Pub Date : 2024-03-18DOI: 10.1080/10920277.2023.2291524
Carlos Andrés Araiza Iturria, Mary Hardy, Paul Marriott
We examine the discrimination-free premium in Lindholm et al. within a theoretical causal inference framework, and we consider its societal context to assess when the pricing formula should be used...
{"title":"A Discrimination-Free Premium under a Causal Framework","authors":"Carlos Andrés Araiza Iturria, Mary Hardy, Paul Marriott","doi":"10.1080/10920277.2023.2291524","DOIUrl":"https://doi.org/10.1080/10920277.2023.2291524","url":null,"abstract":"We examine the discrimination-free premium in Lindholm et al. within a theoretical causal inference framework, and we consider its societal context to assess when the pricing formula should be used...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140169807","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 : 2024-03-06DOI: 10.1080/10920277.2023.2279782
Justine Power, Marie-Pier Côté, Thierry Duchesne
Predicting future claims is an important task for actuaries, and sophisticating the claim modeling process allows insurers to be more competitive and to stay financially sound. We propose a hierarc...
{"title":"A Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas","authors":"Justine Power, Marie-Pier Côté, Thierry Duchesne","doi":"10.1080/10920277.2023.2279782","DOIUrl":"https://doi.org/10.1080/10920277.2023.2279782","url":null,"abstract":"Predicting future claims is an important task for actuaries, and sophisticating the claim modeling process allows insurers to be more competitive and to stay financially sound. We propose a hierarc...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140074356","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 : 2024-02-06DOI: 10.1080/10920277.2023.2285976
Daoping Yu, Vytaras Brazauskas, Ričardas Zitikis
To accommodate numerous practical scenarios, in this article we extend statistical inference for smoothed quantile estimators from finite domains to infinite domains. We accomplish the task with th...
为了适应众多实际应用场景，本文将平滑量化估计器的统计推断从有限域扩展到无限域。我们通过...
{"title":"Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses","authors":"Daoping Yu, Vytaras Brazauskas, Ričardas Zitikis","doi":"10.1080/10920277.2023.2285976","DOIUrl":"https://doi.org/10.1080/10920277.2023.2285976","url":null,"abstract":"To accommodate numerous practical scenarios, in this article we extend statistical inference for smoothed quantile estimators from finite domains to infinite domains. We accomplish the task with th...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139752163","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 : 2024-02-02DOI: 10.1080/10920277.2023.2285977
Qiao Jiang, Tianxiang Shi
This study develops a hidden Markov model (HMM)-based clustering framework to predict auto insurance losses using driving characteristics extracted from telematics data. Through a simulation experi...
{"title":"Auto Insurance Pricing Using Telematics Data: Application of a Hidden Markov Model","authors":"Qiao Jiang, Tianxiang Shi","doi":"10.1080/10920277.2023.2285977","DOIUrl":"https://doi.org/10.1080/10920277.2023.2285977","url":null,"abstract":"This study develops a hidden Markov model (HMM)-based clustering framework to predict auto insurance losses using driving characteristics extracted from telematics data. Through a simulation experi...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139751734","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 : 2024-01-30DOI: 10.1080/10920277.2023.2259445
Le Chang, Guangyuan Gao, Yanlin Shi
In the actuarial literature, many existing stochastic claims-reserving methods ignore the excessive effects of outliers. In practice, however, these outlying observations may occur in the upper tri...
{"title":"Claims Reserving with a Robust Generalized Additive Model","authors":"Le Chang, Guangyuan Gao, Yanlin Shi","doi":"10.1080/10920277.2023.2259445","DOIUrl":"https://doi.org/10.1080/10920277.2023.2259445","url":null,"abstract":"In the actuarial literature, many existing stochastic claims-reserving methods ignore the excessive effects of outliers. In practice, however, these outlying observations may occur in the upper tri...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139752024","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 : 2023-12-18DOI: 10.1080/10920277.2023.2256818
Shimeng Huang, Ken Seng Tan, Jinggong Zhang, Wenjun Zhu
The COVID-19 pandemic has had a with severe human toll and catastrophic economic losses and has also heightened the need for more effective solutions for managing epidemic-related risks. This artic...
{"title":"Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps","authors":"Shimeng Huang, Ken Seng Tan, Jinggong Zhang, Wenjun Zhu","doi":"10.1080/10920277.2023.2256818","DOIUrl":"https://doi.org/10.1080/10920277.2023.2256818","url":null,"abstract":"The COVID-19 pandemic has had a with severe human toll and catastrophic economic losses and has also heightened the need for more effective solutions for managing epidemic-related risks. This artic...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139029339","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 : 2023-12-18DOI: 10.1080/10920277.2023.2254836
David Baños, Å. H. Sande, Carlo Sgarra
The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several proce...
{"title":"Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration","authors":"David Baños, Å. H. Sande, Carlo Sgarra","doi":"10.1080/10920277.2023.2254836","DOIUrl":"https://doi.org/10.1080/10920277.2023.2254836","url":null,"abstract":"The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several proce...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823482","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 : 2023-12-18DOI: 10.1080/10920277.2023.2281471
Andrew Stocking, Ian Duncan, Nhan Huynh
Diagnosis coding in administrative data is often incomplete and introduces inaccurate assessments of patients’ health outcomes. The underdiagnosis of chronic conditions reduces the ability to corre...
{"title":"Estimating Underdiagnosis of Patients in Chronically Ill Populations","authors":"Andrew Stocking, Ian Duncan, Nhan Huynh","doi":"10.1080/10920277.2023.2281471","DOIUrl":"https://doi.org/10.1080/10920277.2023.2281471","url":null,"abstract":"Diagnosis coding in administrative data is often incomplete and introduces inaccurate assessments of patients’ health outcomes. The underdiagnosis of chronic conditions reduces the ability to corre...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138717557","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 : 2023-10-19DOI: 10.1080/10920277.2023.2249524
Yuanying Guan, Zhanyi Jiao, Ruodu Wang
AbstractThe celebrated Expected Shortfall (ES, also known as tail Value at Risk or conditional Value at Risk) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function. We establish a reverse ES optimization formula that says that a mean excess function at any fixed threshold is the maximum of an ES curve minus a linear function. Despite being a simple result, this formula reveals elegant symmetries between the mean excess function and the ES curve, as well as their optimizers. The reverse ES optimization formula is closely related to the Fenchel-Legendre transforms, and our formulas are generalized from ES to optimized certainty equivalents, a popular class of convex risk measures. We analyze worst-case values of the mean excess function under two popular settings of model uncertainty to illustrate the usefulness of the reverse ES optimization formula, and this is further demonstrated with an application using insurance datasets. Disclosure statementNo potential conflict of interest was reported by the author(s).Additional informationFundingRuodu Wang acknowledges financial support from the Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590).
{"title":"A Reverse ES (CVaR) Optimization Formula","authors":"Yuanying Guan, Zhanyi Jiao, Ruodu Wang","doi":"10.1080/10920277.2023.2249524","DOIUrl":"https://doi.org/10.1080/10920277.2023.2249524","url":null,"abstract":"AbstractThe celebrated Expected Shortfall (ES, also known as tail Value at Risk or conditional Value at Risk) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function. We establish a reverse ES optimization formula that says that a mean excess function at any fixed threshold is the maximum of an ES curve minus a linear function. Despite being a simple result, this formula reveals elegant symmetries between the mean excess function and the ES curve, as well as their optimizers. The reverse ES optimization formula is closely related to the Fenchel-Legendre transforms, and our formulas are generalized from ES to optimized certainty equivalents, a popular class of convex risk measures. We analyze worst-case values of the mean excess function under two popular settings of model uncertainty to illustrate the usefulness of the reverse ES optimization formula, and this is further demonstrated with an application using insurance datasets. Disclosure statementNo potential conflict of interest was reported by the author(s).Additional informationFundingRuodu Wang acknowledges financial support from the Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590).","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135729093","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 : 2023-10-13DOI: 10.1080/10920277.2023.2236669
Chong-Rui Zhu
AbstractThis article investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Lévy processes. We consider an insurance company whose surplus process evolves according to a spectrally negative Lévy process with a Gaussian part and a finite Lévy measure. Its objective function relates to dividend payments until ruin and a creeping-associated terminal value at ruin. The positive creeping-associated terminal value represents the salvage value or the creeping reward when creeping happens. Owing to formulas from fluctuation theory, the objective considered is represented explicitly. Under certain restrictions on the terminal value and the surplus process, we show that the threshold strategy should be the optimal one over an admissible class with bounded dividend rates. ACKNOWLEDGMENTI am truly grateful to the two anonymous referees for giving their valuable guiding comments on this work.Disclosure StatementNo potential conflict of interest was reported by the author.
{"title":"Optimality of Threshold Strategies for Spectrally Negative Lévy Processes and a Positive Terminal Value at Creeping Ruin","authors":"Chong-Rui Zhu","doi":"10.1080/10920277.2023.2236669","DOIUrl":"https://doi.org/10.1080/10920277.2023.2236669","url":null,"abstract":"AbstractThis article investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Lévy processes. We consider an insurance company whose surplus process evolves according to a spectrally negative Lévy process with a Gaussian part and a finite Lévy measure. Its objective function relates to dividend payments until ruin and a creeping-associated terminal value at ruin. The positive creeping-associated terminal value represents the salvage value or the creeping reward when creeping happens. Owing to formulas from fluctuation theory, the objective considered is represented explicitly. Under certain restrictions on the terminal value and the surplus process, we show that the threshold strategy should be the optimal one over an admissible class with bounded dividend rates. ACKNOWLEDGMENTI am truly grateful to the two anonymous referees for giving their valuable guiding comments on this work.Disclosure StatementNo potential conflict of interest was reported by the author.","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135853142","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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