ASTIN Bulletin最新文献_第9页

OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION 具有失真风险测度和信息不对称的最优再保险设计

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-03-29 DOI: 10.1017/asb.2021.8

T. Boonen, Yiying Zhang

引用次数: 2

OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK 具有背景风险的最优激励相容保险

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-03-29 DOI: 10.1017/asb.2021.7

Yichun Chi, K. S. Tan

引用次数: 8

DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH 基准方法下目标日期基金的动态资产配置

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-03-29 DOI: 10.1017/asb.2021.6

Jin Sun, Dan Zhu, E. Platen

{"title":"DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH","authors":"Jin Sun, Dan Zhu, E. Platen","doi":"10.1017/asb.2021.6","DOIUrl":"https://doi.org/10.1017/asb.2021.6","url":null,"abstract":"ABSTRACT Target date funds (TDFs) are becoming increasingly popular investment choices among investors with long-term prospects. Examples include members of superannuation funds seeking to save for retirement at a given age. TDFs provide efficient risk exposures to a diversified range of asset classes that dynamically match the risk profile of the investment payoff as the investors age. This is often achieved by making increasingly conservative asset allocations over time as the retirement date approaches. Such dynamically evolving allocation strategies for TDFs are often referred to as glide paths. We propose a systematic approach to the design of optimal TDF glide paths implied by retirement dates and risk preferences and construct the corresponding dynamic asset allocation strategy that delivers the optimal payoffs at minimal costs. The TDF strategies we propose are dynamic portfolios consisting of units of the growth-optimal portfolio (GP) and the risk-free asset. Here, the GP is often approximated by a well-diversified index of multiple risky assets. We backtest the TDF strategies with the historical returns of the S&P500 total return index serving as the GP approximation.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"213 1","pages":"449 - 474"},"PeriodicalIF":1.9,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77597423","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

PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES 存在死亡率趋势变化的长寿关联证券定价

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-03-10 DOI: 10.1017/asb.2021.5

Arne Freimann

引用次数: 3

ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA 对数正态保险赔付严重性数据损失模型的鲁棒估计

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-03-02 DOI: 10.1017/asb.2021.4

Chudamani Poudyal

{"title":"ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA","authors":"Chudamani Poudyal","doi":"10.1017/asb.2021.4","DOIUrl":"https://doi.org/10.1017/asb.2021.4","url":null,"abstract":"Abstract The primary objective of this scholarly work is to develop two estimation procedures – maximum likelihood estimator (MLE) and method of trimmed moments (MTM) – for the mean and variance of lognormal insurance payment severity data sets affected by different loss control mechanism, for example, truncation (due to deductibles), censoring (due to policy limits), and scaling (due to coinsurance proportions), in insurance and financial industries. Maximum likelihood estimating equations for both payment-per-payment and payment-per-loss data sets are derived which can be solved readily by any existing iterative numerical methods. The asymptotic distributions of those estimators are established via Fisher information matrices. Further, with a goal of balancing efficiency and robustness and to remove point masses at certain data points, we develop a dynamic MTM estimation procedures for lognormal claim severity models for the above-mentioned transformed data scenarios. The asymptotic distributional properties and the comparison with the corresponding MLEs of those MTM estimators are established along with extensive simulation studies. Purely for illustrative purpose, numerical examples for 1500 US indemnity losses are provided which illustrate the practical performance of the established results in this paper.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"199 1","pages":"475 - 507"},"PeriodicalIF":1.9,"publicationDate":"2021-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88980325","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

A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS 构建广义年龄-时期-队列死亡率预测模型的群体正则化方法

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-02-23 DOI: 10.1017/asb.2021.29

Dilan SriDaran, M. Sherris, Andrés M. Villegas, Jonathan Ziveyi

{"title":"A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS","authors":"Dilan SriDaran, M. Sherris, Andrés M. Villegas, Jonathan Ziveyi","doi":"10.1017/asb.2021.29","DOIUrl":"https://doi.org/10.1017/asb.2021.29","url":null,"abstract":"Abstract Given the rapid reductions in human mortality observed over recent decades and the uncertainty associated with their future evolution, there have been a large number of mortality projection models proposed by actuaries and demographers in recent years. Many of these, however, suffer from being overly complex, thereby producing spurious forecasts, particularly over long horizons and for small, noisy data sets. In this paper, we exploit statistical learning tools, namely group regularisation and cross-validation, to provide a robust framework to construct discrete-time mortality models by automatically selecting the most appropriate functions to best describe and forecast particular data sets. Most importantly, this approach produces bespoke models using a trade-off between complexity (to draw as much insight as possible from limited data sets) and parsimony (to prevent over-fitting to noise), with this trade-off designed to have specific regard to the forecasting horizon of interest. This is illustrated using both empirical data from the Human Mortality Database and simulated data, using code that has been made available within a user-friendly open-source R package StMoMo.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"35 1","pages":"247 - 289"},"PeriodicalIF":1.9,"publicationDate":"2021-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89449026","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

POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS 使用神经网络的死亡率点和区间预测

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-02-23 DOI: 10.1017/asb.2021.34

Simon Schnürch, R. Korn

引用次数: 9

ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION 基于期望回归的高条件尾部风险估计

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-02-15 DOI: 10.1017/asb.2021.3

Jie Hu, Yu Chen, Keqi Tan

{"title":"ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION","authors":"Jie Hu, Yu Chen, Keqi Tan","doi":"10.1017/asb.2021.3","DOIUrl":"https://doi.org/10.1017/asb.2021.3","url":null,"abstract":"Abstract Assessing conditional tail risk at very high or low levels is of great interest in numerous applications. Due to data sparsity in high tails, the widely used quantile regression method can suffer from high variability at the tails, especially for heavy-tailed distributions. As an alternative to quantile regression, expectile regression, which relies on the minimization of the asymmetric l2-norm and is more sensitive to the magnitudes of extreme losses than quantile regression, is considered. In this article, we develop a new estimation method for high conditional tail risk by first estimating the intermediate conditional expectiles in regression framework, and then estimating the underlying tail index via weighted combinations of the top order conditional expectiles. The resulting conditional tail index estimators are then used as the basis for extrapolating these intermediate conditional expectiles to high tails based on reasonable assumptions on tail behaviors. Finally, we use these high conditional tail expectiles to estimate alternative risk measures such as the Value at Risk (VaR) and Expected Shortfall (ES), both in high tails. The asymptotic properties of the proposed estimators are investigated. Simulation studies and real data analysis show that the proposed method outperforms alternative approaches.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"1 1","pages":"539 - 570"},"PeriodicalIF":1.9,"publicationDate":"2021-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88470136","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

A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE 以最佳表现死亡率为参考的死亡率预测双共同因素模型

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-02-01 DOI: 10.1017/asb.2020.44

Jackie Li, Maggie Lee, S. Guthrie

引用次数: 0

Measuring non-exchangeable tail dependence using tail copulas 用尾轴测量非交换尾依赖性

IF 1.9 3区经济学

ASTIN Bulletin Pub Date : 2021-01-28 DOI: 10.1017/asb.2023.4

Takaaki Koike, Shogo Kato, M. Hofert

引用次数: 2