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Pension system design: roles and interdependencies of tax-financed and funded pensions Scand. Actuar. J. (IF 1.8) Pub Date : 2024-03-06 Søren F. Jarner, Snorre Jallbjørn, Torben M. Andersen
The purpose of this paper is to give an overview of the roles, objectives, and trade-offs in a two-pillar pension system consisting of tax-financed, public pensions and defined contribution, indivi...
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The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process Scand. Actuar. J. (IF 1.8) Pub Date : 2024-02-28 José Miguel Flores-Contró, Séverine Arnold
Trapping refers to the event when a household falls into the area of poverty. Households that live or fall into the area of poverty are said to be in a poverty trap, where a poverty trap is a state...
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Accurate and explainable mortality forecasting with the LocalGLMnet Scand. Actuar. J. (IF 1.8) Pub Date : 2024-02-05 Francesca Perla, Ronald Richman, Salvatore Scognamiglio, Mario V. Wüthrich
Recently, accurate forecasting of mortality rates with deep learning models has been investigated in several papers in the actuarial literature. Most of the models proposed to date are not explaina...
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Loss modeling with many-parameter distributions Scand. Actuar. J. (IF 1.8) Pub Date : 2024-02-05 Erik Bølviken, Ingrid Hobæk Haff
It is argued that many-parameter families of loss distributions may work even with limited amounts of historical data. A restriction to unimodality works as a stabilizer, which makes fitted distrib...
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Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle Scand. Actuar. J. (IF 1.8) Pub Date : 2024-01-30 Caibin Zhang, Zhibin Liang
This paper considers a non-zero-sum stochastic differential reinsurance and investment game between two competitive insurers under the expected exponential utility. It is assumed that the surplus p...
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A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game Scand. Actuar. J. (IF 1.8) Pub Date : 2024-01-25 Qingqing Zhang, Zhibin Liang, Fudong Wang
In this paper, we investigate the optimal reinsurance and investment problem from joint interests of the insurer and the reinsurer in the framework of the mixed leadership game, where both of them ...
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Cyber risk modeling: a discrete multivariate count process approach Scand. Actuar. J. (IF 1.8) Pub Date : 2024-01-02 Yang Lu, Jinggong Zhang, Wenjun Zhu
In the past decade, cyber risk has raised much interest in the economy, and cyber risk has evolved from a type of pure operational risk to both operational and liability risk. However, the modeling...
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Life reinsurance under perfect and asymmetric information Scand. Actuar. J. (IF 1.8) Pub Date : 2023-12-27 An Chen, Maria Hinken, Yang Shen
This paper studies life reinsurance as a solution to default risk in equity-linked life insurance products with surplus participation. The problem is considered under both perfect and asymmetric in...
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Aggregate Markov models in life insurance: estimation via the EM algorithm Scand. Actuar. J. (IF 1.8) Pub Date : 2023-12-14 Jamaal Ahmad, Mogens Bladt
In this paper, we consider statistical estimation of time–inhomogeneous aggregate Markov models. Unaggregated models, which corresponds to Markov chains, are commonly used in multi–state life insur...
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Optimal management of DB pension fund under both underfunded and overfunded cases Scand. Actuar. J. (IF 1.8) Pub Date : 2023-12-06 Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow...
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Valuing equity-linked annuities under high-water mark fee structure Scand. Actuar. J. (IF 1.8) Pub Date : 2023-11-13 Kaixin Yan, Shuanming Li, Aili Zhang
This paper studies the valuation of equity-linked investment products embedded with a high-water mark (HWM) fee structure. Under the HWM fee structure, the insurance company charges threshold fees ...
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Cramér–Lundberg asymptotics for spectrally positive Markov additive processes Scand. Actuar. J. (IF 1.8) Pub Date : 2023-11-16 Lucas van Kreveld, Michel Mandjes, Jan-Pieter Dorsman
This paper studies the Cramér–Lundberg asymptotics of the ruin probability for a model in which the reserve level process is described by a spectrally-positive light-tailed Markov additive process....
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Optimal mix among PAYGO, EET and individual savings Scand. Actuar. J. (IF 1.8) Pub Date : 2023-10-31 Lin He, Zongxia Liang, Zhaojie Ren, Yilun Song
In order to deal with the aging problem, the pension system is actively transformed into the funded scheme. However, the funded scheme does not completely replace PAYGO (Pay as You Go) scheme and t...
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Two hybrid models for dependent death times of couple: a common shock approach Scand. Actuar. J. (IF 1.8) Pub Date : 2023-10-10 Zied Chaieb, Domenico De Giovanni, Djibril Gueye
We combine two recent credit risk models with the Marshall–Olkin setup to capture the dependence structure of bivariate survival functions. The main advantage of this approach is to handle fatal sh...
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Optimal reinsurance design under solvency constraints Scand. Actuar. J. (IF 1.8) Pub Date : 2023-10-06 Benjamin Avanzi, Hayden Lau, Mogens Steffensen
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio problem in finance, wi...
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Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking Scand. Actuar. J. (IF 1.8) Pub Date : 2023-09-18 Julie Huyghe, Julien Trufin, Michel Denuit
This paper proposes a new boosting machine based on forward stagewise additive modeling with cost-complexity pruned trees. In the Tweedie case, it deals directly with observed responses, not gradie...
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A stochastic model of group wealth responses to insurance mechanisms in low-income communities Scand. Actuar. J. (IF 1.8) Pub Date : 2023-09-12 Kira Henshaw, Michel Mandjes, Corina Constantinescu
This study addresses the group-based nature of financial vulnerability in the low-income environment. Adopting a highly flexible stochastic dissemination model, we assess the impact of insurance on the resilience of a low-income group to wealth shocks. For this purpose, the transient wealth of a group of interacting uninsured and insured agents is considered. The model is extended to capture four types
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Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors Scand. Actuar. J. (IF 1.8) Pub Date : 2023-09-13 Yang Yang, Yahui Fan, Kam Chuen Yuen
This paper is devoted to asymptotic analysis for a continuous-time risk model with the insurance surplus process and the log-price process of the investment driven by two dependent jump-diffusion processes. We take into account arbitrary dependence between the insurance claims and their corresponding investment return jumps caused by a sequence of systematic factors, whose arrival times constitute
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Stackelberg reinsurance chain under model ambiguity Scand. Actuar. J. (IF 1.8) Pub Date : 2023-09-07 Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
In this paper, we consider a continuous-time version of a reinsurance chain, which is sequentially formed by n+1 companies, with the first company being the primary insurer and the rest being reinsurers. Because of possible model misspecification, all companies are ambiguous about the original risk of the primary insurer. We model each reinsurance contracting problem as a Stackelberg game, in which
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Isotonic recalibration under a low signal-to-noise ratio Scand. Actuar. J. (IF 1.8) Pub Date : 2023-08-17 Mario V. Wüthrich, Johanna Ziegel
Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts. Often, regression models are not auto-c...
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Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees Scand. Actuar. J. (IF 1.8) Pub Date : 2023-07-31 Meiqiao Ai, Yunyun Wang, Zhimin Zhang, Dan Zhu
This paper focuses on the valuation of variable annuities with a guaranteed minimum maturity benefit under a regime-switching Lévy model. The model allows policyholders to surrender their annuities...
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Pareto-optimal insurance with an upper limit on the insurer's exposure Scand. Actuar. J. (IF 1.8) Pub Date : 2023-07-26 Oma Coke, Mario Ghossoub, Michael B. Zhu
We examine the problem of determining Pareto-optimal (PO) insurance contracts when the insurer imposes an ex ante upper limit on disbursement. The problem is similar in spirit to that of Cummins & ...
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Wealth heterogeneity in a closed pooled annuity fund Scand. Actuar. J. (IF 1.8) Pub Date : 2023-07-25 Thomas Bernhardt, Ge Qu
The stability of income payments in a pooled annuity fund is studied. In those funds, members receive a fluctuating income depending on their experienced mortality in exchange for their pension sav...
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Soft splicing model: bridging the gap between composite model and finite mixture model Scand. Actuar. J. (IF 1.8) Pub Date : 2023-07-13 Tsz Chai Fung, Himchan Jeong, George Tzougas
Considerations of both the heavy-tail phenomenon and multi-modality of a claim severity distribution have been challenging in the actuarial literature and practices. In this article, we develop a n...
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Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract Scand. Actuar. J. (IF 1.8) Pub Date : 2023-07-12 Jackie Li
Life expectancy and healthy life expectancy are both important indicators of population wellbeing, reflecting the expected length of life and duraiton of healthy living respectively. While extensiv...
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Optimal reinsurance contract in a Stackelberg game framework: a view of social planner Scand. Actuar. J. (IF 1.8) Pub Date : 2023-06-07 Xia Han, David Landriault, Danping Li
In this paper, we consider an optimal reinsurance contract under a mean-variance criterion in a Stackelberg game theoretical framework. The reinsurer is the leader of the game and decides on an opt...
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Time-series forecasting of mortality rates using transformer Scand. Actuar. J. (IF 1.8) Pub Date : 2023-05-30 Jun Wang, Lihong Wen, Lu Xiao, Chaojie Wang
Predicting mortality rates is a crucial issue in life insurance pricing and demographic statistics. Traditional approaches, such as the Lee-Carter model and its variants, predict the trends of mort...
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An insurer's optimal strategy towards a new independent business Scand. Actuar. J. (IF 1.8) Pub Date : 2023-05-12 Yichun Chi, Yuxia Huang, Ken Seng Tan
In this paper, we investigate the optimal decision making of an insurer towards a new insurable business, whose risk is independent of the existing risk faced by the insurer. We assume that the ins...
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On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model Scand. Actuar. J. (IF 1.8) Pub Date : 2023-05-10 M. V. Boutsikas, D.-J. Economides, E. Vaggelatou
We consider a two-barrier renewal risk model assuming that insurer's income is modeled via a Brownian motion, and the surplus is inspected only at claim arrival times. We are interested in the join...
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Expert Kaplan–Meier estimation Scand. Actuar. J. (IF 1.8) Pub Date : 2023-05-09 Martin Bladt, Christian Furrer
The setting of a right-censored random sample subject to contamination is considered. In various fields, expert information is often available and used to overcome the contamination. This paper int...
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A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility Scand. Actuar. J. (IF 1.8) Pub Date : 2023-05-03 Guohui Guan, Zongxia Liang, Yilun Song
This paper investigates a Stackelberg game between an insurer and a reinsurer under the α-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer. With the ...
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Managing cyber risk, a science in the making Scand. Actuar. J. (IF 1.8) Pub Date : 2023-04-25 Michel Dacorogna, Marie Kratz
Not a day goes by without news about a cyber attack. Fear spreads out and lots of wrong ideas circulate. This survey aims at showing how all these uncertainties about cyber can be transformed into ...
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Time-inconsistent view on a dividend problem with penalty Scand. Actuar. J. (IF 1.8) Pub Date : 2023-03-03 Josef Anton Strini, Stefan Thonhauser
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the dividends and the penalty, which causes time-inconsistency. This allows to study different types of constraints. For the diffusion approximation of the classical surplus
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Transaction time models in multi-state life insurance Scand. Actuar. J. (IF 1.8) Pub Date : 2023-03-01 Kristian Buchardt, Christian Furrer, Oliver Lunding Sandqvist
In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to...
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Mortality forecasting using the four-way CANDECOMP/PARAFAC decomposition Scand. Actuar. J. (IF 1.8) Pub Date : 2023-02-21 Giovanni Cardillo, Paolo Giordani, Susanna Levantesi, Andrea Nigri, Alessandro Spelta
To design appropriate pension or insurance plans it is crucial to understand mortality heterogeneity across demographic features, such as age, gender, and country. To this aim, we propose a coherent mortality forecasting methodology, which leverages the four-way CANDECOMP/PARAFAC and Vector-Error Correction models. We examine how age groups, years, countries, and gender impact target variables, namely
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Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells Scand. Actuar. J. (IF 1.8) Pub Date : 2023-02-14 M. Lindholm, F. Lindskog, J. Palmquist
We study non-life insurance pricing and present a general procedure for constructing a distribution-free locally unbiased predictor of the risk premium based on any initially suggested predictor. T...
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Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio Scand. Actuar. J. (IF 1.8) Pub Date : 2023-01-30 Bavo D. C. Campo, Katrien Antonio
Actuaries use predictive modeling techniques to assess the loss cost on a contract as a function of observable risk characteristics. State-of-the-art statistical and machine learning methods are not well equipped to handle hierarchically structured risk factors with a large number of levels. In this paper, we demonstrate the data-driven construction of an insurance pricing model when hierarchically
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A note on bivariate survival functions following a law of uniform seniority Scand. Actuar. J. (IF 1.8) Pub Date : 2023-01-30 Alexander Schimmele, Klaus D. Schmidt
In a recent paper published in this journal, Genest & Kolev (2021 Genest C. & Kolev N. (2021). A law of uniform seniority for dependent lives. Scandinavian Actuarial Journal 2021(8), 726–743.[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]) studied bivariate survival functions following a law of uniform seniority in the sense that these bivariate survival functions can be represented
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Correction Scand. Actuar. J. (IF 1.8) Pub Date : 2023-01-18
Published in Scandinavian Actuarial Journal (Vol. 2023, No. 4, 2023)
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A refracted Lévy process with delayed dividend pullbacks Scand. Actuar. J. (IF 1.8) Pub Date : 2023-01-03 Zijia Wang, Mohamed Amine Lkabous, David Landriault
ABSTRACT The threshold dividend strategy, under which dividends are paid only when the insurer's surplus exceeds a pre-determined threshold, has received considerable attention in risk theory. However, in practice, it seems rather unlikely that an insurer will immediately pull back the dividend payments as soon as its surplus level drops below the dividend threshold. Hence, in this paper, we propose
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Insurance pricing in an equilibrium model Scand. Actuar. J. (IF 1.8) Pub Date : 2023-01-03 Frank Y. Feng, Xudong Zeng, Guanxia Zhu
We develop a dynamic equilibrium model of insurance pricing in a competitive market consisting of heterogeneous insurance companies. The insurers have different beliefs on expected loss rate of an underlying risk process and the belief divergences are stochastic. The insurers select optimal insurance market shares to maximize their individual utilities. The equilibrium insurance price is formulated
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Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-27 Hansjörg Albrecher, Brandon Garcia Flores
We reconsider the study of optimal dividend strategies in the Cramér-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the identification of the optimal bands available in the literature are very hard to implement and explicit numerical results are known for very few cases only. In this paper
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Valuation of variable annuities under stochastic volatility and stochastic jump intensity Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-21 Wei Zhong, Dan Zhu, Zhimin Zhang
We present an efficient valuation approach for guaranteed minimum benefits embedded in variable annuity contracts, where the log price follows a jump-diffusion model with stochastic volatilities. In particular, we allow separate Cox-Ingersoll-Ross processes for the underlying volatility and the jump intensity, each correlated with the diffusion term of the spot price. To value the contract under such
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Stackelberg differential game for insurance under model ambiguity: general divergence Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-21 Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
We solve a Stackelberg differential game between a buyer and a seller of insurance policies, in which both parties are ambiguous about the insurable loss. Both the buyer and seller maximize their expected wealth, plus a penalty term that reflects ambiguity, over an exogenous random horizon. Under a mean-variance premium principle and a general divergence that measures the players' ambiguity, we obtain
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Sequential Monte Carlo samplers to fit and compare insurance loss models Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-16 Pierre-O. Goffard
Insurance loss distributions are characterized by a high frequency of small claim amounts and a lower, but not insignificant, occurrence of large claim amounts. Composite models, which link two probability distributions, one for the ‘body’ and the other for the ‘tail’ of the loss distribution, have emerged in the actuarial literature to take this specificity into account. The parameters of these models
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Some optimisation problems in insurance with a terminal distribution constraint Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-13 Katia Colaneri, Julia Eisenberg, Benedetta Salterini
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a normal distribution with a given mean and a given variance. In both cases, the surplus of the insurance company is assumed to follow a Brownian motion with drift. First, we allow the insurance company to pay dividends and seek to maximise
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Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-07 J. Lars Kirkby, Jean-Philippe Aguilar
This work studies the valuation and optimal surrender of variable (equity-linked) annuities under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee structure which can vary over time and is assessed as a proportion of the fund value. At maturity, the fund value is returned to the policyholder according to a guaranteed minimum accumulation benefit (GMAB). Mortality
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Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-07 Xue Dong, Ximin Rong, Hui Zhao
ABSTRACT This paper investigates a non-zero-sum stochastic differential game between two competitive CARA insurers, where we adopt the different classes of premium principles (including the expected value premium principle, the variance premium principle and the exponential premium principle) and each insurer aims to maximize the expected exponential utility of his terminal wealth relative to that
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The impact of correlation on (Range) Value-at-Risk Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-07 Carole Bernard, Corrado De Vecchi, Steven Vanduffel
The assessment of portfolio risk is often explicitly (e.g. the Basel III square root formula) or implicitly (e.g. credit risk models) driven by the marginal distributions of the risky components and their correlations. We assess the extent by which such practice is prone to model error. In the case of n = 2 risks, we investigate under which conditions the unconstrained Value-at-Risk (VaR) bounds (which
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Approximating the classical risk process by stable Lévy motion Scand. Actuar. J. (IF 1.8) Pub Date : 2022-11-07 Jingyi Cao, Virginia R. Young
The classical Cramér–Lundberg risk process is commonly used to model the surplus of an insurer; it characterizes the claim arrival process and the claim size random variable Y through a compound Poisson process, along with a constant rate of premium income. When E(Y2)<∞E(Y2)<∞ , the process can be approximated by a diffusion process, but that requirement eliminates many heavy-tailed claim models, such
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Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity Scand. Actuar. J. (IF 1.8) Pub Date : 2022-10-30 Jingyi Cao, Virginia R. Young
ABSTRACT We consider the problem of to which extent a diffusion process serves as a valid approximation of the classical Cramér-Lundberg (CL) risk process for a Stackelberg differential game between a buyer and a seller of insurance. We show that the equilibrium for the diffusion approximation equals the limit of the equilibrium for the scaled CL process, and it is nearly optimal for the pre-limit
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A simple Bayesian state-space approach to the collective risk models Scand. Actuar. J. (IF 1.8) Pub Date : 2022-10-18 Jae Youn Ahn, Himchan Jeong, Yang Lu
The collective risk model (CRM) for frequency and severity is an important tool for retail insurance ratemaking, natural disaster forecasting, as well as operational risk in banking regulation. This model, initially designed for cross-sectional data, has recently been adapted to a longitudinal context for both a priori and a posteriori ratemaking, through random effects specifications. However, the
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On the surplus management of funds with assets and liabilities in presence of solvency requirements Scand. Actuar. J. (IF 1.8) Pub Date : 2022-10-16 Benjamin Avanzi, Ping Chen, Lars Frederik Brandt Henriksen, Bernard Wong
In this paper, we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu [(2003). Geometric Brownian motion models for assets and liabilities: From pension funding to optimal dividends. North American Actuarial Journal 7(3), 37–56]. We determine what dividend strategy maximises the expected present value of dividends
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Actuarial pricing with financial methods Scand. Actuar. J. (IF 1.8) Pub Date : 2022-09-14 Alejandro Balbás, Beatriz Balbás, Raquel Balbás, Antonio Heras
The objective of this paper is twofold. On the one hand, the optimal combination of reinsurance and financial investment will be studied under a general framework. Indeed, there is no specific type of reinsurance contract, there is no specific dynamics of the involved financial instruments and the financial market does not have to be free of frictions. On the other hand, it will be pointed out how
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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model Scand. Actuar. J. (IF 1.8) Pub Date : 2022-08-31 Wenyuan Wang, Dmitry Muravey, Yang Shen, Yan Zeng
This paper studies a mean-variance investment-reinsurance problem under a new stochastic volatility model, namely the 4/2 stochastic volatility model. Solving this problem requires a deep understanding of a class of parabolic partial differential equations (PPDEs). By the parametrix method and the integral transform method, we derive explicit solutions to the PPDEs in several special cases. Through
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Conditional increments of aggregate discounted claims with a trend Scand. Actuar. J. (IF 1.8) Pub Date : 2022-08-31 Ghislain Léveillé, Ilie Radu Mitric
We study the moments generating function, moments, distributions, VaR, and TVaR of conditional increments of aggregate discounted claims when the counting process is generated by a trend renewal process. The combined effect of the age process and trend is also examined.
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Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models Scand. Actuar. J. (IF 1.8) Pub Date : 2022-08-01 Meiqiao Ai, Zhimin Zhang, Dan Zhu
Variable annuities with complex surrender features are nowadays increasingly popular for managing longevity risks. The study of their accurate pricing and sensitivity analysis is one of the main actuarial research topics. This paper studies the valuation problem of variable annuity contracts with guaranteed minimum maturity benefits on a set of predetermined discrete tenor dates under regime-switching
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Socioeconomic differentials in mortality: implications on index-based longevity hedges Scand. Actuar. J. (IF 1.8) Pub Date : 2022-07-31 Pintao Lyu, Johnny Siu-Hang Li, Kenneth Q. Zhou
In this paper, we address the mortality modeling needs for pension plan sponsors who wish to use index-based solutions to mitigate their longevity risk exposures. Specifically, we propose the three-way Li-Lee (TWLL) model, which enforces a certain extent of coherence between the population to which the index-based hedging instrument is linked and the population of pension plan members, and at the same
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A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands Scand. Actuar. J. (IF 1.8) Pub Date : 2022-07-18 Sophie de Mol van Otterloo, Jennifer Alonso-García
We investigate the effect of part-time and full-time work on health using a Markov framework and generalized linear models to smooth the resulting crude rates. The Chapman-Kolmogorov equations are used for a general solution. We apply this model to assess a partial early retirement incentive in the Netherlands, known as ‘the generation pact’. The smoothed rates imply that working part time does not
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Finite-time ruin probabilities using bivariate Laguerre series Scand. Actuar. J. (IF 1.8) Pub Date : 2022-07-12 Eric C. K. Cheung, Hayden Lau, Gordon E. Willmot, Jae-Kyung Woo
In this paper, we revisit the finite-time ruin probability in the classical compound Poisson risk model. Traditional general solutions to finite-time ruin problems are usually expressed in terms of infinite sums involving the convolutions related to the claim size distribution and their integrals, which can typically be evaluated only in special cases where the claims follow exponential or (more generally)