ASTIN Bulletin最新文献_第4页

Optimal consumption, investment, and insurance under state-dependent risk aversion 国家风险规避下的最优消费、投资和保险

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2023-01-01 DOI: 10.1017/asb.2022.25

Mogens Steffensen, Julie Søe

引用次数: 1

Target benefit pension plan with longevity risk and intergenerational equity 具有长寿风险和代际公平的目标收益养老金计划

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2023-01-01 DOI: 10.1017/asb.2022.27

X. Rong, Chengcheng Tao, H Zhao

引用次数: 2

ASB volume 53 issue 1 Cover and Back matter 美国会计准则第53卷第1期封面和封底

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2023-01-01 DOI: 10.1017/asb.2023.6

引用次数: 0

Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion 基准相对损失和投资组合保险下的投资组合表现:从欧米伽比率到损失厌恶

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2023-01-01 DOI: 10.1017/asb.2022.26

Tak Wa Ng, Thai Q. Nguyen

{"title":"Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion","authors":"Tak Wa Ng, Thai Q. Nguyen","doi":"10.1017/asb.2022.26","DOIUrl":"https://doi.org/10.1017/asb.2022.26","url":null,"abstract":"Abstract We study an optimal investment problem under a joint limited expected relative loss and portfolio insurance constraint with a general random benchmark. By making use of a static Lagrangian method in a complete market setting, the optimal wealth and investment strategy can be fully determined along with the existence and uniqueness of the Lagrangian multipliers. Our numerical demonstration for various commonly used random benchmarks shows a trade-off between the portfolio outperformance and underperformance relative to the benchmark, which may not be captured by the widely used Omega ratio and its utility-transformed version, reflecting the impact of the benchmarking loss constraint. Furthermore, we develop a new portfolio performance measurement indicator that incorporates the agent’s utility loss aversion relative to the benchmark via solving an equivalent optimal asset allocation problem with a benchmark-reference-based preference. We show that the expected utility performance is well depicted by looking at this new portfolio performance ratio, suggesting a more suitable portfolio performance measurement under a limited loss constraint relative to a possibly random benchmark.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"23 1","pages":"149 - 183"},"PeriodicalIF":1.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76532030","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

A defined benefit pension plan model with stochastic salary and heterogeneous discounting 具有随机工资和异质性贴现的固定收益养老金计划模型

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-12-01 DOI: 10.1017/asb.2022.22

Ricardo Josa-Fombellida, Paula López-Casado, Jorge Navas

引用次数: 0

Forecasting mortality rates with a coherent ensemble averaging approach 用连贯整体平均方法预测死亡率

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-11-25 DOI: 10.1017/asb.2022.23

Le Chang, Yanlin Shi

{"title":"Forecasting mortality rates with a coherent ensemble averaging approach","authors":"Le Chang, Yanlin Shi","doi":"10.1017/asb.2022.23","DOIUrl":"https://doi.org/10.1017/asb.2022.23","url":null,"abstract":"Abstract Modeling and forecasting of mortality rates are closely related to a wide range of actuarial practices, such as the designing of pension schemes. To improve the forecasting accuracy, age coherence is incorporated in many recent mortality models, which suggests that the long-term forecasts will not diverge infinitely among age groups. Despite their usefulness, misspecification is likely to occur for individual mortality models when applied in empirical studies. The reliableness and accuracy of forecast rates are therefore negatively affected. In this study, an ensemble averaging or model averaging (MA) approach is proposed, which adopts age-specific weights and asymptotically achieves age coherence in mortality forecasting. The ensemble space contains both newly developed age-coherent and classic age-incoherent models to achieve the diversity. To realize the asymptotic age coherence, consider parameter errors, and avoid overfitting, the proposed method minimizes the variance of out-of-sample forecasting errors, with a uniquely designed coherent penalty and smoothness penalty. Our empirical data set include ten European countries with mortality rates of 0–100 age groups and spanning 1950–2016. The outstanding performance of MA is presented using the empirical sample for mortality forecasting. This finding robustly holds in a range of sensitivity analyses. A case study based on the Italian population is finally conducted to demonstrate the improved forecasting efficiency of MA and the validity of the proposed estimation of weights, as well as its usefulness in actuarial applications such as the annuity pricing.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"39 1","pages":"2 - 28"},"PeriodicalIF":1.9,"publicationDate":"2022-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84636767","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: 1

Modelling mortality: A bayesian factor-augmented var (favar) approach 死亡率建模:贝叶斯因素增强var (favar)方法

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-11-25 DOI: 10.1017/asb.2022.24

Yang Lu, Dan Zhu

引用次数: 1

Ermanno Pitacco (1947–2022)

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-10-18 DOI: 10.1007/s13385-022-00333-1

Paul Embrechts, Mario Wüthrich

引用次数: 0

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES 具有持续效应的径流三角形梯形损失预测新模型

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-09-01 DOI: 10.1017/asb.2022.17

F. Usman, J. Chan

{"title":"NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES","authors":"F. Usman, J. Chan","doi":"10.1017/asb.2022.17","DOIUrl":"https://doi.org/10.1017/asb.2022.17","url":null,"abstract":"Abstract Modelling loss reserve data in run-off triangles is challenging due to the complex but unknown dynamics in the claim/loss process. Popular loss reserve models describe the mean process through development year, accident year, and calendar year effects using the analysis of variance and covariance (ANCOVA) models. We propose to include in the mean function the persistence terms in the conditional autoregressive range model for modelling the persistence of claim across development years. In the ANCOVA model, we adopt linear trends for the accident and calendar year effects and a quadratic trend for the development year effect. We investigate linear or log-transformed mean functions and four distributions, namely generalised beta type 2, generalised gamma, Weibull, and exponential extension, with positive support to enhance the model flexibility. The proposed models are implemented using the Bayesian user-friendly package Stan running in the R environment. Results show that the models with log-transformed mean function and persistence terms provide better model fits. Lastly, the best model is applied to forecast partial loss reserve and calendar year reserve for three years.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"30 1","pages":"877 - 920"},"PeriodicalIF":1.9,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80948098","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

EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH 用变分自编码器扩展lee-carter模型:神经网络与贝叶斯方法的融合

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-09-01 DOI: 10.1017/asb.2022.15

Akihiro Miyata, Naoki Matsuyama

引用次数: 2