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Semi-markov modeling for cancer insurance 癌症保险的半马尔可夫模型
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-04-05 DOI: 10.1007/s13385-022-00308-2
Antoine Soetewey, C. Legrand, M. Denuit, G. Silversmit
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引用次数: 1
Discussion on “Premium rating without losses” (M. Fackler) 论“无损失的溢价”(M. Fackler)
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-03-31 DOI: 10.1007/s13385-022-00310-8
Ulrich Riegel
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引用次数: 0
Optimal multidimensional reinsurance policies under a common shock dependency structure 共同冲击依赖结构下的最优多维再保险策略
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-03-22 DOI: 10.1007/s13385-022-00306-4
M. Azarbad, G. Parham, S. M. Alavi
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引用次数: 0
On the impact of outliers in loss reserving 论异常值对损失准备金的影响
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-03-01 DOI: 10.1007/s13385-023-00356-2
Benjamin Avanzi, Mark Lavender, G. Taylor, Bernard Wong
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引用次数: 2
Derivation of biometrically dependent cash flows 生物计量依赖现金流的推导
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-02-18 DOI: 10.1007/s13385-021-00303-z
M. Schmitt
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引用次数: 0
Premium rating without losses 无损失保费
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-01-24 DOI: 10.1007/s13385-021-00302-0
Michael Fackler

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.

在保险行业，尤其是再保险行业，你只知道一种风险在过去的七年里没有遭受损失。此外，其中一些风险是如此特殊或新颖，以至于没有类似的风险来推断损失频率。在本文中，我们提出了一种损失频率估计器来处理这种情况，它只依赖于来自风险本身的信息:“修正样本均值”。它来源于许多面向实践的第一原则，并被证明具有理想的统计特性。有些变体是可能的，通过在新业务的低初始保费和续订业务损失后的适度保费增长之间进行权衡，使保险公司能够使方法与他们首选的业务策略保持一致。我们进一步给出了一些例子，在这些例子中，可以从一些市场或投资组合信息中评估平均损失，这样总体上就有了风险溢价的估计值。
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引用次数: 1
Efficient evaluation of alternative reinsurance strategies using control variates 利用控制变量对可选再保险策略进行有效评估
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-01-20 DOI: 10.1007/s13385-022-00304-6
Ioannis Kyriakou, Andreas Tsanakas

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.

在这篇简短的文章中，我们提出了一种新的、简单的控制变量蒙特卡罗程序，用于提高保险公司可能采用的替代再保险策略的评估准确性。
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引用次数: 0
Extremes for a general contagion risk measure 一般传染风险度量的极值
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-01-10 DOI: 10.1007/s13385-021-00301-1
C. Ling, Jiajun Liu
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引用次数: 0
Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach. 定价参与寿命挂钩人寿年金:贝叶斯模型集成方法。
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-01-01 Epub Date: 2021-05-13 DOI: 10.1007/s13385-021-00279-w
Jorge Miguel Bravo

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.

参与式长寿相连人寿年金(PLLA)是一种另类保险产品，根据观察到的特定潜在人群的生存经验和投资组合的表现定期更新收益，为消费者提供个人长寿风险保障，并有机会从金融市场发展的上升潜力中获利。本文在前人对plas的设计和定价研究的基础上，考虑了单个人口广义年龄-时期-队列随机死亡率模型的贝叶斯模型集合，其中个体预测由其后验模型概率加权。对于估值，我们采用风险中性模拟的长寿期权分解方法，并通过考虑更积极的生命周期策略来研究结果对资产配置变化的敏感性。我们使用台湾1980年至2019年的数据(死亡率、收益率曲线和股票市场)校准模型。实证结果为提供具有成本效益和高效率的风险分担机制提供了重要的评估和政策见解，该机制可以解决个人死亡的不确定性，同时提供适当的退休收入和长寿保护。
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引用次数: 18
The only constant is change: opportunities and challenges for actuaries in a changing world. 唯一不变的是变化:在不断变化的世界中，精算师面临的机遇和挑战。
IF 1.2 Q2 Mathematics
European Actuarial Journal
Pub Date : 2022-01-01 Epub Date: 2022-10-10 DOI: 10.1007/s13385-022-00331-3
Frank Schiller, Jérôme Crugnola-Humbert

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.

在一个受到气候变暖威胁的世界，环境、社会和治理(ESG)问题日益突出，精算师和其他金融专业人士需要适应并支持向更可持续的经济转型。本文探讨了它们如何通过前瞻性风险管理为保护金融稳定做出贡献，它们如何帮助保险业在支持气候和环境可持续性方面发挥重要作用，以及如何监测和解决气候保护缺口。
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引用次数: 1
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