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FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT 从固定收益到目标收益的公平过渡
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-07-29 DOI: 10.1017/asb.2021.17
X. Zhu, M. Hardy, D. Saunders
{"title":"FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT","authors":"X. Zhu, M. Hardy, D. Saunders","doi":"10.1017/asb.2021.17","DOIUrl":"https://doi.org/10.1017/asb.2021.17","url":null,"abstract":"Abstract Target benefit (TB) plans that incorporate intergenerational risk sharing have been demonstrated to be welfare improving over the long term. However, there has been little discussion of the short-term benefits for members in a defined benefit (DB) plan that is transitioning to TB. In this paper, we adopt a two-step approach that is designed to ensure the long-term sustainability of the new plan, without unduly sacrificing the benefit security of current retirees. We propose a cohort-based transition plan for reducing intergenerational inequity. Our study is based on simulations using an economic scenario generator with some theoretical results under simplified settings.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"46 1","pages":"873 - 904"},"PeriodicalIF":1.9,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80943393","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
DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS 巨灾保险市场的多元化
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-07-02 DOI: 10.1017/asb.2021.18
Hengxin Cui, K. S. Tan, Fan Yang
{"title":"DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS","authors":"Hengxin Cui, K. S. Tan, Fan Yang","doi":"10.1017/asb.2021.18","DOIUrl":"https://doi.org/10.1017/asb.2021.18","url":null,"abstract":"Abstract Catastrophe insurance markets fail to provide sufficient protections against natural catastrophes, whereas they have the capacity to absorb the losses. In this paper, we assume the catastrophic risks are dependent and extremely heavy-tailed, and insurers have limited liability to cover losses up to a certain amount. We provide a comprehensive study to show that the diversification in the catastrophe insurance markets can be transited from suboptimal to preferred by increasing the number of insurers in the market. This highlights the importance of coordination among insurers and the government intervention in encouraging insurers to participate in the catastrophe insurance market to exploit risk sharing. Simulation studies are provided to illuminate the key findings of our results.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"93 1","pages":"753 - 778"},"PeriodicalIF":1.9,"publicationDate":"2021-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79617529","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
Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization 固定缴款养老金制度的代际风险分担:贝叶斯优化分析
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-06-25 DOI: 10.1017/asb.2023.18
A. Chen, Motonobu Kanagawa, Fangyuan Zhang
{"title":"Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization","authors":"A. Chen, Motonobu Kanagawa, Fangyuan Zhang","doi":"10.1017/asb.2023.18","DOIUrl":"https://doi.org/10.1017/asb.2023.18","url":null,"abstract":"Abstract We study a fully funded, collective defined contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with a realistic investment strategy (e.g., no borrowing) and without an outside entity (e.g., shareholders) that helps finance the pension fund. To implement IRS, the pension system uses an automatic adjustment rule for the indexation of individual accounts, which adapts to the notional funding ratio of the pension system. The pension system has two parameters that determine the investment strategy and the strength of the adjustment rule, which are optimized by expected utility maximization using Bayesian optimization. The volatility of the retirement benefits and that of the funding ratio are analyzed, and it is shown that the trade-off between them can be controlled by the optimal adjustment parameter to attain IRS. Compared with the optimal individual DC benchmark using the life cycle strategy, the studied pension system with IRS is shown to improve the welfare of risk-averse participants, when the financial market is volatile.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"126 1","pages":"515 - 544"},"PeriodicalIF":1.9,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73396260","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
CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS 利用神经网络标定李-卡特模型和泊松李-卡特模型
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-05-27 DOI: 10.1017/asb.2022.5
Salvatore Scognamiglio
{"title":"CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS","authors":"Salvatore Scognamiglio","doi":"10.1017/asb.2022.5","DOIUrl":"https://doi.org/10.1017/asb.2022.5","url":null,"abstract":"Abstract This paper introduces a neural network (NN) approach for fitting the Lee-Carter (LC) and the Poisson Lee-Carter model on multiple populations. We develop some NNs that replicate the structure of the individual LC models and allow their joint fitting by simultaneously analysing the mortality data of all the considered populations. The NN architecture is specifically designed to calibrate each individual model using all available information instead of using a population-specific subset of data as in the traditional estimation schemes. A large set of numerical experiments performed on all the countries of the Human Mortality Database shows the effectiveness of our approach. In particular, the resulting parameter estimates appear smooth and less sensitive to the random fluctuations often present in the mortality rates’ data, especially for low-population countries. In addition, the forecasting performance results significantly improved as well.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"30 1","pages":"519 - 561"},"PeriodicalIF":1.9,"publicationDate":"2021-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87157003","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
ON THE $rmathcal{B}$ELL FAMILY OF DISTRIBUTIONS WITH ACTUARIAL APPLICATIONS 关于$rmathcal{B}$ELL分布族的精算应用
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-05-18 DOI: 10.1017/asb.2021.14
D. Bhati, E. Calderín-Ojeda
{"title":"ON THE $rmathcal{B}$ELL FAMILY OF DISTRIBUTIONS WITH ACTUARIAL APPLICATIONS","authors":"D. Bhati, E. Calderín-Ojeda","doi":"10.1017/asb.2021.14","DOIUrl":"https://doi.org/10.1017/asb.2021.14","url":null,"abstract":"Abstract In this paper, a new three-parameter discrete family of distributions, the $r{mathcal B}ell$ family, is introduced. The family is based on series expansion of the r-Bell polynomials. The proposed model generalises the classical Poisson and the recently proposed Bell and Bell–Touchard distributions. It exhibits interesting stochastic properties. Its probabilities can be computed by a recursive formula that allows us to calculate the probability function of the amount of aggregate claims in the collective risk model in terms of an integral equation. Univariate and bivariate regression models are presented. The former regression model is used to explain the number of out-of-use claims in an automobile insurance portfolio, by showing a good out-of-sample performance. The latter is used to describe the number of out-of-use and parking claims jointly. This family provides an alternative to other traditionally used distributions to describe count data such as the negative binomial and Poisson-inverse Gaussian models.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"30 1","pages":"185 - 210"},"PeriodicalIF":1.9,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81776464","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 2 Cover and Front matter 美国会计准则第51卷第2期封面和封面事项
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-05-01 DOI: 10.1017/asb.2021.15
{"title":"ASB volume 51 issue 2 Cover and Front matter","authors":"","doi":"10.1017/asb.2021.15","DOIUrl":"https://doi.org/10.1017/asb.2021.15","url":null,"abstract":"","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"35 1","pages":"f1 - f2"},"PeriodicalIF":1.9,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86275546","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 2 Cover and Back matter 美国会计准则第51卷第2期封面和封底
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-05-01 DOI: 10.1017/asb.2021.16
{"title":"ASB volume 51 issue 2 Cover and Back matter","authors":"","doi":"10.1017/asb.2021.16","DOIUrl":"https://doi.org/10.1017/asb.2021.16","url":null,"abstract":"","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"12 1","pages":"b1 - b2"},"PeriodicalIF":1.9,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90117078","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
ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES 具有依赖性重尾损失的系统风险的渐近性
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-04-29 DOI: 10.1017/asb.2021.11
Jiajun Liu, Yang Yang
{"title":"ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES","authors":"Jiajun Liu, Yang Yang","doi":"10.1017/asb.2021.11","DOIUrl":"https://doi.org/10.1017/asb.2021.11","url":null,"abstract":"Abstract Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. We consider the asymptotic behavior of the SR for portfolio losses in the model allowing for heavy-tailed primary losses, which are equipped with a wide type of dependence structure. This risk model provides an ideal framework for addressing both heavy-tailedness and dependence. As some extensions, several simulation experiments are conducted, where an insurance application of the asymptotic characterization to the determination and approximation of related SR capital has been proposed, based on the SR measure.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"184 1","pages":"571 - 605"},"PeriodicalIF":1.9,"publicationDate":"2021-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83159365","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
GEOGRAPHIC RATEMAKING WITH SPATIAL EMBEDDINGS 具有空间嵌入的地理利率制定
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-04-26 DOI: 10.1017/asb.2021.25
Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne, É. Marceau
{"title":"GEOGRAPHIC RATEMAKING WITH SPATIAL EMBEDDINGS","authors":"Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne, É. Marceau","doi":"10.1017/asb.2021.25","DOIUrl":"https://doi.org/10.1017/asb.2021.25","url":null,"abstract":"Abstract Spatial data are a rich source of information for actuarial applications: knowledge of a risk’s location could improve an insurance company’s ratemaking, reserving or risk management processes. Relying on historical geolocated loss data is problematic for areas where it is limited or unavailable. In this paper, we construct spatial embeddings within a complex convolutional neural network representation model using external census data and use them as inputs to a simple predictive model. Compared to spatial interpolation models, our approach leads to smaller predictive bias and reduced variance in most situations. This method also enables us to generate rates in territories with no historical experience.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"19 1","pages":"1 - 31"},"PeriodicalIF":1.9,"publicationDate":"2021-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82444711","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
OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION 从承保人和再保险人的角度分析了风险度量和价值条件下的最优再保险
IF 1.9 3区 经济学
ASTIN Bulletin Pub Date : 2021-04-12 DOI: 10.1017/asb.2021.9
Yanhong Chen
{"title":"OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION","authors":"Yanhong Chen","doi":"10.1017/asb.2021.9","DOIUrl":"https://doi.org/10.1017/asb.2021.9","url":null,"abstract":"ABSTRACT In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss function is increasing and the ceded loss function satisfies Vajda condition. Among a general class of reinsurance premium principles that satisfy the properties of risk loading and convex order preserving, the optimal solutions are obtained. Our results show that the optimal ceded loss functions are in the form of five interconnected segments for general reinsurance premium principles, and they can be further simplified to four interconnected segments if more properties are added to reinsurance premium principles. Finally, we derive optimal parameters for the expected value premium principle and give a numerical study to analyze the impact of the weighting factor on the optimal reinsurance.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"55 1","pages":"631 - 659"},"PeriodicalIF":1.9,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77811808","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
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