ASTIN Bulletin最新文献

Construction of rating systems using global sensitivity analysis: A numerical investigation 利用全局敏感性分析构建评级系统:数值研究

3区经济学

ASTIN Bulletin Pub Date : 2023-10-19 DOI: 10.1017/asb.2023.34

Arianna Vallarino, Giovanni Rabitti, Amir Khorrami Chokami

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引用次数: 0

Optimal VIX-linked structure for the target benefit pension plan 目标收益养老金计划的最优vix挂钩结构

3区经济学

ASTIN Bulletin Pub Date : 2023-10-18 DOI: 10.1017/asb.2023.33

Lv Chen, Danping Li, Yumin Wang, Xiaobai Zhu

引用次数: 0

Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer 股票挂钩保险产品的风险分担:保险公司和再保险公司之间的Stackelberg均衡

3区经济学

ASTIN Bulletin Pub Date : 2023-10-18 DOI: 10.1017/asb.2023.32

Yevhen Havrylenko, Maria Hinken, Rudi Zagst

{"title":"Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer","authors":"Yevhen Havrylenko, Maria Hinken, Rudi Zagst","doi":"10.1017/asb.2023.32","DOIUrl":"https://doi.org/10.1017/asb.2023.32","url":null,"abstract":"Abstract We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to purchase reinsurance. Since a reinsurance contract implies an interaction between the insurer and the reinsurer, we model the optimization problem as a Stackelberg game. The reinsurer is the leader in the game and maximizes its expected utility by selecting its optimal investment strategy and a safety loading in the reinsurance contract it offers to the insurer. The reinsurer can assess how the insurer will rationally react on each action of the reinsurer. The insurance company is the follower and maximizes its expected utility by choosing its investment strategy and the amount of reinsurance the company purchases at the price offered by the reinsurer. In this game, we derive the Stackelberg equilibrium for general utility functions. For power utility functions, we calculate the equilibrium explicitly and find that the reinsurer selects the largest reinsurance premium such that the insurer may still buy the maximal amount of reinsurance. Since in the equilibrium the insurer is indifferent in the amount of reinsurance, in practice, the reinsurer should consider charging a smaller reinsurance premium than the equilibrium one. Therefore, we propose several criteria for choosing such a discount rate and investigate its wealth-equivalent impact on the expected utility of each party.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135885032","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 2

ASB volume 53 issue 3 Cover and Front matter 美国会计准则第53卷第3期封面和封面事项

3区经济学

ASTIN Bulletin Pub Date : 2023-09-01 DOI: 10.1017/asb.2023.30

引用次数: 0

Target benefit versus defined contribution scheme: a multi-period framework 目标福利与设定供款计划:多期框架

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2023-09-01 DOI: 10.1017/asb.2023.27

Ping Chen, Haixiang Yao, Hailiang Yang, Dan Zhu

{"title":"Target benefit versus defined contribution scheme: a multi-period framework","authors":"Ping Chen, Haixiang Yao, Hailiang Yang, Dan Zhu","doi":"10.1017/asb.2023.27","DOIUrl":"https://doi.org/10.1017/asb.2023.27","url":null,"abstract":"Abstract A target benefit plan (TBP) is a collective defined contribution (DC) plan that is growing in popularity in Canada. Similar to DC plans, TBPs have fixed contribution rates, but they also implement pooling of longevity and investment risk. In this paper, we formulate a multi-period model that incorporates two sources of risk – asset risk and labor income risk for active members. We present an optimal investment and retirement benefits schedule for TBP members with a fixed contribution rate. Using Australian data from 1965 to 2018, we evaluate the performance of the optimal TBP scheme and compare it to the optimal DC scheme. By adopting the benefit–investment strategy derived in this paper, we demonstrate the stability of benefit distribution over time for a TBP scheme in this stochastic formulation. To outperform the DC scheme’s benefit payment, careful consideration shall be given to the benefit target in the TBP scheme. A high target may not be achievable, while a low target can impede the accumulation momentum of the fund’s wealth in its early stages. Moreover, a TBP fund’s investment strategy is primarily influenced by the wealth target, with more aggressive investments in risky assets as the wealth target increases. This analysis may shed light on the possible improvements to retirement planning in Australia. Although the results are sensitive to the choice of model parameters, overall, the proposed TBP promotes system stability in various scenarios.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"54 1","pages":"545 - 579"},"PeriodicalIF":1.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82714576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

ASB volume 53 issue 3 Cover and Back matter 美国会计准则第53卷第3期封面和封底

3区经济学

ASTIN Bulletin Pub Date : 2023-09-01 DOI: 10.1017/asb.2023.31

引用次数: 0

Multi-population mortality modelling: a Bayesian hierarchical approach 多种群死亡率模型:贝叶斯分层方法

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2023-08-25 DOI: 10.1017/asb.2023.29

Jianjie Shi, Yanlin Shi, Pengjie Wang, Dan Zhu

引用次数: 0

Range-based risk measures and their applications 基于范围的风险度量及其应用

IF 1.9 3区经济学