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A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS 具有索赔开放性的集体保留模式
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-12-03 DOI: 10.1017/asb.2021.33
M. Lindholm, Henning Zakrisson
{"title":"A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS","authors":"M. Lindholm, Henning Zakrisson","doi":"10.1017/asb.2021.33","DOIUrl":"https://doi.org/10.1017/asb.2021.33","url":null,"abstract":"Abstract The present paper introduces a simple aggregated reserving model based on claim count and payment dynamics, which allows for claim closings and re-openings. The modelling starts off from individual Poisson process claim dynamics in discrete time, keeping track of accident year, reporting year and payment delay. This modelling approach is closely related to the one underpinning the so-called double chain-ladder model, and it allows for producing separate reported but not settled and incurred but not reported reserves. Even though the introduction of claim closings and re-openings will produce new types of dependencies, it is possible to use flexible parametrisations in terms of, for example, generalised linear models (GLM) whose parameters can be estimated based on aggregated data using quasi-likelihood theory. Moreover, it is possible to obtain interpretable and explicit moment calculations, as well as having consistency of normalised reserves when the number of contracts tend to infinity. Further, by having access to simple analytic expressions for moments, it is computationally cheap to bootstrap the mean squared error of prediction for reserves. The performance of the model is illustrated using a flexible GLM parametrisation evaluated on non-trivial simulated claims data. This numerical illustration indicates a clear improvement compared with models not taking claim closings and re-openings into account. The results are also seen to be of comparable quality with machine learning models for aggregated data not taking claim openness into account.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"75 1","pages":"117 - 143"},"PeriodicalIF":1.9,"publicationDate":"2021-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82236857","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
JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING 联合模型预测及其在个人损失计提中的应用
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-11-05 DOI: 10.1017/asb.2021.28
A. Okine, E. Frees, Peng Shi
{"title":"JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING","authors":"A. Okine, E. Frees, Peng Shi","doi":"10.1017/asb.2021.28","DOIUrl":"https://doi.org/10.1017/asb.2021.28","url":null,"abstract":"Abstract Innon-life insurance, the payment history can be predictive of the timing of a settlement for individual claims. Ignoring the association between the payment process and the settlement process could bias the prediction of outstanding payments. To address this issue, we introduce into the literature of micro-level loss reserving a joint modeling framework that incorporates longitudinal payments of a claim into the intensity process of claim settlement. We discuss statistical inference and focus on the prediction aspects of the model. We demonstrate applications of the proposed model in the reserving practice with a detailed empirical analysis using data from a property insurance provider. The prediction results from an out-of-sample validation show that the joint model framework outperforms existing reserving models that ignore the payment–settlement association.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"13 1","pages":"91 - 116"},"PeriodicalIF":1.9,"publicationDate":"2021-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91112959","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: 7
MULTIVARIATE COMPOSITE COPULAS 多元复合copula
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-11-03 DOI: 10.1017/asb.2021.30
Jiehua Xie, Jun Fang, Jingping Yang, Lan Bu
{"title":"MULTIVARIATE COMPOSITE COPULAS","authors":"Jiehua Xie, Jun Fang, Jingping Yang, Lan Bu","doi":"10.1017/asb.2021.30","DOIUrl":"https://doi.org/10.1017/asb.2021.30","url":null,"abstract":"Abstract In this paper, we present a method for generating a copula by composing two arbitrary n-dimensional copulas via a vector of bivariate functions, where the resulting copula is named as the multivariate composite copula. A necessary and sufficient condition on the vector guaranteeing the composite function to be a copula is given, and a general approach to construct the vector satisfying this necessary and sufficient condition via bivariate copulas is provided. The multivariate composite copula proposes a new framework for the construction of flexible multivariate copula from existing ones, and it also includes some known classes of copulas. It is shown that the multivariate composite copula has a clear probability structure, and it satisfies the characteristic of uniform convergence as well as the reproduction property for its component copulas. Some properties of multivariate composite copulas are discussed. Finally, numerical illustrations and an empirical example on financial data are provided to show the advantages of the multivariate composite copula, especially in capturing the tail dependence.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"10 1","pages":"145 - 184"},"PeriodicalIF":1.9,"publicationDate":"2021-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90672043","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
PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING 索赔严重性回归建模的阶段类型分布
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-10-11 DOI: 10.1017/asb.2021.40
Martin Bladt
{"title":"PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING","authors":"Martin Bladt","doi":"10.1017/asb.2021.40","DOIUrl":"https://doi.org/10.1017/asb.2021.40","url":null,"abstract":"Abstract This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability insurance, where heavy-tails and multimodality often hamper a direct statistical analysis. We propose to use regression models based on phase-type distributions, regressing on their underlying inhomogeneous Markov intensity and using an extension of the expectation–maximization algorithm. These models are interpretable and tractable in terms of multistate processes and generalize the proportional hazards specification when the dimension of the state space is larger than 1. We show that the combination of matrix parameters, inhomogeneity transforms, and covariate information provides flexible regression models that effectively capture the entire distribution of loss severities.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"44 1","pages":"417 - 448"},"PeriodicalIF":1.9,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86218123","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: 6
JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE 汽车保险中索赔频率和行为信号的联合建模
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-10-07 DOI: 10.1017/asb.2021.24
Alexandre Corradin, M. Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco, J. Trufin
{"title":"JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE","authors":"Alexandre Corradin, M. Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco, J. Trufin","doi":"10.1017/asb.2021.24","DOIUrl":"https://doi.org/10.1017/asb.2021.24","url":null,"abstract":"Abstract Telematicsdevices installed in insured vehicles provide actuaries with new risk factors, such as the time of the day, average speeds, and other driving habits. This paper extends the multivariate mixed model describing the joint dynamics of telematics data and claim frequencies proposed by Denuit et al. (2019a) by allowing for signals with various formats, not necessarily integer-valued, and by replacing the estimation procedure with the Expected Conditional Maximization algorithm. A numerical study performed on a database related to Pay-How-You-Drive, or PHYD motor insurance illustrates the relevance of the proposed approach for practice.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"299 1","pages":"33 - 54"},"PeriodicalIF":1.9,"publicationDate":"2021-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73165407","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 51 issue 3 Cover and Back matter 美国会计准则第51卷第3期封面和封底
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-09-01 DOI: 10.1017/asb.2021.27
{"title":"ASB volume 51 issue 3 Cover and Back matter","authors":"","doi":"10.1017/asb.2021.27","DOIUrl":"https://doi.org/10.1017/asb.2021.27","url":null,"abstract":"","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"29 1","pages":"b1 - b13"},"PeriodicalIF":1.9,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74148121","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 51 issue 3 Cover and Front matter 《会计准则》第51卷第3期封面和封面事项
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-09-01 DOI: 10.1017/asb.2021.26
{"title":"ASB volume 51 issue 3 Cover and Front matter","authors":"","doi":"10.1017/asb.2021.26","DOIUrl":"https://doi.org/10.1017/asb.2021.26","url":null,"abstract":"","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"47 1","pages":"f1 - f2"},"PeriodicalIF":1.9,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90276580","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
COST-SENSITIVE MULTI-CLASS ADABOOST FOR UNDERSTANDING DRIVING BEHAVIOR BASED ON TELEMATICS 基于远程信息处理的成本敏感型多级adaboost，用于理解驾驶行为
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-08-31 DOI: 10.1017/asb.2021.22
Banghee So, J. Boucher, Emiliano A. Valdez
{"title":"COST-SENSITIVE MULTI-CLASS ADABOOST FOR UNDERSTANDING DRIVING BEHAVIOR BASED ON TELEMATICS","authors":"Banghee So, J. Boucher, Emiliano A. Valdez","doi":"10.1017/asb.2021.22","DOIUrl":"https://doi.org/10.1017/asb.2021.22","url":null,"abstract":"ABSTRACT Using telematics technology, insurers are able to capture a wide range of data to better decode driver behavior, such as distance traveled and how drivers brake, accelerate, or make turns. Such additional information also helps insurers improve risk assessments for usage-based insurance, a recent industry innovation. In this article, we explore the integration of telematics information into a classification model to determine driver heterogeneity. For motor insurance during a policy year, we typically observe a large proportion of drivers with zero accidents, a lower proportion with exactly one accident, and a far lower proportion with two or more accidents. We here introduce a cost-sensitive multi-class adaptive boosting (AdaBoost) algorithm we call SAMME.C2 to handle such class imbalances. We calibrate the algorithm using empirical data collected from a telematics program in Canada and demonstrate an improved assessment of driving behavior using telematics compared with traditional risk variables. Using suitable performance metrics, we show that our algorithm outperforms other learning models designed to handle class imbalances.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"144 1","pages":"719 - 751"},"PeriodicalIF":1.9,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77488737","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: 14
ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? 关于复杂经济情景的产生因素:少是多?
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-08-18 DOI: 10.1017/asb.2021.21
Jean‐François Bégin
{"title":"ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?","authors":"Jean‐François Bégin","doi":"10.1017/asb.2021.21","DOIUrl":"https://doi.org/10.1017/asb.2021.21","url":null,"abstract":"Abstract This article proposes a complex economic scenario generator that nests versions of well-known actuarial frameworks. The generator estimation relies on the Bayesian paradigm and accounts for both model and parameter uncertainty via Markov chain Monte Carlo methods. So, to the question is less more?, we answer maybe, but it depends on your criteria. From an in-sample fit perspective, on the one hand, a complex economic scenario generator seems better. From the conservatism, forecasting and coverage perspectives, on the other hand, the situation is less clear: having more complex models for the short rate, term structure and stock index returns is clearly beneficial. However, that is not the case for inflation and the dividend yield.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"30 1","pages":"779 - 812"},"PeriodicalIF":1.9,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85102445","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
TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL 检验内部风险模型的模型偿付能力资本要求的变化
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-08-06 DOI: 10.1017/asb.2021.20
D. Gaigall
{"title":"TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL","authors":"D. Gaigall","doi":"10.1017/asb.2021.20","DOIUrl":"https://doi.org/10.1017/asb.2021.20","url":null,"abstract":"Abstract In the context of the Solvency II directive, the operation of an internal risk model is a possible way for risk assessment and for the determination of the solvency capital requirement of an insurance company in the European Union. A Monte Carlo procedure is customary to generate a model output. To be compliant with the directive, validation of the internal risk model is conducted on the basis of the model output. For this purpose, we suggest a new test for checking whether there is a significant change in the modeled solvency capital requirement. Asymptotic properties of the test statistic are investigated and a bootstrap approximation is justified. A simulation study investigates the performance of the test in the finite sample case and confirms the theoretical results. The internal risk model and the application of the test is illustrated in a simplified example. The method has more general usage for inference of a broad class of law-invariant and coherent risk measures on the basis of a paired sample.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"33 1","pages":"813 - 837"},"PeriodicalIF":1.9,"publicationDate":"2021-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87203052","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
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