Pub Date : 2023-04-24DOI: 10.1017/s174849952300009x
Sébastien Jessup, M. Mailhot, M. Pigeon
Climate change is expected to increase the frequency and intensity of extreme weather events. To properly assess the increased economical risk of these events, actuaries can gain in relying on expert models/opinions from multiple different sources, which requires the use of model combination techniques. From non-parametric to Bayesian approaches, different methods rely on varying assumptions potentially leading to very different results. In this paper, we apply multiple model combination methods to an ensemble of 24 experts in a pooling approach and use the differences in outputs from the different combinations to illustrate how one can gain additional insight from using multiple methods. The densities obtained from pooling in Montreal and Quebec City highlight the significant changes in higher quantiles obtained through different combination approaches. Areal reduction factor and quantile projected changes are used to show that consistency, or lack thereof, across approaches reflects the uncertainty of combination methods. This shows how an actuary using multiple expert models should consider more than one combination method to properly assess the impact of climate change on loss distributions, seeing as a single method can lead to overconfidence in projections.
{"title":"Impact of combination methods on extreme precipitation projections","authors":"Sébastien Jessup, M. Mailhot, M. Pigeon","doi":"10.1017/s174849952300009x","DOIUrl":"https://doi.org/10.1017/s174849952300009x","url":null,"abstract":"\u0000 Climate change is expected to increase the frequency and intensity of extreme weather events. To properly assess the increased economical risk of these events, actuaries can gain in relying on expert models/opinions from multiple different sources, which requires the use of model combination techniques. From non-parametric to Bayesian approaches, different methods rely on varying assumptions potentially leading to very different results. In this paper, we apply multiple model combination methods to an ensemble of 24 experts in a pooling approach and use the differences in outputs from the different combinations to illustrate how one can gain additional insight from using multiple methods. The densities obtained from pooling in Montreal and Quebec City highlight the significant changes in higher quantiles obtained through different combination approaches. Areal reduction factor and quantile projected changes are used to show that consistency, or lack thereof, across approaches reflects the uncertainty of combination methods. This shows how an actuary using multiple expert models should consider more than one combination method to properly assess the impact of climate change on loss distributions, seeing as a single method can lead to overconfidence in projections.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47132516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-29DOI: 10.1017/s1748499523000039
M. Bräutigam, M. Kratz
Risk measurements are clearly central to risk management, in particular for banks, (re)insurance companies, and investment funds. The question of the appropriateness of risk measures for evaluating the risk of financial institutions has been heavily debated, especially after the financial crisis of 2008/2009. Another concern for financial institutions is the pro-cyclicality of risk measurements. In this paper, we extend existing work on the pro-cyclicality of the Value-at-Risk to its main competitors, Expected Shortfall, and Expectile: We compare the pro-cyclicality of historical quantile-based risk estimation, taking into account the market state. To characterise the latter, we propose various estimators of the realised volatility. Considering the family of augmented GARCH(p, q) processes (containing well-known GARCH models and iid models, as special cases), we prove that the strength of pro-cyclicality depends on the three factors: the choice of risk measure and its estimators, the realised volatility estimator and the model considered, but, no matter the choices, the pro-cyclicality is always present. We complement this theoretical analysis by performing simulation studies in the iid case and developing a case study on real data.
{"title":"How do empirical estimators of popular risk measures impact pro-cyclicality?","authors":"M. Bräutigam, M. Kratz","doi":"10.1017/s1748499523000039","DOIUrl":"https://doi.org/10.1017/s1748499523000039","url":null,"abstract":"\u0000 Risk measurements are clearly central to risk management, in particular for banks, (re)insurance companies, and investment funds. The question of the appropriateness of risk measures for evaluating the risk of financial institutions has been heavily debated, especially after the financial crisis of 2008/2009. Another concern for financial institutions is the pro-cyclicality of risk measurements. In this paper, we extend existing work on the pro-cyclicality of the Value-at-Risk to its main competitors, Expected Shortfall, and Expectile: We compare the pro-cyclicality of historical quantile-based risk estimation, taking into account the market state. To characterise the latter, we propose various estimators of the realised volatility. Considering the family of augmented GARCH(p, q) processes (containing well-known GARCH models and iid models, as special cases), we prove that the strength of pro-cyclicality depends on the three factors: the choice of risk measure and its estimators, the realised volatility estimator and the model considered, but, no matter the choices, the pro-cyclicality is always present. We complement this theoretical analysis by performing simulation studies in the iid case and developing a case study on real data.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43506220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-29DOI: 10.1017/s1748499523000076
Ehsan Jahanbani, Amir T. Payandeh Najafabadi, Khaled Masoumifard
Consider the problem of determining the Bayesian credibility mean $E(X_{n+1}|X_1,cdots, X_n),$ whenever the random claims $X_1,cdots, X_n,$ given parameter vector $boldsymbol{Psi},$ are sampled from the K-component mixture family of distributions, whose members are the union of different families of distributions. This article begins by deriving a recursive formula for such a Bayesian credibility mean. Moreover, under the assumption that using additional information $Z_{i,1},cdots,Z_{i,m},$ one may probabilistically determine a random claim $X_i$ belongs to a given population (or a distribution), the above recursive formula simplifies to an exact Bayesian credibility mean whenever all components of the mixture distribution belong to the exponential families of distributions. For a situation where a 2-component mixture family of distributions is an appropriate choice for data modelling, using the logistic regression model, it shows that: how one may employ such additional information to derive the Bayesian credibility model, say Logistic Regression Credibility model, for a finite mixture of distributions. A comparison between the Logistic Regression Credibility (LRC) model and its competitor, the Regression Tree Credibility (RTC) model, has been given. More precisely, it shows that under the squared error loss function, it shows the LRC’s risk function dominates the RTC’s risk function at least in an interval which about $0.5.$ Several examples have been given to illustrate the practical application of our findings.
{"title":"On Bayesian credibility mean for finite mixture distributions","authors":"Ehsan Jahanbani, Amir T. Payandeh Najafabadi, Khaled Masoumifard","doi":"10.1017/s1748499523000076","DOIUrl":"https://doi.org/10.1017/s1748499523000076","url":null,"abstract":"\u0000 Consider the problem of determining the Bayesian credibility mean \u0000 \u0000 \u0000 \u0000$E(X_{n+1}|X_1,cdots, X_n),$\u0000\u0000 \u0000 whenever the random claims \u0000 \u0000 \u0000 \u0000$X_1,cdots, X_n,$\u0000\u0000 \u0000 given parameter vector \u0000 \u0000 \u0000 \u0000$boldsymbol{Psi},$\u0000\u0000 \u0000 are sampled from the K-component mixture family of distributions, whose members are the union of different families of distributions. This article begins by deriving a recursive formula for such a Bayesian credibility mean. Moreover, under the assumption that using additional information \u0000 \u0000 \u0000 \u0000$Z_{i,1},cdots,Z_{i,m},$\u0000\u0000 \u0000 one may probabilistically determine a random claim \u0000 \u0000 \u0000 \u0000$X_i$\u0000\u0000 \u0000 belongs to a given population (or a distribution), the above recursive formula simplifies to an exact Bayesian credibility mean whenever all components of the mixture distribution belong to the exponential families of distributions. For a situation where a 2-component mixture family of distributions is an appropriate choice for data modelling, using the logistic regression model, it shows that: how one may employ such additional information to derive the Bayesian credibility model, say Logistic Regression Credibility model, for a finite mixture of distributions. A comparison between the Logistic Regression Credibility (LRC) model and its competitor, the Regression Tree Credibility (RTC) model, has been given. More precisely, it shows that under the squared error loss function, it shows the LRC’s risk function dominates the RTC’s risk function at least in an interval which about \u0000 \u0000 \u0000 \u0000$0.5.$\u0000\u0000 \u0000 Several examples have been given to illustrate the practical application of our findings.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46785040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-01DOI: 10.1017/S1748499523000040
Marion Hardy, P. Boyle
The editorial is dedicated to the memory of Ken Seng Tan, who passed away on January 1, 2023, at the height of his academic career. He was one of the most influential and prolific actuarial researchers of the last three decades.
这篇社论是为了纪念Tan Ken Seng，他于2023年1月1日去世，当时正值学术生涯的巅峰。他是过去三十年中最具影响力和影响力的精算研究人员之一。
{"title":"Keng Seng Tan 1970–2023 In Memoriam","authors":"Marion Hardy, P. Boyle","doi":"10.1017/S1748499523000040","DOIUrl":"https://doi.org/10.1017/S1748499523000040","url":null,"abstract":"The editorial is dedicated to the memory of Ken Seng Tan, who passed away on January 1, 2023, at the height of his academic career. He was one of the most influential and prolific actuarial researchers of the last three decades.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"17 1","pages":"1 - 6"},"PeriodicalIF":1.7,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48277483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-01DOI: 10.1017/S1748499523000052
Daniel Bauer
Abstract This article comments on the paper “Less-expensive long-term annuities linked to mortality, cash and equity” by Kevin Fergusson and Eckard Platen, appearing in this issue of the Annals of Actuarial Science. It adds two perspectives to their thought-provoking contribution. The first is a similarity to some recent work in quantitative finance on “deep hedging” that leverages machine learning models to find the cheapest replication strategy for a derivative payoff in a largely model-free setting. The second perspective engages with some of the interesting implications of their approach and draws parallels to literature in asset pricing and macro-finance. These perspectives point to the potential need for more fundamental shifts than the authors of the paper are advertising.
{"title":"Benchmarks for the benchmark approach to valuing long-term insurance liabilities: comment on Fergusson & Platen (2023)","authors":"Daniel Bauer","doi":"10.1017/S1748499523000052","DOIUrl":"https://doi.org/10.1017/S1748499523000052","url":null,"abstract":"Abstract This article comments on the paper “Less-expensive long-term annuities linked to mortality, cash and equity” by Kevin Fergusson and Eckard Platen, appearing in this issue of the Annals of Actuarial Science. It adds two perspectives to their thought-provoking contribution. The first is a similarity to some recent work in quantitative finance on “deep hedging” that leverages machine learning models to find the cheapest replication strategy for a derivative payoff in a largely model-free setting. The second perspective engages with some of the interesting implications of their approach and draws parallels to literature in asset pricing and macro-finance. These perspectives point to the potential need for more fundamental shifts than the authors of the paper are advertising.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"17 1","pages":"208 - 211"},"PeriodicalIF":1.7,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43679752","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-02-28DOI: 10.1017/s1748499523000015
Andres Barajas-Paz, C. Donnelly
A quantification of the financial implications of the design of a funded, collective defined contribution (CDC) pension scheme is presented and illustrated. It is done through an attribution analysis, which allows the importance of various elements of CDC scheme design to be determined. The model of a CDC scheme analysed is based lightly on the first CDC scheme set to be approved in the UK. In the CDC scheme analysed, contributions are fixed and the initial benefit accrued by each contribution is fixed. Once accrued, benefits are subsequently adjusted annually in response to changes in assumptions and returns. An attribution of the benefit payments shows that this design gives higher benefits to the first generations and lower benefits to the last generations, for a scheme which starts with no members. The contributions paid also affect the balance of benefits paid between generations. Too high a contribution is to the advantage of the first generations. Too low a contribution is in the interests of the later generations. The conclusion, within the simple model considered, is that a constant benefit accrual is an important design choice. Its financial consequences across all generations should be carefully analysed, if it is intended to be implemented. Additionally, contributions should be reviewed regularly in such a CDC scheme, to ensure that cross-subsidies are not borne excessively by particular generations.
{"title":"An attribution analysis of investment risk sharing in collective defined contribution schemes","authors":"Andres Barajas-Paz, C. Donnelly","doi":"10.1017/s1748499523000015","DOIUrl":"https://doi.org/10.1017/s1748499523000015","url":null,"abstract":"\u0000 A quantification of the financial implications of the design of a funded, collective defined contribution (CDC) pension scheme is presented and illustrated. It is done through an attribution analysis, which allows the importance of various elements of CDC scheme design to be determined. The model of a CDC scheme analysed is based lightly on the first CDC scheme set to be approved in the UK. In the CDC scheme analysed, contributions are fixed and the initial benefit accrued by each contribution is fixed. Once accrued, benefits are subsequently adjusted annually in response to changes in assumptions and returns. An attribution of the benefit payments shows that this design gives higher benefits to the first generations and lower benefits to the last generations, for a scheme which starts with no members. The contributions paid also affect the balance of benefits paid between generations. Too high a contribution is to the advantage of the first generations. Too low a contribution is in the interests of the later generations. The conclusion, within the simple model considered, is that a constant benefit accrual is an important design choice. Its financial consequences across all generations should be carefully analysed, if it is intended to be implemented. Additionally, contributions should be reviewed regularly in such a CDC scheme, to ensure that cross-subsidies are not borne excessively by particular generations.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48944935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-02-01DOI: 10.1017/s1748499522000215
Fatemeh Atatalab, Amir T. Payandeh Najafabadi
This article examines the impact of the largest claims reinsurance treaties on loss reserve of the ceding company. The largest claims reinsurance, known as LCR, and ECOMOR reinsurance treaties are considered to be the two most appropriate reinsurance treaties for large or catastrophe claims. Then, it studies the impact of such treaties on loss reserves. Through a simulation study, it shown that, under a more general situation, the LCR treaty can be a more efficient (in some sense, see below) treaty than the ECOMOR treaty for the ceding company.
{"title":"On impact of largest claims reinsurance treaties on the ceding company’s loss reserve","authors":"Fatemeh Atatalab, Amir T. Payandeh Najafabadi","doi":"10.1017/s1748499522000215","DOIUrl":"https://doi.org/10.1017/s1748499522000215","url":null,"abstract":"\u0000 This article examines the impact of the largest claims reinsurance treaties on loss reserve of the ceding company. The largest claims reinsurance, known as LCR, and ECOMOR reinsurance treaties are considered to be the two most appropriate reinsurance treaties for large or catastrophe claims. Then, it studies the impact of such treaties on loss reserves. Through a simulation study, it shown that, under a more general situation, the LCR treaty can be a more efficient (in some sense, see below) treaty than the ECOMOR treaty for the ceding company.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48374010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-09DOI: 10.1017/s1748499522000203
Gareth W. Peters, Mantana Chudtong, Andrea De Gaetano
Abstract A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. While fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment strategy, thereby also influencing the investment performance of the investors funds. The study undertaken will allow for an assessment of the effect of fee structures and the potential for asymmetric incentives to arise that may promote adverse risk-taking behaviours by the fund manager, to the detriment of the investor or retiree who places a portion of their retirement savings into such a managed fund with such fee structures. As such, understanding the mechanism of fee charging as well as pricing the fees correctly is vital. An exploration of the application of actuarial distortion pricing methods for complete and incomplete market valuation is performed on a variety of path-dependent option-like performance fee structures for various funds in the European and American markets. Furthermore, several scenario analysis and sensitivity studies are undertaken. The class of Net Asset Value models adopted are Lévy processes, and the pricing is performed via Monte Carlo techniques.
{"title":"Analysis of option-like fund performance fees in asset management via Monte Carlo actuarial distortion pricing","authors":"Gareth W. Peters, Mantana Chudtong, Andrea De Gaetano","doi":"10.1017/s1748499522000203","DOIUrl":"https://doi.org/10.1017/s1748499522000203","url":null,"abstract":"Abstract A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. While fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment strategy, thereby also influencing the investment performance of the investors funds. The study undertaken will allow for an assessment of the effect of fee structures and the potential for asymmetric incentives to arise that may promote adverse risk-taking behaviours by the fund manager, to the detriment of the investor or retiree who places a portion of their retirement savings into such a managed fund with such fee structures. As such, understanding the mechanism of fee charging as well as pricing the fees correctly is vital. An exploration of the application of actuarial distortion pricing methods for complete and incomplete market valuation is performed on a variety of path-dependent option-like performance fee structures for various funds in the European and American markets. Furthermore, several scenario analysis and sensitivity studies are undertaken. The class of Net Asset Value models adopted are Lévy processes, and the pricing is performed via Monte Carlo techniques.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135012952","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-05DOI: 10.1017/S1748499522000227
R. Thomas
This paper considers the pricing of long-term options on assets such as housing, where either government intervention or the economic nature of the asset limits large falls in prices. The observed asset price is modelled by a geometric Brownian motion (“the notional price”) reflected at a lower barrier. The resulting observed price has standard dynamics but with localised intervention at the barrier, which allows arbitrage with interim losses; this is funded by the government’s unlimited powers of intervention, and its exploitation is subject to credit constraints. Despite the lack of an equivalent martingale measure for the observed price, options on this price can be expressed as compound options on the arbitrage-free notional price, to which standard risk-neutral arguments can be applied. Because option deltas tend to zero when the observed price approaches the barrier, hedging with the observed price gives the same results as hedging with the notional price and so exactly replicates option payoffs. Hedging schemes are not unique, with the cheapest scheme for any derivative being the one which best exploits the interventions at the barrier. The price of a put is clear: direct replication has a lower initial cost than synthetic replication, and the replication portfolio always has positive value. The price of a call is ambiguous: synthetic replication has a lower initial cost than direct replication, but the replication portfolio may give interim losses. So the preferred replication strategy (and hence price) of a call depends on what margin payments need to be made on these losses.
{"title":"Long-term option pricing with a lower reflecting barrier","authors":"R. Thomas","doi":"10.1017/S1748499522000227","DOIUrl":"https://doi.org/10.1017/S1748499522000227","url":null,"abstract":"\u0000 This paper considers the pricing of long-term options on assets such as housing, where either government intervention or the economic nature of the asset limits large falls in prices. The observed asset price is modelled by a geometric Brownian motion (“the notional price”) reflected at a lower barrier. The resulting observed price has standard dynamics but with localised intervention at the barrier, which allows arbitrage with interim losses; this is funded by the government’s unlimited powers of intervention, and its exploitation is subject to credit constraints. Despite the lack of an equivalent martingale measure for the observed price, options on this price can be expressed as compound options on the arbitrage-free notional price, to which standard risk-neutral arguments can be applied. Because option deltas tend to zero when the observed price approaches the barrier, hedging with the observed price gives the same results as hedging with the notional price and so exactly replicates option payoffs. Hedging schemes are not unique, with the cheapest scheme for any derivative being the one which best exploits the interventions at the barrier. The price of a put is clear: direct replication has a lower initial cost than synthetic replication, and the replication portfolio always has positive value. The price of a call is ambiguous: synthetic replication has a lower initial cost than direct replication, but the replication portfolio may give interim losses. So the preferred replication strategy (and hence price) of a call depends on what margin payments need to be made on these losses.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47292458","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-11-01DOI: 10.1017/S1748499522000197
M. Dacorogna, Runhuan Feng, J. S. Li, A. Olivieri
Topics that have been published in this special issue include: direct effects on liabilities linked to mortality and longevity risks;capital market and insurance innovations for pandemic risk management;impacts on the provision of, and demand for, healthcare;and changes in investor/policyholder behaviour. When looking at the change in annuity and life insurance policy value, they find a drop of 9% of the annuity values in case of Polish male and an increase of 29% of the life insurance policy value for Italian males. G.P. Clemente, D. Della Corte and N. Savelli (A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components) argue that assessment of capital requirements must be based on actuarial models that are able to capture structural changes and extreme shocks so that insurance companies can cope with the unfavourable effects of new adverse demographic scenarios.
本期特刊发表的专题包括:对与死亡和长寿风险有关的负债的直接影响;大流行病风险管理方面的资本市场和保险创新;对保健服务的提供和需求的影响;以及投资者/投保人行为的变化。当观察年金和人寿保险单价值的变化时，他们发现波兰男性的年金价值下降了9%，而意大利男性的人寿保险单价值增加了29%。G.P. Clemente, D. Della Corte和N. Savelli(一种针对死亡率和寿命风险的资本需求评估的随机模型，侧重于特质和趋势成分)认为，资本需求的评估必须基于能够捕捉结构变化和极端冲击的精算模型，以便保险公司能够应对新的不利人口情景的不利影响。
{"title":"Managing the risk of mortality shocks","authors":"M. Dacorogna, Runhuan Feng, J. S. Li, A. Olivieri","doi":"10.1017/S1748499522000197","DOIUrl":"https://doi.org/10.1017/S1748499522000197","url":null,"abstract":"Topics that have been published in this special issue include: direct effects on liabilities linked to mortality and longevity risks;capital market and insurance innovations for pandemic risk management;impacts on the provision of, and demand for, healthcare;and changes in investor/policyholder behaviour. When looking at the change in annuity and life insurance policy value, they find a drop of 9% of the annuity values in case of Polish male and an increase of 29% of the life insurance policy value for Italian males. G.P. Clemente, D. Della Corte and N. Savelli (A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components) argue that assessment of capital requirements must be based on actuarial models that are able to capture structural changes and extreme shocks so that insurance companies can cope with the unfavourable effects of new adverse demographic scenarios.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"425 - 427"},"PeriodicalIF":1.7,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48187142","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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