This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform...

An optimal Bonus-Malus System (BMS) based on both the number of accidents and the severity of each accident was developed by Frangos and Vrontos (2001). In this paper we extend the work of Frangos and Vrontos (2001), Lemaire (1995) and Dionne and Vannasse (1989, 1992) using finite mixture...

The goal of this paper is to review and comment on certain aspects of the Pension Insurance Modeling System (PIMS) and certain actuarial assumptions used by PIMS. The apparent stability of the deficit and funding ratio of the PBGC are partially dependent on a continued stream of premium payments...

The behavioural response with respect to actuarial adjustments in the German public pension system is analysed. The introduction of actuarial adjustments serves as a source of exogenous variation to estimate discrete time transition rates into retirement. The analysis is conducted on...

A pension plan's actuarial interest rate assumption is frequently an important consideration in defining investment strategies and asset mixes. That the actuarial rate has absolutely no financial meaning or investment significance does not appear to be widely appreciated in the investment...

Neural network modeling often suffers the deficiency of not using a systematic way of improving classical statistical regression models. In this tutorial we exemplify the proposal of the editorial of ASTIN Bulletin 2019/1. We embed a classical generalized linear model into a neural network...

To manage market and longevity risk, Dr. Pfau shows how the use of life insurance and income annuities, as fixed income assets in a portfolio, can better hedge a retiree’s retirement-income needs as a portfolio volatility reduction tool

This tutorial gives an overview of SHAP (SHapley Additive exPlanation), one of the most commonly used techniques for examining a black-box machine learning (ML) model. Besides providing the necessary game theoretic background, we show how typical SHAP analyses are performed and used to gain...

Modelling claim frequency and claim severity are topics of great interest in property-casualty insurance for supporting underwriting, ratemaking, and reserving actuarial decisions. Standard Generalized Linear Models (GLM) frequency-severity models assume a linear relationship between a function...