ASTIN Bulletin最新文献_第6页

TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS 团体自我年金投资组合的目标波动率策略

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-04-11 DOI: 10.1017/asb.2022.7

A. Olivieri, Samuel Thirurajah, Jonathan Ziveyi

{"title":"TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS","authors":"A. Olivieri, Samuel Thirurajah, Jonathan Ziveyi","doi":"10.1017/asb.2022.7","DOIUrl":"https://doi.org/10.1017/asb.2022.7","url":null,"abstract":"Abstract While the current pandemic is causing mortality shocks globally, the management of longevity risk remains a major challenge for both individuals and institutions. It is high time there be private market solutions designed for efficient longevity risk transfer among various stakeholders such as individuals, pension funds and annuity providers. From individuals’ point of view, appealing features of post-retirement solutions include stable and satisfactory benefit levels, flexibility, meeting bequest preferences and low fees. This paper proposes a dynamic target volatility strategy for group self-annuitization (GSA) schemes aimed at enhancing living benefits for pool participants. More specifically, we suggest investing GSA funds in a portfolio consisting of equity and cash, continuously rebalanced to maintain a target volatility level. The performance of a dynamic target volatility strategy is assessed against the static case which does not involve portfolio rebalancing. Benefit profiles are assessed by analysing quantiles and alternative strategies involving varying equity compositions. The case of death benefits is included, and the fund dynamics analysed by assessing resulting investment returns and the mortality credits. Overall, higher living benefit profiles are obtained under a dynamic target volatility strategy. From the analysis performed, a trade-off between the equity proportion and the impact on the lower quantile of the living benefit amount emerges, suggesting an optimal proportion of equity composition.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"12 1","pages":"591 - 617"},"PeriodicalIF":1.9,"publicationDate":"2022-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78103804","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: 4

Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims 以非寿险理赔发生与发展模式，弥合定价与预留之间的差距

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-03-14 DOI: 10.1017/asb.2023.14

Jonas Crevecoeur, Katrien Antonio, S. Desmedt, Alexandre Masquelein

{"title":"Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims","authors":"Jonas Crevecoeur, Katrien Antonio, S. Desmedt, Alexandre Masquelein","doi":"10.1017/asb.2023.14","DOIUrl":"https://doi.org/10.1017/asb.2023.14","url":null,"abstract":"Abstract Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life insurance pricing tackles these right censored data via a two-step procedure. First, best estimates are computed for the number of claims that occurred in past exposure periods and the ultimate claim severities, using the incomplete, historical claim data. Second, pricing actuaries build predictive models to estimate technical, pure premiums for new contracts by treating these best estimates as actual observed outcomes, hereby neglecting their inherent uncertainty. We propose an alternative approach that brings valuable insights for both non-life pricing and reserving. As such, we effectively bridge these two key actuarial tasks that have traditionally been discussed in silos. Hereto, we develop a granular occurrence and development model for non-life claims that tackles reserving and at the same time resolves the inconsistency in traditional pricing techniques between actual observations and imputed best estimates. We illustrate our proposed model on an insurance as well as a reinsurance portfolio. The advantages of our proposed strategy are most compelling in the reinsurance illustration where large uncertainties in the best estimates originate from long reporting and settlement delays, low claim frequencies and heavy (even extreme) claim sizes.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"80 1","pages":"185 - 212"},"PeriodicalIF":1.9,"publicationDate":"2022-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73901061","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: 3

FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING 用于索赔保留的功能概要文件技术

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-03-10 DOI: 10.1017/asb.2022.4

M. Maciak, I. Mizera, M. Pešta

{"title":"FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING","authors":"M. Maciak, I. Mizera, M. Pešta","doi":"10.1017/asb.2022.4","DOIUrl":"https://doi.org/10.1017/asb.2022.4","url":null,"abstract":"Abstract One of the most fundamental tasks in non-life insurance, done on regular basis, is risk reserving assessment analysis, which amounts to predict stochastically the overall loss reserves to cover possible claims. The most common reserving methods are based on different parametric approaches using aggregated data structured in the run-off triangles. In this paper, we propose a rather non-parametric approach, which handles the underlying loss development triangles as functional profiles and predicts the claim reserve distribution through permutation bootstrap. Three competitive functional-based reserving techniques, each with slightly different scope, are presented; their theoretical and practical advantages – in particular, effortless implementation, robustness against outliers, and wide-range applicability – are discussed. Theoretical justifications of the methods are derived as well. An evaluation of the empirical performance of the designed methods and a full-scale comparison with standard (parametric) reserving techniques are carried on several hundreds of real run-off triangles against the known real loss outcomes. An important objective of the paper is also to promote the idea of natural usefulness of the functional reserving methods among the reserving practitioners.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"10 1","pages":"449 - 482"},"PeriodicalIF":1.9,"publicationDate":"2022-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74724724","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

A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN 一个简单的和近乎最佳的投资策略，以尽量减少终身破产的可能性

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-02-16 DOI: 10.1017/asb.2022.3

Xiaoqing Liang, V. Young

引用次数: 1

A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE 一种新的多元零膨胀障碍模型及其在汽车保险中的应用

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-01-07 DOI: 10.1017/asb.2021.39

Pengcheng Zhang, David G. W. Pitt, Xueyuan Wu

{"title":"A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE","authors":"Pengcheng Zhang, David G. W. Pitt, Xueyuan Wu","doi":"10.1017/asb.2021.39","DOIUrl":"https://doi.org/10.1017/asb.2021.39","url":null,"abstract":"Abstract The fact that a large proportion of insurance policyholders make no claims during a one-year period highlights the importance of zero-inflated count models when analyzing the frequency of insurance claims. There is a vast literature focused on the univariate case of zero-inflated count models, while work in the area of multivariate models is considerably less advanced. Given that insurance companies write multiple lines of insurance business, where the claim counts on these lines of business are often correlated, there is a strong incentive to analyze multivariate claim count models. Motivated by the idea of Liu and Tian (Computational Statistics and Data Analysis, 83, 200–222; 2015), we develop a multivariate zero-inflated hurdle model to describe multivariate count data with extra zeros. This generalization offers more flexibility in modeling the behavior of individual claim counts while also incorporating a correlation structure between claim counts for different lines of insurance business. We develop an application of the expectation–maximization (EM) algorithm to enable the statistical inference necessary to estimate the parameters associated with our model. Our model is then applied to an automobile insurance portfolio from a major insurance company in Spain. We demonstrate that the model performance for the multivariate zero-inflated hurdle model is superior when compared to several alternatives.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"36 1","pages":"393 - 416"},"PeriodicalIF":1.9,"publicationDate":"2022-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74947442","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: 5

ASB volume 52 issue 1 Cover and Back matter 美国会计准则第52卷第1期封面和封底

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-01-01 DOI: 10.1017/asb.2022.2

引用次数: 0

ASB volume 52 issue 1 Cover and Front matter 美国会计准则第52卷第1期封面和封面事项

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-01-01 DOI: 10.1017/asb.2022.1

引用次数: 0

MULTIVARIATE COMPOSITE COPULAS – CORRIGENDUM 多元复合copula -勘误

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2022-01-01 DOI: 10.1017/asb.2021.38