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  • Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
    Scand. Actuar. J. (IF 1.705) Pub Date : 2021-01-07
    Yanchun Zhao; Tiantian Mao; Fan Yang

    The Haezendonck-Goovaerts (H-G) risk measure, proposed by Haezendonck & Goovaerts [(1982). A new premium calculation principle based on Orlicz norms. Insurance: Mathematics and Economics 1(1), 41–53], has attracted much attention in the fields of finance, insurance and quantitative risk management in recent years. In this paper, we focus on the study of efficient estimators for the H-G risk measure

    更新日期:2021-01-08
  • Bowley reinsurance with asymmetric information on the insurer's risk preferences
    Scand. Actuar. J. (IF 1.705) Pub Date : 2021-01-07
    Tim J. Boonen; Ka Chun Cheung; Yiying Zhang

    ABSTRACT The Bowley solution refers to the optimal pricing density for the reinsurer and optimal ceded loss for the insurer when there is a monopolistic reinsurer. In a sequential game, the reinsurer first sets the pricing kernel, and thereafter the insurer selects the reinsurance contract given the pricing kernel. In this article, we study Bowley solutions under asymmetric information on the insurer's

    更新日期:2021-01-08
  • Structure of intergenerational risk-sharing plans: optimality and fairness
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-12-30
    Xiaobai Zhu; Mary Hardy; David Saunders

    In this paper, we derive optimal designs for a stylized Intergenerational Risk Sharing (IRS) pension plan. We study a Defined Ambition plan under which both contributions and pension benefits are adjusted based on the funding level. Our objective function focuses on the stability of members' lifetime consumption, both in the contribution and benefit phases, formulating the optimization as an ergodic

    更新日期:2020-12-31
  • Two-step risk analysis in insurance ratemaking
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-12-30
    Seul Ki Kang; Liang Peng; Andrew Golub

    Recently, Heras et al. (2018. An application of two-stage quantile regression to insurance ratemaking. Scandinavian Actuarial Journal 9, 753–769) propose a two-step inference to forecast the Value-at-Risk of aggregated losses in insurance ratemaking by combining logistic regression and quantile regression without discussing the critical issue of uncertainty quantification. This paper proposes a random

    更新日期:2020-12-31
  • Optimal contribution rate of PAYGO pension
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-12-12
    Lin He; Zongxia Liang; Yilun Song; Qi Ye

    ABSTRACT In this paper, we study the optimal contribution rate of pay-as-you-go (PAYGO) pension under a Nash equilibrium between the participants and the government. Given the fixed contribution rate, the participants of different cohorts choose optimal consumption and asset allocation policies to achieve their objectives. Using the variational method, we derive the closed-form solution. The value

    更新日期:2020-12-12
  • On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-29
    Claude Lefèvre; Stéphane Loisel; Pierre Montesinos

    ABSTRACT This paper is concerned with properties of Beta-unimodal distributions and their use to assess the basis risk inherent to index-based insurance or reinsurance contracts. To this extent, we first characterize s-convex stochastic orders for Beta-unimodal distributions in terms of the Weyl fractional integral. We then determine s-convex extrema for such distributions, focusing in particular on

    更新日期:2020-12-01
  • Tontines with mixed cohorts
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-29
    An Chen; Linyi Qian; Zhixin Yang

    With the advancements of medical technology and the improvements in quality of life, the demand for innovative retirement products designed to address increasing longevity risks has been growing in recent decades. Tontines and tontine-like products, where the insurers and policyholder share longevity risks, are being explored as an alternative to annuities. As of now, homogeneous policyholders are

    更新日期:2020-12-01
  • Market pricing of longevity-linked securities
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-29
    Sixian Tang; Jackie Li

    ABSTRACT One way of mitigating longevity risk is constructing a hedge using longevity- or mortality-linked securities. A fundamental question is how to price these securities in an incomplete life market where liabilities are not liquidly traded. Although various premium principles have been developed in the literature, no consensus has been reached on the best choice to price longevity risk. This

    更新日期:2020-12-01
  • Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-21
    Carole Bettonville; Louise d'Oultremont; Michel Denuit; Julien Trufin; Robin Van Oirbeek

    This paper proposes a multistate model with a Semi-Markov dependence structure describing the different stages in the settlement process of individual claims in general insurance. Every trajectory, from reporting to closure is combined with a modeling of individual link ratios to obtain the ultimate cost of each claim. Analytical expressions are derived for the moments of ultimate amounts whereas quantile

    更新日期:2020-11-22
  • Optimal prevention of large risks with two types of claims
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-21
    Romain Gauchon; Stéphane Loisel; Jean-Louis Rulliere; Julien Trufin

    In this paper, we propose and study a risk model with two types of claims in which the insurer may invest into a prevention plan which decreases the intensity of large claims without impacting the small claims. We identify a necessary and sufficient condition for insurers to use prevention if there is no surplus. If, in addition, the severity of large claims dominates that of small claims by the harmonic

    更新日期:2020-11-22
  • Optimal dividend strategy for an insurance group with contagious default risk
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-15
    Zhuo Jin; Huafu Liao; Yue Yang; Xiang Yu

    This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase the default probabilities of all surviving subsidiaries. The total dividend problem for the insurance group is investigated and we find that the optimal dividend

    更新日期:2020-11-15
  • Ruin probability in a two-dimensional model with correlated Brownian motions
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-15
    Peter Grandits; Maike Klein

    ABSTRACT We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing maximally the company with less endowment is the optimal strategy for the collaboration if the Brownian motions are correlated and the transfer rate can exceed

    更新日期:2020-11-15
  • Grouping of contracts in insurance using neural networks
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-11-05
    Mark Kiermayer; Christian Weiß

    ABSTRACT Despite the high importance of grouping in practice, there exists little research on the respective topic. The present work presents a framework for grouping and a novel method to optimize model points in life insurance. We introduce a supervised clustering algorithm using neural networks to form a less complex portfolio, alias grouping. In a two-step approach, we first approximate selected

    更新日期:2020-11-06
  • Time-consistent and market-consistent actuarial valuation of the participating pension contract
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-10-26
    Ahmad Salahnejhad Ghalehjooghi; Antoon Pelsser

    The regulator in Europe calls for the market-consistent valuation of the insurance liabilities that usually are not (fully) tradable. An example of such liabilities is the participating pension contract that is generally long-dated and vulnerable to the medium-time dynamics of the underlying risk drivers. Dealing with these characteristics requires time-consistent pricing. However, the well-known non-linear

    更新日期:2020-10-30
  • Quantile hedging in a defaultable market with life insurance applications
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-10-21
    Anna Glazyrina; Alexander Melnikov

    The paper is devoted to quantile hedging in a market with defaultable securities. Both perfect and quantile hedging strategies are given for a European call option on a vulnerable equity. Application of quantile methodology to pricing the equity-linked life insurance contracts is demonstrated. A numerical example is provided to illustrate the effect of a default on the option price, on the probability

    更新日期:2020-10-30
  • Ranking the extreme claim amounts in dependent individual risk models
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-10-09
    Nuria Torrado; Jorge Navarro

    In risk theory, the distribution of extreme claim amounts of dependent risks is an essential element, since it provides valuable information to companies for developing risk reduction strategies. In this article, we obtain a representation of the distributions of the smallest and the largest claim amounts based on a new concept of semi-distorted distribution. This concept extends the well known concept

    更新日期:2020-10-11
  • Correction
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-10-09

    (2020). Correction. Scandinavian Actuarial Journal. Ahead of Print.

    更新日期:2020-10-11
  • Financial position and performance in IFRS 17
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-09-25
    Lina Palmborg; Mathias Lindholm; Filip Lindskog

    The general principles for determining the financial performance of a company is that revenue is earned as goods are delivered or services provided, and that expenses in the period are made up of the costs associated with this earned revenue. In the insurance industry, premium payments are typically made upfront, and can provide coverage for several years, or be paid many years before the coverage

    更新日期:2020-09-26
  • Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-09-25
    Mi Chen; Kam Chuen Yuen; Wenyuan Wang

    In this paper, we investigate the problem of optimal reinsurance and dividends under the Cramér–Lundberg risk model with the thinning-dependence structure which was first introduced by Wang and Yuen [Wang, G. & Yuen, K. C. (2005). On a correlated aggregate claims model with thinning-dependence structure. Insurance: Mathematics and Economics 36(3), 456–468]. The optimization criterion is to maximize

    更新日期:2020-09-26
  • An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-09-21
    Fabio Baione; Davide Biancalana

    This paper deals with the use of parametric quantile regression for the calculation of a loaded premium, based on a quantile measure, corresponding to individual insurance risk. Heras et al. have recently introduced a ratemaking process based on a two-stage quantile regression model. In the first stage, a probability to have at least one claim is estimated by a GLM logit, whereas in the second stage

    更新日期:2020-09-22
  • Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age–period–cohort model
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-09-16
    Erengul Dodd; Jonathan J. Forster; Jakub Bijak; Peter W. F. Smith

    We propose a comprehensive and coherent approach for mortality projection using a maximum-likelihood method which benefits from full use of the substantial data available on mortality rates, their improvement rates, and the associated variability. Under this approach, we fit a negative binomial distribution to overcome one of the several limitations of existing approaches such as insufficiently robust

    更新日期:2020-09-18
  • Life expectancy and lifespan disparity forecasting: a long short-term memory approach
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-09-13
    Andrea Nigri; Susanna Levantesi; Mario Marino

    After the World War II, developed countries experienced a constant decline in mortality. As a result, life expectancy has never stopped increasing, despite an evident deceleration in developed countries, e.g. England, USA and Denmark. In this paper, we propose a new approach for forecasting life expectancy and lifespan disparity based on the recurrent neural networks with a long short-term memory.

    更新日期:2020-09-13
  • Retrospective reserves and bonus
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-08-25
    Kenneth Bruhn; Alexander Sevel Lollike

    Modern legislation has increased the amount of quantities that insurance companies should report in order to prove solvent as well as prudent. More of these quantities require not just simple bookkeeping but a mere projection of the future. In this paper, we provide a solid base for this crystal ball exercise as we derive differential equations for the retrospective reserves of a pension company, in

    更新日期:2020-08-26
  • Robust optimal investment and reinsurance problems with learning
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-08-25
    Nicole Bäuerle; Gregor Leimcke

    In this paper, we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependency between them. The aim is to maximize the expected exponential utility of terminal wealth which is shown to imply a robust approach. We can solve this problem using a generalized HJB equation where

    更新日期:2020-08-26
  • Genetics, insurance and hypertrophic cardiomyopathy
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-07-23
    Oytun Haçarız; Torsten Kleinow; Angus S. Macdonald

    We specify a mathematical model of Hypertrophic Cardiomyopathy (HCM) and consider the potential costs arising from adverse selection in a life insurance market. HCM is a dominantly inherited heart disorder which is relatively common and has high mortality; a population prevalence of 0.2% and annual mortality hazard (force of mortality) of 1% have been widely cited. Adverse selection may arise if insurers

    更新日期:2020-07-24
  • Tax- and expense-modified risk-minimization for insurance payment processes
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-07-21
    Kristian Buchardt; Christian Furrer; Thomas Møller

    We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minimizing strategies in the presence of taxes and expenses are derived and linked to

    更新日期:2020-07-21
  • Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-07-19
    Olivier Lopez; Xavier Milhaud

    Thanks to nonparametric estimators coming from machine learning, microlevel reserving has become more and more popular for actuaries. Recent research focused on how to integrate the whole information one can have on claims to predict individual reserves, with varying success due to incomplete observations. Using the CART algorithm, we develop new results that allow us to deal with large reporting delays

    更新日期:2020-07-20
  • Indifference pricing of pure endowments via BSDEs under partial information
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-07-11
    Claudia Ceci; Katia Colaneri; Alessandra Cretarola

    In this paper, we investigate the pricing problem of a pure endowment contract when the insurance company has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time of the insured as well as the trend of a portfolio traded in the financial market, where investments in a riskless asset, a risky asset and a longevity

    更新日期:2020-07-11
  • Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-07-03
    Xia Han; Zhibin Liang; Virginia R. Young

    In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surplus process reaches some fixed fraction of its maximum value to date. We assume that the reinsurance premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We derive closed-form

    更新日期:2020-07-03
  • On copula-based collective risk models: from elliptical copulas to vine copulas
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-06-26
    Rosy Oh; Jae Youn Ahn; Woojoo Lee

    Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model, and two-part frequency-severity model. This study focuses on the copula approach to develop collective risk models that allow a flexible dependence structure for frequency

    更新日期:2020-06-26
  • Modelling seasonal mortality with individual data
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-06-16
    Stephen J. Richards; Stefan J. Ramonat; Gregory T. Vesper; Torsten Kleinow

    Most studies of seasonal variation in mortality rely on aggregated death counts at population level. In this paper, we use individual data to present a series of models for different aspects of seasonal variation. The models are fitted to a variety of international pensioner data sets and suggest a high degree of commonality across countries with different climates and different health systems. The

    更新日期:2020-06-16
  • Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-06-04
    Le Chang; Yanlin Shi

    Existing literature argues that the mortality rate of a specific age is affected not only by its own lags but by the lags of neighbouring ages, known as cohort effects. Although these effects are assumed constant in most studies, they can be dynamic over a long timespan. Consequently, popular mortality models with time-invariant age-dependent coefficients, including the Lee-Carter (LC) and vector autoregression

    更新日期:2020-06-04
  • On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-04-24
    Lanpeng Ji

    Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial capital tends to infinity. An asymptotic distribution for the conditional cumulative Parisian ruin time is also derived. The obtained results on the cumulative Parisian

    更新日期:2020-04-24
  • Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-04-24
    Ze Chen; Bingzheng Chen; Jan Dhaene

    Hedging techniques have been widely adopted in market-consistent or fair valuation approach required by recent solvency regulations, to take into account the market prices of the hedgeable parts of insurance liabilities. In this study, we investigate the fair dynamic valuation of insurance liabilities, which are model-consistent (mark-to-model), market-consistent (mark-to-market), and time-consistent

    更新日期:2020-04-24
  • Incorporating structural changes in mortality improvements for mortality forecasting
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-04-21
    Jackie Li; Kenneth Wong

    In recent decades, there have been decreasing mortality improvements at younger ages but increasing mortality improvements at older ages in many countries. We propose a modified Lee-Carter method to allow for these structural changes, in which the entire data period is divided into more homogeneous subperiods and a unique set of age-specific parameters is incorporated for each subperiod. We consider

    更新日期:2020-04-21
  • Budget-constrained optimal retention with an upper limit on the retained loss
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-29
    Mario Ghossoub

    Unlike sophisticated institutional insurance buyers, individual insurance seekers often use simple heuristic tools for risk management purposes, such as requiring that an insurance arrangement will not result in a retained loss that exceeds a certain predetermined and fixed level. In this paper, we re-examine the problem of budget-constrained demand for insurance indemnification when the insured and

    更新日期:2020-04-20
  • Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-31
    Zhongyang Sun; Xin Zhang; Kam Chuen Yuen

    This paper considers an optimal asset-liability management (ALM) problem for an insurer under the mean-variance criterion. It is assumed that the value of liabilities is described by a geometric Brownian motion (GBM). The insurer's surplus process is modeled by a general jump process generated by a marked point process. The financial market consists of one risk-free asset and n risky assets with the

    更新日期:2020-04-20
  • Cash flow techniques for asset liability management
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-31
    Kim Aguirre Nolsøe; Dieter Degrijse; Sofie Ahm; Kristoffer Brix; Mads Storgaard; Jesper Strodl

    Motivated by Solvency II, requiring the incorporation of policyholder behavior and portfolio performance into the liability modeling of a life insurance company, we propose some new techniques to efficiently compute future values of the first-order reserve and the third order cash flow under varying economic scenarios.

    更新日期:2020-04-20
  • Bonus-Malus premiums under the dependent frequency-severity modeling
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-15
    Rosy Oh; Peng Shi; Jae Youn Ahn

    A Bonus-Malus System (BMS) in insurance is a premium adjustment mechanism widely used in a posteriori ratemaking process to set the premium for the next contract period based on a policyholder's claim history. The current practice in BMS implementation relies on the assumption of independence between claim frequency and severity, despite the fact that a series of recent studies report evidence of a

    更新日期:2020-04-20
  • Optimal asset allocation for participating contracts under the VaR and PI constraint
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-06
    Yinghui Dong; Sang Wu; Wenxin Lv; Guojing Wang

    Participating contracts provide a maturity guarantee for the policyholder. However, the terminal payoff to the policyholder should be related to financial risks of participating insurance contracts. We investigate an optimal investment problem under a joint value-at-risk and portfolio insurance constraint faced by the insurer who offers participating contracts. The insurer aims to maximize the expected

    更新日期:2020-03-20
  • A Hermite-spline model of post-retirement mortality
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-07-22
    Stephen J. Richards

    We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection effects are catered for, as are age-modulated time trends and seasonal variation in mortality. Central to the model are Hermite splines, which permit parsimonious modelling of complex risk factors in even modest-sized

    更新日期:2020-03-20
  • Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-22
    Yuying Liu; Zhaoyang Liu; Guoxin Liu

    This paper concerns the optimal dividend problem with bounded dividend rate for Sparre Andersen risk model. The analytic characterizations of admissible strategies and Markov strategies are given. We use the measure-valued generator theory to derive a measure-valued dynamic programming equation. The value function is proved to be of locally finite variation along the path, which belongs to the domain

    更新日期:2020-03-20
  • Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-08-20
    Brian Hartman; Chris Groendyke; David Engler

    We develop Bayesian multivariate regime-switching models for correlated assets, comparing three different ways to flexibly structure the correlation matrix. After developing the models, we examine their relative characteristics and performance, first in a straightforward asset simulation example, and later applied to a variable annuity product with guarantees. We find that the freedom allowed by the

    更新日期:2020-03-20
  • Correction
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-03-19

    (2020). Correction. Scandinavian Actuarial Journal: Vol. 2020, No. 8, pp. i-ii.

    更新日期:2020-03-19
  • Multi-population mortality forecasting using tensor decomposition
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-03-14
    Yumo Dong; Fei Huang; Honglin Yu; Steven Haberman

    ABSTRACT In this paper, we formulate the multi-population mortality forecasting problem based on 3-way (age, year, and country/gender) decompositions. By applying the canonical polyadic decomposition (CPD) and the different forms of the Tucker decomposition to multi-population mortality data (10 European countries and 2 genders), we find that the out-of-sample forecasting performance is significantly

    更新日期:2020-03-14
  • A multiple state model for the working-age disabled population using cross-sectional data
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-02-17
    Poontavika Naka; María del Carmen Boado-Penas; Gauthier Lanot

    A multiple state model describes the transitions of the disability risk among the states of active, inactive and dead. Ideally, estimations of transition probabilities and transition intensities rely on longitudinal data; however, most of the national surveys of disability are based on cross-sectional data measuring the disabled status of an individual at one point in time. This paper aims to propose

    更新日期:2020-02-17
  • On a discrete-time risk model with time-dependent claims and impulsive dividend payments
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-02-15
    Lianzeng Zhang; He Liu

    A discrete-time risk model with a mathematically tractable dependence structure between interclaim times and claim sizes is considered in the presence of an impulsive dividend strategy. Under such a strategy, once the insurer's reserve upcrosses the level b, the excess of the reserve over a   ( a ≤ b ) is paid off as dividends. We derive difference equations for both the expected discounted penalty

    更新日期:2020-02-15
  • Approximation of ruin probability and ruin time in discrete Brownian risk models
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-02-15
    Grigori Jasnovidov

    We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, γ-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical and natural grid of points is for instance G ( 1 ) = { 0 , 1 , 2 , … } , which allows us to study the probability of the ruin on the first day, second day, and so one

    更新日期:2020-02-15
  • Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-02-04
    Guohui Guan; Xiaojun Wang

    This paper investigates time-consistent reinsurance(excess-of-loss, proportional) and investment strategies for an ambiguity averse insurer(abbr. AAI). The AAI is ambiguous towards the insurance and financial markets. In the AAI's attitude, the intensity of the insurance claims' number and the market price of risk of a stock can not be estimated accurately. This formulation of ambiguity is similar

    更新日期:2020-02-04
  • Cohort and value-based multi-country longevity risk management
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-01-14
    Michael Sherris; Yajing Xu; Jonathan Ziveyi

    Multi-country risk management of longevity risk provides new opportunities to hedge mortality and interest rate risks in guaranteed lifetime income streams. This requires consideration of both interest rate and mortality risks in multiple countries. For this purpose, we develop value-based longevity indexes for multiple cohorts in two different countries that take into account the major sources of

    更新日期:2020-01-14
  • Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-01-13
    Liang Hong; Ryan Martin

    In the context of predicting future claims, a fully Bayesian analysis – one that specifies a statistical model, prior distribution, and updates using Bayes's formula – is often viewed as the gold-standard, while Bühlmann's credibility estimator serves as a simple approximation. But those desirable properties that give the Bayesian solution its elevated status depend critically on the posited model

    更新日期:2020-01-13
  • The Lee-Carter quantile mortality model
    Scand. Actuar. J. (IF 1.705) Pub Date : 2020-01-02
    Miguel Santolino

    The Lee-Carter (LC) stochastic mortality model has been widely used for making future projections of mortality rates. In the framework of the LC model, the response function is non-linear in parameters. Here, we adapt this LC framework to compute conditional quantiles. The LC quantile model can be defined as quantile non-linear regression conditioned to age and the calendar year. Two strategies for

    更新日期:2020-01-02
  • Generalized log-normal chain-ladder
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-12-21
    D. Kuang; B. Nielsen

    ABSTRACT We propose an asymptotic theory for distribution forecasting from the log-normal chain-ladder model. The theory overcomes the difficulty of convoluting log-normal variables and takes estimation error into account. The results differ from that of the over-dispersed Poisson model and from the chain-ladder-based bootstrap. We embed the log-normal chain-ladder model in a class of infinitely divisible

    更新日期:2019-12-21
  • Continuous chain-ladder with paid data
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-12-06
    Stephan M. Bischofberger; Munir Hiabu; Alex Isakson

    We introduce a continuous-time framework for the prediction of outstanding liabilities, in which chain-ladder development factors arise as a histogram estimator of a cost-weighted hazard function running in reversed development time. We use this formulation to show that under our assumptions on the individual data chain-ladder is consistent. Consistency is understood in the sense that both the number

    更新日期:2019-12-06
  • Weighted utility optimization of the participating endowment contract
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-12-06
    Lin He; Zongxia Liang; Yang Liu; Ming Ma

    In a participating endowment contract, the special loss compensation and profit sharing mechanism leads to heterogeneous benchmarks to distinguish the gain and loss for the policyholder's and the insurance company's S-shaped utilities. Because of the intense competition among the insurance companies and the requirement of the regulators, the benefits of the policyholders should be considered. As such

    更新日期:2019-12-06
  • Continuous-time multi-cohort mortality modelling with affine processes
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-12-06
    Yajing Xu; Michael Sherris; Jonathan Ziveyi

    Continuous-time mortality models, based on affine processes, provide many advantages over discrete-time models, especially for financial applications, where such processes are commonly used for interest rate and credit risks. This paper presents a multi-cohort mortality model for age-cohort mortality rates with common factors across cohorts as well as cohort-specific factors. The mortality model is

    更新日期:2019-12-06
  • Combined tail estimation using censored data and expert information
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-11-24
    Martin Bladt; Hansjörg Albrecher; Jan Beirlant

    We study tail estimation in Pareto-like settings for datasets with a high percentage of randomly right-censored data, and where some expert information on the tail index is available for the censored observations. This setting arises for instance naturally for liability insurance claims, where actuarial experts build reserves based on the specificity of each open claim, which can be used to improve

    更新日期:2019-11-24
  • Efficiency of institutional spending and investment rules
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-11-06
    Johannes M. Schumacher

    ABSTRACT Endowment funds and similar institutions aim to generate a benefit stream of unlimited duration on the basis of an initially donated capital. Towards this purpose, responsible trustees need to design a spending policy as well as an investment policy. A combined spending and investment policy is said to be efficient if the total net present value of benefits that are paid according to the policy

    更新日期:2019-11-06
  • Robust reinsurance contracts with risk constraint
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-10-30
    Ning Wang; Tak Kuen Siu

    This paper aims to investigate optimal reinsurance contracts in a continuous-time modelling framework from the perspective of a principal-agent problem. The reinsurer plays the role of the principal and aims to determine an optimal reinsurance premium to maximize the expected utility on terminal wealth. It is supposed that the reinsurer faces ambiguity about the insurance claim process. The insurer

    更新日期:2019-10-30
  • Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
    Scand. Actuar. J. (IF 1.705) Pub Date : 2019-10-16
    Ailing Gu; Frederi G. Viens; Yang Shen

    We discuss an optimal excess-of-loss reinsurance contract in a continuous-time principal-agent framework where the surplus of the insurer (agent/he) is described by a classical Cramér-Lundberg (C-L) model. In addition to reinsurance, the insurer and the reinsurer (principal/she) are both allowed to invest their surpluses into a financial market containing one risk-free asset (e.g. a short-rate account)

    更新日期:2019-10-16
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