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Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

Persistent link: https://www.econbiz.de/10011643397

Statistical estimation for some dividend problems under the compound poisson risk model

Xie, Jiayi; Zhang, Zhimin - In: Insurance / Mathematics & economics 95 (2020), pp. 101-115

Persistent link: https://www.econbiz.de/10012419256

Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products

Deelstra, Griselda; Devolder, Pierre; Roelants du … - 2024

Persistent link: https://www.econbiz.de/10015154564

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...

Persistent link: https://www.econbiz.de/10012293140

Testing constant serial dynamics in two-step risk inference for longitudinal actuarial data

Fung, Tsz Chai; Li, Yinhuan; Peng, Liang; Qian, Linyi - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 861-881

Persistent link: https://www.econbiz.de/10015189603

Diagnostic tests before modeling longitudinal actuarial data

Li, Yinhuan; Fung, Tsz Chai; Peng, Liang; Qian, Linyi - In: Insurance / Mathematics & economics 113 (2023), pp. 310-325

Persistent link: https://www.econbiz.de/10014466218

Decomposing dynamic risks into risk components

Schilling, Katja; Bauer, Daniel - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5738-5756

Persistent link: https://www.econbiz.de/10012391415

Life insurance and demographic change : an empirical analysis of surrender decisions based on panel data

Gemmo, Irina; Götz, Martin - 2016 - This version: December 2016

Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as … household specific sociodemographic factors influence the surrender behavior of life insurance policyholders. Based on the Socio … construct a proxy to identify life insurance surrender in the data. We use this proxy to conduct fixed effect regressions and …

Persistent link: https://www.econbiz.de/10011585847

Estimation of stop loss premium in life insurance

Everaert, W. - 1977

Persistent link: https://www.econbiz.de/10001500553

Robust Retirement and Life Insurance with Inflation Risk and Model Ambiguity

Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin - 2022

Gstopping time theory, we derive the novel robust strategies using integral equation representations. We numerically and …

Persistent link: https://www.econbiz.de/10013294805