arise, and we overcome them accordingly. First, the classic Legendre transformation cannot handle the stochastic nature of the portfolio benchmark. We introduce a parameterized Legendre transformation technique and conduct it to obtain closed-form optimal control strategies. Second, we discover that the optimal solution is not unique when the drift parameter of the benchmark is exactly Merton's constant. We employ a risk management criterion minimizing the liquidation probability to further select a “best” control strategy among the optimums. Third, the Lagrange multiplier cannot be directly solved from the budget constraint. We propose a new numerical technique called the Monte Carlo bisection method to solve it. Therefore, we can analyze the optimal strategies with asymptotic analysis and demonstrate financial insights. We find that when the benchmark is deterministic or its drift is low, the optimal investment aligns with the literature, while the high-drift benchmarks lead to an opposite risk behavior. Finally, empirical validation using the US and Chinese market data shows that our strategy is more effective in a lower risk-premium market.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"123 ","pages":"Article 103110"},"PeriodicalIF":1.9,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143834319","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