Approximate Valuation of Life Insurance Portfolio with the Cluster Analysis: Trade-Off Between Computation Time and Precision

IF 0.3 Q4 ECONOMICS Statistika-Statistics and Economy Journal Pub Date : 2021-12-17 DOI:10.54694/stat.2021.23
János Fojtik, Jiří Procházka, Pavel Zimmermann
{"title":"Approximate Valuation of Life Insurance Portfolio with the Cluster Analysis: Trade-Off Between Computation Time and Precision","authors":"János Fojtik, Jiří Procházka, Pavel Zimmermann","doi":"10.54694/stat.2021.23","DOIUrl":null,"url":null,"abstract":"Valuation of the insurance portfolio is one of the essential actuarial tasks. Life insurance valuation is usually based on a projection of cash flows for each policy which is demanding computation time. Furthermore, modern financial management requires multiple valuations under different scenarios or input parameters. A method to reduce computation time while preserving as much accuracy as possible based on cluster analysis is presented. The basic idea of the method is to replace the original portfolio by a smaller representative portfolio based on clusters with some weights that would ensure the similarity of the valuation results to the original portfolio. Valuation is then significantly faster but requires initial time for clustering and the results are only approximate – different from the original results. The difference is studied for a different number of clusters and the trade-off between the approximation error and calculation time is evaluated.","PeriodicalId":43106,"journal":{"name":"Statistika-Statistics and Economy Journal","volume":" ","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2021-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistika-Statistics and Economy Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.54694/stat.2021.23","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

Abstract

Valuation of the insurance portfolio is one of the essential actuarial tasks. Life insurance valuation is usually based on a projection of cash flows for each policy which is demanding computation time. Furthermore, modern financial management requires multiple valuations under different scenarios or input parameters. A method to reduce computation time while preserving as much accuracy as possible based on cluster analysis is presented. The basic idea of the method is to replace the original portfolio by a smaller representative portfolio based on clusters with some weights that would ensure the similarity of the valuation results to the original portfolio. Valuation is then significantly faster but requires initial time for clustering and the results are only approximate – different from the original results. The difference is studied for a different number of clusters and the trade-off between the approximation error and calculation time is evaluated.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
基于聚类分析的寿险投资组合近似估值:计算时间和精度的权衡
保险投资组合的估值是一项重要的精算任务。人寿保险估价通常基于每一份保单的现金流预测,这需要计算时间。此外,现代财务管理需要在不同的场景或输入参数下进行多次估值。提出了一种基于聚类分析的在尽可能保持精度的同时减少计算时间的方法。该方法的基本思想是用一个较小的代表性投资组合取代原始投资组合,该投资组合基于具有一定权重的聚类,以确保估值结果与原始投资组合的相似性。然后,估值明显更快,但需要初始时间进行聚类,结果只是近似的——与原始结果不同。研究了不同簇数的差异,并评估了近似误差和计算时间之间的权衡。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
0.60
自引率
0.00%
发文量
23
审稿时长
24 weeks
期刊最新文献
A Comparative Analysis of Business and Economics Researchers in the Visegrad Group of Countries, Austria and Romania Based on the Data Obtained from SciVal and Scopus The Relationship between Monetary Aggregates and Inflation – the Case of the Czech Republic The Czech Republic and Austrian Tourism in Scope of German Visitors The Impact of External Debt on Human Capital Development and GDP Growth in HIPCs: a Comprehensive Approach Evaluation of Digital Development Based on the International Digital Economy and Society Index 2020 Data
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1