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A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population European Actuarial Journal Pub Date : 2024-03-06 Maximilian Euthum, Matthias Scherer, Francesco Ungolo
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Evaluation of participating endowment life insurance policies in a stochastic environment European Actuarial Journal Pub Date : 2024-01-19 Ramin Eghbalzadeh, Patrice Gaillardetz, Frédéric Godin
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Forecasting, interventions and selection: the benefits of a causal mortality model European Actuarial Journal Pub Date : 2023-12-20 Snorre Jallbjørn, Søren F. Jarner, Niels R. Hansen
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A first look back: model performance under Solvency II European Actuarial Journal Pub Date : 2023-12-19
Abstract We consider an empirical backtesting for the Solvency Capital Required (SCR) under Solvency II. Based on empirical facts that the Basic own Funds (BoF) can be assumed to evolve log-normally and have a much lower volatility than the corresponding equity for our test data, we make a proposal based on Earnings at Risk (EaR) that can be used to reduce the biases from overshooting SCR estimates
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A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies European Actuarial Journal Pub Date : 2023-12-07 Moritz Hanika
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A Bonus-Malus framework for cyber risk insurance and optimal cybersecurity provisioning European Actuarial Journal Pub Date : 2023-11-08 Qikun Xiang, Ariel Neufeld, Gareth W. Peters, Ido Nevat, Anwitaman Datta
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A multi-task network approach for calculating discrimination-free insurance prices European Actuarial Journal Pub Date : 2023-11-08 Mathias Lindholm, Ronald Richman, Andreas Tsanakas, Mario V. Wüthrich
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A new approximation of annuity prices for age–period–cohort models European Actuarial Journal Pub Date : 2023-11-08 Jean-François Bégin, Nikhil Kapoor, Barbara Sanders
This letter presents a new general formula for estimating annuity prices within a wide range of stochastic mortality models. The formula is constructed using two building blocks: an approximation technique based on the Wentzel–Kramers–Brillouin method for calculating the sum of correlated lognormal random variables, and an approximate expression for the moment generating function of the lognormal distribution
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Detection of interacting variables for generalized linear models via neural networks European Actuarial Journal Pub Date : 2023-11-01 Yevhen Havrylenko, Julia Heger
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Adversarial AI in insurance: an overview European Actuarial Journal Pub Date : 2023-10-29 Matteo Cattaneo, Ron S. Kenett, Elisa Luciano
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The impact of dependencies between climate risks on the asset and liability side of non-life insurers European Actuarial Journal Pub Date : 2023-10-20 Nadine Gatzert, Onur Özdil
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Two-dimensional forward and backward transition rates European Actuarial Journal Pub Date : 2023-10-07 Theis Bathke, Marcus C. Christiansen
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Including individual customer lifetime value and competing risks in tree-based lapse management strategies European Actuarial Journal Pub Date : 2023-09-12 Mathias Valla, Xavier Milhaud, Anani Olympio
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On the impact of outliers in loss reserving European Actuarial Journal Pub Date : 2023-09-05 Benjamin Avanzi, Mark Lavender, Greg Taylor, Bernard Wong
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Asymptotics of the loss-based tail risk measures in the presence of extreme risks European Actuarial Journal Pub Date : 2023-08-30 Jiajun Liu, Tomer Shushi
Evaluating the risk exposure of a financial/insurance company when some extreme scenario occurs is one of the fundamental aspects of risk management. Well-known tail risk measures, such as the Conditional Tail Expectation and the Marginal Expected Shortfall, are used for measuring a massive downside in adverse scenarios. Most of these risk measures are based on the conditional expectation of a specific
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Coherent extrapolation of mortality rates at old ages applied to long term care European Actuarial Journal Pub Date : 2023-08-10 Léonie Le Bastard
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Individual claims reserving using activation patterns European Actuarial Journal Pub Date : 2023-07-11 Marie Michaelides, Mathieu Pigeon, Hélène Cossette
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Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates European Actuarial Journal Pub Date : 2023-06-23 Vanessa Hanna, Pierre Devolder
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EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects European Actuarial Journal Pub Date : 2023-06-06 Zezhun Chen, Angelos Dassios, George Tzougas
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Efficient projections of with-profit life insurance using lumping European Actuarial Journal Pub Date : 2023-06-05 Ida E. Andersen, Alexander S. Lollike
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Holt–Winters method for run-off triangles in claims reserving European Actuarial Journal Pub Date : 2023-05-26 Tomáš Cipra, Radek Hendrych
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Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration European Actuarial Journal Pub Date : 2023-05-26 Michel Denuit, Julien Trufin
Wüthrich (Eur Actuar J, https://doi.org/10.1007/s13385-022-00339-9, 2023) established that the Gini index is a consistent scoring rule in the class of autocalibrated predictors. This note further explores performances criteria in this class. Elementary Pearson’s correlation turns out to be consistent when restricted to autocalibrated predictors. Also, any performance measure that is minimized for predictors
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Phase-type representations of stochastic interest rates with applications to life insurance European Actuarial Journal Pub Date : 2023-05-22 Jamaal Ahmad, Mogens Bladt
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Multivariate Lévy-type drift change detection and mortality modeling European Actuarial Journal Pub Date : 2023-05-22 Michał Krawiec, Zbigniew Palmowski
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A systematic literature review on sustainability issues along the value chain in insurance companies and pension funds European Actuarial Journal Pub Date : 2023-05-10 Laura Iveth Aburto Barrera, Joël Wagner
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A simulation study for multifactorial genetic disorders to quantify the impact of polygenic risk scores on critical illness insurance European Actuarial Journal Pub Date : 2023-04-06 Jinbo Zhao, Michael Salter-Townshend, Adrian O’Hagan
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A market- and time-consistent extension for the EIOPA risk-margin European Actuarial Journal Pub Date : 2023-02-08 Ahmad Salahnejhad Ghalehjooghi, Antoon Pelsser
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Optimal portfolios with sustainable assets: aspects for life insurers European Actuarial Journal Pub Date : 2023-02-03 Ralf Korn, Ajla Nurkanovic
Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. Hence, the provider has to be prepared to offer suitable investment opportunities. Further, the provider has to manage the new risks and chances of those assets in the whole portfolio. We therefore especially look at possible consequences for optimal portfolio decisions of
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Modeling and pricing cyber insurance European Actuarial Journal Pub Date : 2023-01-23 Kerstin Awiszus, Thomas Knispel, Irina Penner, Gregor Svindland, Alexander Voß, Stefan Weber
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Model selection with Gini indices under auto-calibration European Actuarial Journal Pub Date : 2023-01-11 Mario V. Wüthrich
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What to offer if consumers do not want what they need? A simultaneous evaluation approach with an application to retirement savings products European Actuarial Journal Pub Date : 2023-01-11 Jochen Ruß, Stefan Schelling, Mark B. Schultze
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Natural hedging in continuous time life insurance European Actuarial Journal Pub Date : 2023-01-09 Anna Kamille Nyegaard
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A resimulation framework for event loss tables based on clustering European Actuarial Journal Pub Date : 2022-12-26 Benedikt Funke, Harmen Roering
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Identifying the determinants of lapse rates in life insurance: an automated Lasso approach European Actuarial Journal Pub Date : 2022-11-10 Lucas Reck, Johannes Schupp, Andreas Reuß
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Optimal insurance for a prudent decision maker under heterogeneous beliefs European Actuarial Journal Pub Date : 2022-10-28 Mario Ghossoub, Wenjun Jiang, Jiandong Ren
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Correction to: Does autocalibration improve goodness of lift? European Actuarial Journal Pub Date : 2022-10-19 Nicolas Ciatto, Harrison Verelst, Julien Trufin, Michel Denuit
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The only constant is change: opportunities and challenges for actuaries in a changing world European Actuarial Journal Pub Date : 2022-10-10 Frank Schiller, Jérôme Crugnola-Humbert
In a world threatened by climate warming and where Environmental, Social and Governance (ESG) issues are gaining increasing prominence, actuaries and other finance professionals need to adapt and support the transition to a more sustainable economy. This article examines how they can contribute to protect financial stability through forward-looking risk management, how they can help the insurance sector
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Duration gap with multiple liabilities for nonparallel shifts European Actuarial Journal Pub Date : 2022-09-29 Joel R. Barber
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Does autocalibration improve goodness of lift? European Actuarial Journal Pub Date : 2022-09-21 Nicolas Ciatto, Harrison Verelst, Julien Trufin, Michel Denuit
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Model transparency and interpretability: survey and application to the insurance industry European Actuarial Journal Pub Date : 2022-09-22 Dimitri Delcaillau, Antoine Ly, Alize Papp, Franck Vermet
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Long-term stability of a life insurer’s balance sheet European Actuarial Journal Pub Date : 2022-09-14 Maximilian Diehl, Roman Horsky, Susanne Reetz, Jörn Sass
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Application of machine learning methods to predict drought cost in France European Actuarial Journal Pub Date : 2022-08-30 Antoine Heranval, Olivier Lopez, Maud Thomas
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On some effects of dependencies on an insurer’s risk exposure, probability of ruin, and optimal premium loading European Actuarial Journal Pub Date : 2022-08-12 R. L. Gudmundarson, M. Guerra, A. B. Moura
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A public micro pension programme in Brazil: heterogeneity among states and setting up of a benefit age adjustment European Actuarial Journal Pub Date : 2022-07-11 Renata G. Alcoforado, Alfredo D. Egídio dos Reis
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Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues European Actuarial Journal Pub Date : 2022-07-08 Emmanouil Louloudis, Alexandros Zimbidis, Athanasios Yannacopoulos
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Neural networks meet least squares Monte Carlo at internal model data European Actuarial Journal Pub Date : 2022-07-08 Christian Jonen, Tamino Meyhöfer, Zoran Nikolić
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The slowdown in mortality improvement rates 2011–2017: a multi-country analysis European Actuarial Journal Pub Date : 2022-07-02 Viani B. Djeundje, Steven Haberman, Madhavi Bajekal, Joseph Lu
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Generalized PELVE and applications to risk measures European Actuarial Journal Pub Date : 2022-06-29 Anna Maria Fiori, Emanuela Rosazza Gianin
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Impact of rough stochastic volatility models on long-term life insurance pricing European Actuarial Journal Pub Date : 2022-06-25 Jean-Loup Dupret, Jérôme Barbarin, Donatien Hainaut
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Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach European Actuarial Journal Pub Date : 2022-06-27 Xiaobai Zhu, Kenneth Q. Zhou
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An incremental loss ratio method using prior information on calendar year effects European Actuarial Journal Pub Date : 2022-05-20 Ulrich Riegel
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Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks European Actuarial Journal Pub Date : 2022-05-12 Axel Bücher, Alexander Rosenstock
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A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme European Actuarial Journal Pub Date : 2022-04-29 Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, Owen Jones, Jeffrey Rowney
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Cross-subsidizing effects between existing and new policyholders in traditional life insurance European Actuarial Journal Pub Date : 2022-04-26 Jonas Eckert, Stefan Graf, Alexander Kling, Jochen Ruß
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Optimal dynamic reinsurance with worst-case default of the reinsurer European Actuarial Journal Pub Date : 2022-04-08 Ralf Korn, Lukas Müller
We consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a setting that is closely related to a scenario of the Swiss Solvency Test.
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Semi-markov modeling for cancer insurance European Actuarial Journal Pub Date : 2022-04-05 Antoine Soetewey, Catherine Legrand, Michel Denuit, Geert Silversmit
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Efficient use of data for LSTM mortality forecasting European Actuarial Journal Pub Date : 2022-04-02 M. Lindholm, L. Palmborg
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Discussion on “Premium rating without losses” (M. Fackler) European Actuarial Journal Pub Date : 2022-03-31 Ulrich Riegel