European Actuarial Journal最新文献

Chronic obstructive pulmonary disease (COPD) is a leading cause of death worldwide, which is usually caused by exposure to noxious particles or gases. Hydrogen sulfide (H₂S), as an endogenous gasotransmitter, is involved in the pathogenesis of COPD, but its role in COPD is little known. To investigate the role of H₂S in COPD, a rat model of COPD was established by cigarette smoking (CS) and intratracheal instillation of lipopolysaccharide (LPS). Rats were randomly divided into 4 groups: control, CS + LPS, CS + LPS + sodium hydrosulfide (NaHS, H₂S donor), and CS + LPS + propargylglycine (PPG, inhibitor of cystathionine-γ-lyase, and CTH). Lung function in vivo, histology analysis of lung sections, malondialdehyde (MDA) concentration, CTH protein, total superoxide dismutase (T-SOD), and catalase (CAT) activity in lung tissues were assessed. Gene expression profiling of lung was assessed by microarray analysis. The results showed that rats in the CS + LPS group had lower body weight and lung function but higher lung pathological scores, MDA concentration, CTH protein, T-SOD, and CAT activity compared with the control. Compared with CS + LPS group, NaHS treatment decreased lung pathological scores and MDA concentration, while PPG treatment decreased body weight of rats and T-SOD activity, and no significant differences were detected in pathological scores by PPG treatment. Microarray analysis identified multiple differentially expressed genes, and some genes regulated by H₂S were involved in oxidative stress, apoptosis, and inflammation pathways. It indicates that H₂S may play a protective role in COPD via antioxidative stress and antiapoptosis pathway.

In insurance and even more in reinsurance it occurs that about a risk you only know that it has suffered no losses in the past, e.g. seven years. Some of these risks are furthermore such particular or novel that there are no similar risks to infer the loss frequency from. In this paper we propose a loss frequency estimator that copes with such situations, by just relying on the information coming from the risk itself: the “amended sample mean”. It is derived from a number of practice-oriented first principles and turns out to have desirable statistical properties. Some variants are possible, enabling insurers to align the method to their preferred business strategy, by trading off between low initial premiums for new business and moderate premium increases after a loss for renewal business. We further give examples where it is possible to assess the average loss from some market or portfolio information, such that overall one has an estimator of the risk premium.

In this short communication, we present a new, simple control-variate Monte Carlo procedure for enhancing the evaluation accuracy of alternative reinsurance strategies that an insurance company might adopt.

Participating longevity-linked life annuities (PLLA) in which benefits are updated periodically based on the observed survival experience of a given underlying population and the performance of the investment portfolio are an alternative insurance product offering consumers individual longevity risk protection and the chance to profit from the upside potential of financial market developments. This paper builds on previous research on the design and pricing of PLLAs by considering a Bayesian Model Ensemble of single population generalised age-period-cohort stochastic mortality models in which individual forecasts are weighted by their posterior model probabilities. For the valuation, we adopt a longevity option decomposition approach with risk-neutral simulation and investigate the sensitivity of results to changes in the asset allocation by considering a more aggressive lifecycle strategy. We calibrate models using Taiwanese (mortality, yield curve and stock market) data from 1980 to 2019. The empirical results provide significant valuation and policy insights for the provision of a cost effective and efficient risk pooling mechanism that addresses the individual uncertainty of death, while providing appropriate retirement income and longevity protection.

In a world threatened by climate warming and where Environmental, Social and Governance (ESG) issues are gaining increasing prominence, actuaries and other finance professionals need to adapt and support the transition to a more sustainable economy. This article examines how they can contribute to protect financial stability through forward-looking risk management, how they can help the insurance sector play an important role to support climate and environmental sustainability, and how climate protection gaps should be monitored and addressed.