Pub Date : 2023-10-29DOI: 10.1007/s13385-023-00365-1
Matteo Cattaneo, Ron S. Kenett, Elisa Luciano
{"title":"Adversarial AI in insurance: an overview","authors":"Matteo Cattaneo, Ron S. Kenett, Elisa Luciano","doi":"10.1007/s13385-023-00365-1","DOIUrl":"https://doi.org/10.1007/s13385-023-00365-1","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136134588","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 : 2023-10-20DOI: 10.1007/s13385-023-00364-2
Nadine Gatzert, Onur Özdil
Abstract The aim of this paper is to examine the impact of dependencies between climate transition and physical risks on the default probability and profitability of a non-life insurer focusing on the scenario of a delayed and sudden transition. Toward this end, we suggest a simplified modeling approach for scenario analyses for climate risks affecting assets and liabilities, taking into account potential nonlinear dependence structures. Our results show that dependencies on the liability side and between assets and liabilities in the context of physical-transition scenarios can have a significant impact, particularly on the default risk of a non-life insurer. We additionally analyze the mitigating effects of stop loss reinsurance and risk-adjusted pricing, which—if implementable—seem to be an effective risk management measure against physical climate risks in particular.
{"title":"The impact of dependencies between climate risks on the asset and liability side of non-life insurers","authors":"Nadine Gatzert, Onur Özdil","doi":"10.1007/s13385-023-00364-2","DOIUrl":"https://doi.org/10.1007/s13385-023-00364-2","url":null,"abstract":"Abstract The aim of this paper is to examine the impact of dependencies between climate transition and physical risks on the default probability and profitability of a non-life insurer focusing on the scenario of a delayed and sudden transition. Toward this end, we suggest a simplified modeling approach for scenario analyses for climate risks affecting assets and liabilities, taking into account potential nonlinear dependence structures. Our results show that dependencies on the liability side and between assets and liabilities in the context of physical-transition scenarios can have a significant impact, particularly on the default risk of a non-life insurer. We additionally analyze the mitigating effects of stop loss reinsurance and risk-adjusted pricing, which—if implementable—seem to be an effective risk management measure against physical climate risks in particular.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135571215","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 : 2023-10-07DOI: 10.1007/s13385-023-00363-3
Theis Bathke, Marcus C. Christiansen
Abstract Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for avoiding Markov assumptions in the calculation of life insurance reserves. While life insurance reserves are some form of conditional first-order moments, the calculation of conditional second-order moments needs an extension of the forward transition rate concept from one dimension to two dimensions. Two-dimensional forward transition rates are also needed for the calculation of path-dependent life insurance cash-flows as they occur upon contract modifications. Forward transition rates are designed for doing prospective calculations, and by a time-symmetric definition of so-called backward transition rates one can do retrospective calculations.
{"title":"Two-dimensional forward and backward transition rates","authors":"Theis Bathke, Marcus C. Christiansen","doi":"10.1007/s13385-023-00363-3","DOIUrl":"https://doi.org/10.1007/s13385-023-00363-3","url":null,"abstract":"Abstract Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for avoiding Markov assumptions in the calculation of life insurance reserves. While life insurance reserves are some form of conditional first-order moments, the calculation of conditional second-order moments needs an extension of the forward transition rate concept from one dimension to two dimensions. Two-dimensional forward transition rates are also needed for the calculation of path-dependent life insurance cash-flows as they occur upon contract modifications. Forward transition rates are designed for doing prospective calculations, and by a time-symmetric definition of so-called backward transition rates one can do retrospective calculations.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135254751","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}
A retention strategy based on an enlightened lapse model is a powerful profitability lever for a life insurer. Some machine learning models are excellent at predicting lapse, but from the insurer’s perspective, predicting which policyholder is likely to lapse is not enough to design a retention strategy. In our paper, we define a lapse management framework with an appropriate validation metric based on Customer Lifetime Value and profitability. We include the risk of death in the study through competing risks considerations in parametric and tree-based models and show that further individualization of the existing approaches leads to increased performance. We show that survival tree-based models outperform parametric approaches and that the actuarial literature can significantly benefit from them. Then, we compare, on real data, how this framework leads to increased predicted gains for a life insurer and discuss the benefits of our model in terms of commercial and strategic decision-making.
{"title":"Including individual customer lifetime value and competing risks in tree-based lapse management strategies","authors":"Mathias Valla, Xavier Milhaud, Anani Ayodélé Olympio","doi":"10.1007/s13385-023-00358-0","DOIUrl":"https://doi.org/10.1007/s13385-023-00358-0","url":null,"abstract":"A retention strategy based on an enlightened lapse model is a powerful profitability lever for a life insurer. Some machine learning models are excellent at predicting lapse, but from the insurer’s perspective, predicting which policyholder is likely to lapse is not enough to design a retention strategy. In our paper, we define a lapse management framework with an appropriate validation metric based on Customer Lifetime Value and profitability. We include the risk of death in the study through competing risks considerations in parametric and tree-based models and show that further individualization of the existing approaches leads to increased performance. We show that survival tree-based models outperform parametric approaches and that the actuarial literature can significantly benefit from them. Then, we compare, on real data, how this framework leads to increased predicted gains for a life insurer and discuss the benefits of our model in terms of commercial and strategic decision-making.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135825003","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 : 2023-08-30DOI: 10.1007/s13385-023-00361-5
Jiajun Liu, T. Shushi
{"title":"Asymptotics of the loss-based tail risk measures in the presence of extreme risks","authors":"Jiajun Liu, T. Shushi","doi":"10.1007/s13385-023-00361-5","DOIUrl":"https://doi.org/10.1007/s13385-023-00361-5","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45169834","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 : 2023-08-21DOI: 10.1007/s13385-023-00359-z
Adrien Pothon
{"title":"Discussion on “Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues.” (Louloudis et al)","authors":"Adrien Pothon","doi":"10.1007/s13385-023-00359-z","DOIUrl":"https://doi.org/10.1007/s13385-023-00359-z","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46712619","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 : 2023-08-10DOI: 10.1007/s13385-023-00360-6
Léonie Le Bastard
{"title":"Coherent extrapolation of mortality rates at old ages applied to long term care","authors":"Léonie Le Bastard","doi":"10.1007/s13385-023-00360-6","DOIUrl":"https://doi.org/10.1007/s13385-023-00360-6","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46562128","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 : 2023-07-18DOI: 10.1007/s13385-023-00357-1
R. Ionescu, Tiziana Torri
{"title":"Discussion on “Selection effect modification to the Lee-Carter model” (J. C. Yue et al.)","authors":"R. Ionescu, Tiziana Torri","doi":"10.1007/s13385-023-00357-1","DOIUrl":"https://doi.org/10.1007/s13385-023-00357-1","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48140437","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 : 2023-06-23DOI: 10.1007/s13385-023-00354-4
Vanessa Hanna, P. Devolder
{"title":"Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates","authors":"Vanessa Hanna, P. Devolder","doi":"10.1007/s13385-023-00354-4","DOIUrl":"https://doi.org/10.1007/s13385-023-00354-4","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42860555","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 : 2023-06-06DOI: 10.1007/s13385-023-00351-7
Zezhun Chen, A. Dassios, G. Tzougas
{"title":"EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects","authors":"Zezhun Chen, A. Dassios, G. Tzougas","doi":"10.1007/s13385-023-00351-7","DOIUrl":"https://doi.org/10.1007/s13385-023-00351-7","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47981137","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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