Pub Date : 2024-08-15DOI: 10.1080/03461238.2024.2390087
Lin He, Zongxia Liang, Zhaojie Ren
In this paper, we study two schemes of pooled annuity funds: pools with and without fund managers. In the pool without managers, there are no artificial rules or management cost and we introduce Na...
{"title":"Optimal consumption and investment in pooled annuity funds with and without fund managers","authors":"Lin He, Zongxia Liang, Zhaojie Ren","doi":"10.1080/03461238.2024.2390087","DOIUrl":"https://doi.org/10.1080/03461238.2024.2390087","url":null,"abstract":"In this paper, we study two schemes of pooled annuity funds: pools with and without fund managers. In the pool without managers, there are no artificial rules or management cost and we introduce Na...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"71 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142212622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-13DOI: 10.1080/03461238.2024.2387037
Shu Li, Zijia Wang
In recent years, there has been a significant amount of work dedicated to the study of the generalized drawdown process with its extensive applications in insurance and finance. While existing stud...
近年来，有大量工作致力于研究广义提款过程，并将其广泛应用于保险和金融领域。虽然现有的研究...
{"title":"Last passage times for generalized drawdown processes with applications","authors":"Shu Li, Zijia Wang","doi":"10.1080/03461238.2024.2387037","DOIUrl":"https://doi.org/10.1080/03461238.2024.2387037","url":null,"abstract":"In recent years, there has been a significant amount of work dedicated to the study of the generalized drawdown process with its extensive applications in insurance and finance. While existing stud...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"278 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142212627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-30DOI: 10.1080/03461238.2024.2383864
Catherine Donnelly, Gaurav Khemka, William Lim
We investigate the impact of money illusion on the investment strategy and retirement outcomes of pre-retirees. Money illusion refers to the tendency of individuals to overlook the effects of infla...
{"title":"Money illusion in retirement savings with a minimum guarantee","authors":"Catherine Donnelly, Gaurav Khemka, William Lim","doi":"10.1080/03461238.2024.2383864","DOIUrl":"https://doi.org/10.1080/03461238.2024.2383864","url":null,"abstract":"We investigate the impact of money illusion on the investment strategy and retirement outcomes of pre-retirees. Money illusion refers to the tendency of individuals to overlook the effects of infla...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"22 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940682","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-25DOI: 10.1080/03461238.2024.2377962
Sergio Alvares Maffra, Teemu Pennanen
This paper presents a computationally tractable optimization model for cashflow-driven investment where the aim is to find asset portfolios whose future payouts cover given liability payments as we...
{"title":"Cashflow-driven investment beyond expectations","authors":"Sergio Alvares Maffra, Teemu Pennanen","doi":"10.1080/03461238.2024.2377962","DOIUrl":"https://doi.org/10.1080/03461238.2024.2377962","url":null,"abstract":"This paper presents a computationally tractable optimization model for cashflow-driven investment where the aim is to find asset portfolios whose future payouts cover given liability payments as we...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"69 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141776090","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-03DOI: 10.1080/03461238.2024.2365392
Benjamin Avanzi, Yanfeng Li, Bernard Wong, Alan Xian
Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects ...
{"title":"Ensemble distributional forecasting for insurance loss reserving","authors":"Benjamin Avanzi, Yanfeng Li, Bernard Wong, Alan Xian","doi":"10.1080/03461238.2024.2365392","DOIUrl":"https://doi.org/10.1080/03461238.2024.2365392","url":null,"abstract":"Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects ...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"59 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-19DOI: 10.1080/03461238.2024.2363183
Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regu...
{"title":"On technical bases and surplus in life insurance","authors":"Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald","doi":"10.1080/03461238.2024.2363183","DOIUrl":"https://doi.org/10.1080/03461238.2024.2363183","url":null,"abstract":"We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regu...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"9 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-18DOI: 10.1080/03461238.2024.2364730
Ruotian Ti, Ximin Rong, Cheng Tao, Hui Zhao
Mutual aid insurance is a collective type of insurance where the policyholders share the potential losses or risks that they may face. In this paper, we establish a mathematical structure for mutua...
{"title":"Mutual aid insurance with a three-state Markov chain","authors":"Ruotian Ti, Ximin Rong, Cheng Tao, Hui Zhao","doi":"10.1080/03461238.2024.2364730","DOIUrl":"https://doi.org/10.1080/03461238.2024.2364730","url":null,"abstract":"Mutual aid insurance is a collective type of insurance where the policyholders share the potential losses or risks that they may face. In this paper, we establish a mathematical structure for mutua...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"243 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141609386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-18DOI: 10.1080/03461238.2024.2364741
Mathias Lindholm, Ronald Richman, Andreas Tsanakas, Mario V. Wüthrich
Discrimination and fairness are major concerns in algorithmic models. This is particularly true in insurance, where protected policyholder attributes are not allowed to be used for insurance pricin...
{"title":"What is fair? Proxy discrimination vs. demographic disparities in insurance pricing","authors":"Mathias Lindholm, Ronald Richman, Andreas Tsanakas, Mario V. Wüthrich","doi":"10.1080/03461238.2024.2364741","DOIUrl":"https://doi.org/10.1080/03461238.2024.2364741","url":null,"abstract":"Discrimination and fairness are major concerns in algorithmic models. This is particularly true in insurance, where protected policyholder attributes are not allowed to be used for insurance pricin...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"2018 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-18DOI: 10.1080/03461238.2024.2365977
Kyran Cupido, Petar Jevtić, Luca Regis, Kenneth Q. Zhou
It is well known that coupling life and death benefits within an insurance portfolio may be a beneficial longevity risk reduction technique, especially when policies are underwritten in the same ge...
{"title":"Spatial natural hedging: a general framework with application to the mortality of U.S. states","authors":"Kyran Cupido, Petar Jevtić, Luca Regis, Kenneth Q. Zhou","doi":"10.1080/03461238.2024.2365977","DOIUrl":"https://doi.org/10.1080/03461238.2024.2365977","url":null,"abstract":"It is well known that coupling life and death benefits within an insurance portfolio may be a beneficial longevity risk reduction technique, especially when policies are underwritten in the same ge...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"10 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-10DOI: 10.1080/03461238.2024.2365390
Banghee So
The property and casualty (P&C) insurance industry faces challenges in developing claim predictive models due to the highly right-skewed distribution of positive claims with excess zeros. To addres...
{"title":"Enhanced gradient boosting for zero-inflated insurance claims and comparative analysis of CatBoost, XGBoost, and LightGBM","authors":"Banghee So","doi":"10.1080/03461238.2024.2365390","DOIUrl":"https://doi.org/10.1080/03461238.2024.2365390","url":null,"abstract":"The property and casualty (P&C) insurance industry faces challenges in developing claim predictive models due to the highly right-skewed distribution of positive claims with excess zeros. To addres...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"44 23 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141510695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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