Publisher: Cambridge University Press   (Total: 386 journals)

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Showing 1 - 200 of 386 Journals sorted alphabetically
Acta Neuropsychiatrica     Hybrid Journal   (Followers: 6, SJR: 0.733, CiteScore: 2)
Acta Numerica     Hybrid Journal   (Followers: 5, SJR: 6.709, CiteScore: 10)
Advances in Animal Biosciences     Full-text available via subscription   (Followers: 14)
Advances in Applied Mathematics and Mechanics     Full-text available via subscription   (Followers: 2, SJR: 0.441, CiteScore: 1)
Aeronautical J., The     Hybrid Journal   (Followers: 7)
Africa     Hybrid Journal   (Followers: 24, SJR: 0.582, CiteScore: 1)
African Studies Review     Full-text available via subscription   (Followers: 21, SJR: 0.437, CiteScore: 1)
Ageing & Society     Hybrid Journal   (Followers: 43, SJR: 0.756, CiteScore: 2)
Agricultural and Resource Economics Review     Open Access   (Followers: 7, SJR: 0.414, CiteScore: 1)
AI EDAM     Hybrid Journal   (Followers: 2, SJR: 0.375, CiteScore: 1)
AJIL Unbound     Open Access  
AJS Review     Full-text available via subscription   (Followers: 4, SJR: 0.128, CiteScore: 0)
American Political Science Review     Hybrid Journal   (Followers: 332, SJR: 5.587, CiteScore: 4)
Anatolian Studies     Full-text available via subscription   (Followers: 5, SJR: 0.528, CiteScore: 1)
Ancient Mesoamerica     Hybrid Journal   (Followers: 12, SJR: 0.478, CiteScore: 1)
Anglo-Saxon England     Hybrid Journal   (Followers: 36, SJR: 0.1, CiteScore: 0)
animal     Hybrid Journal   (Followers: 4, SJR: 0.842, CiteScore: 2)
Animal Health Research Reviews     Hybrid Journal   (Followers: 3, SJR: 0.69, CiteScore: 2)
Animal Science     Full-text available via subscription   (Followers: 10)
Annals of Actuarial Science     Full-text available via subscription   (Followers: 1)
Annual of the British School at Athens     Full-text available via subscription   (Followers: 16, SJR: 0.177, CiteScore: 0)
Annual Review of Applied Linguistics     Hybrid Journal   (Followers: 44, SJR: 3.223, CiteScore: 4)
Antarctic Science     Hybrid Journal   (Followers: 1, SJR: 0.643, CiteScore: 1)
Antichthon     Full-text available via subscription   (Followers: 3, SJR: 0.101, CiteScore: 0)
Antiquaries J., The     Full-text available via subscription   (Followers: 11, SJR: 0.106, CiteScore: 0)
Antiquity     Hybrid Journal   (Followers: 32)
ANZIAM J.     Open Access   (Followers: 1, SJR: 0.216, CiteScore: 0)
Applied Psycholinguistics     Hybrid Journal   (Followers: 25, SJR: 0.945, CiteScore: 2)
APSIPA Transactions on Signal and Information Processing     Open Access   (Followers: 9, SJR: 0.404, CiteScore: 2)
Arabic Sciences and Philosophy     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Arbor Clinical Nutrition Updates     Full-text available via subscription   (Followers: 5)
Archaeological Dialogues     Hybrid Journal   (Followers: 35, SJR: 0.898, CiteScore: 1)
Archaeological Reports     Full-text available via subscription   (Followers: 5, SJR: 0.128, CiteScore: 0)
Architectural History     Full-text available via subscription  
arq: Architectural Research Quarterly     Hybrid Journal   (Followers: 7, SJR: 0.123, CiteScore: 0)
Art Libraries J.     Full-text available via subscription   (Followers: 1)
Asian J. of Comparative Law     Hybrid Journal   (Followers: 11, SJR: 0.129, CiteScore: 0)
Asian J. of Intl. Law     Hybrid Journal   (Followers: 18, SJR: 0.135, CiteScore: 0)
Asian J. of Law and Society     Hybrid Journal   (Followers: 7, SJR: 0.195, CiteScore: 0)
Astin Bulletin     Full-text available via subscription   (Followers: 1, SJR: 0.878, CiteScore: 1)
Australasian J. of Organisational Psychology     Hybrid Journal   (Followers: 9, SJR: 0.154, CiteScore: 1)
Australian J. of Environmental Education     Full-text available via subscription   (Followers: 9, SJR: 0.403, CiteScore: 1)
Australian J. of Indigenous Education, The     Full-text available via subscription   (Followers: 11, SJR: 0.26, CiteScore: 1)
Australian J. of Rehabilitation Counseling     Full-text available via subscription   (Followers: 6, SJR: 0.144, CiteScore: 0)
Austrian History Yearbook     Full-text available via subscription   (Followers: 11, SJR: 0.161, CiteScore: 0)
Behavioral and Brain Sciences     Hybrid Journal   (Followers: 38, SJR: 0.595, CiteScore: 1)
Behaviour Change     Full-text available via subscription   (Followers: 13, SJR: 0.508, CiteScore: 1)
Behavioural and Cognitive Psychotherapy     Hybrid Journal   (Followers: 187, SJR: 0.976, CiteScore: 2)
Bilingualism: Language and Cognition     Hybrid Journal   (Followers: 44, SJR: 1.446, CiteScore: 2)
Biofilms     Full-text available via subscription   (Followers: 2)
Bird Conservation Intl.     Hybrid Journal   (Followers: 25, SJR: 0.581, CiteScore: 1)
BJPsych Advances     Full-text available via subscription   (Followers: 57, SJR: 0.275, CiteScore: 0)
BJPsych Intl.     Open Access   (Followers: 2)
BJPsych Open     Open Access   (Followers: 3)
Brain Impairment     Full-text available via subscription   (Followers: 2, SJR: 0.321, CiteScore: 1)
Breast Cancer Online     Full-text available via subscription   (Followers: 5)
Britannia     Full-text available via subscription   (Followers: 11, SJR: 0.111, CiteScore: 0)
British Actuarial J.     Full-text available via subscription  
British Catholic History     Hybrid Journal   (Followers: 2, SJR: 0.133, CiteScore: 1)
British J. for the History of Science     Hybrid Journal   (Followers: 25, SJR: 0.235, CiteScore: 0)
British J. of Anaesthetic and Recovery Nursing     Full-text available via subscription   (Followers: 8)
British J. of Music Education     Hybrid Journal   (Followers: 24, SJR: 0.564, CiteScore: 1)
British J. Of Nutrition     Hybrid Journal   (Followers: 94, SJR: 1.612, CiteScore: 4)
British J. of Political Science     Hybrid Journal   (Followers: 228, SJR: 4.661, CiteScore: 4)
British J. of Psychiatry     Hybrid Journal   (Followers: 238, SJR: 2.844, CiteScore: 3)
Bulletin of Entomological Research     Hybrid Journal   (Followers: 13, SJR: 0.805, CiteScore: 2)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2, SJR: 0.555, CiteScore: 1)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 2, SJR: 0.44, CiteScore: 0)
Bulletin of the School of Oriental and African Studies     Hybrid Journal   (Followers: 21, SJR: 0.146, CiteScore: 0)
Business and Human Rights J.     Full-text available via subscription   (Followers: 4, SJR: 0.536, CiteScore: 1)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 18, SJR: 1.098, CiteScore: 2)
Business History Review     Hybrid Journal   (Followers: 16, SJR: 0.347, CiteScore: 1)
Cambridge Archaeological J.     Hybrid Journal   (Followers: 160, SJR: 1.121, CiteScore: 1)
Cambridge Classical J.     Full-text available via subscription   (Followers: 24, SJR: 0.101, CiteScore: 0)
Cambridge J. of Postcolonial Literary Inquiry     Hybrid Journal   (Followers: 7)
Cambridge Law J.     Hybrid Journal   (Followers: 214, SJR: 0.213, CiteScore: 0)
Cambridge Opera J.     Hybrid Journal   (Followers: 4, SJR: 0.14, CiteScore: 0)
Cambridge Quarterly of Healthcare Ethics     Hybrid Journal   (Followers: 12, SJR: 0.299, CiteScore: 1)
Cambridge Yearbook of European Legal Studies     Full-text available via subscription  
Camden Fifth Series     Full-text available via subscription   (Followers: 3)
Canadian Entomologist     Hybrid Journal   (Followers: 5, SJR: 0.482, CiteScore: 1)
Canadian J. of Emergency Medicine     Hybrid Journal   (Followers: 13, SJR: 0.624, CiteScore: 1)
Canadian J. of Law & Jurisprudence     Full-text available via subscription   (Followers: 11, SJR: 0.237, CiteScore: 0)
Canadian J. of Law and Society     Hybrid Journal   (Followers: 21, SJR: 0.259, CiteScore: 1)
Canadian J. of Mathematics / J. canadien de mathématiques     Hybrid Journal  
Canadian J. of Neurological Sciences     Full-text available via subscription   (SJR: 0.549, CiteScore: 1)
Canadian J. of Political Science/Revue canadienne de science politique     Full-text available via subscription   (Followers: 25, SJR: 0.385, CiteScore: 1)
Canadian J. on Aging     Hybrid Journal   (Followers: 14, SJR: 0.426, CiteScore: 1)
Canadian Mathematical Bulletin     Hybrid Journal  
Canadian Yearbook of Intl. Law / Annuaire canadien de droit international     Full-text available via subscription   (Followers: 3)
Cardiology in the Young     Hybrid Journal   (Followers: 34, SJR: 0.372, CiteScore: 1)
Central European History     Full-text available via subscription   (Followers: 33, SJR: 0.159, CiteScore: 0)
Children Australia     Partially Free   (Followers: 2, SJR: 0.255, CiteScore: 0)
China Quarterly     Hybrid Journal   (Followers: 54, SJR: 2.289, CiteScore: 3)
Chinese J. of Agricultural Biotechnology     Full-text available via subscription   (Followers: 4)
Church History : Studies in Christianity and Culture     Full-text available via subscription   (Followers: 77, SJR: 0.106, CiteScore: 0)
Classical Quarterly     Full-text available via subscription   (Followers: 36, SJR: 0.204, CiteScore: 0)
Classical Review     Full-text available via subscription   (Followers: 29)
CNS Spectrums     Hybrid Journal   (Followers: 3, SJR: 1.391, CiteScore: 3)
Cognitive Behaviour Therapist     Hybrid Journal   (Followers: 14)
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4, SJR: 0.839, CiteScore: 1)
Communications in Computational Physics     Full-text available via subscription   (Followers: 3, SJR: 1.048, CiteScore: 2)
Comparative Studies in Society and History     Full-text available via subscription   (Followers: 50, SJR: 0.585, CiteScore: 1)
Compositio Mathematica     Full-text available via subscription   (SJR: 3.139, CiteScore: 1)
Contemporary European History     Hybrid Journal   (Followers: 35, SJR: 0.263, CiteScore: 1)
Continuity and Change     Hybrid Journal   (Followers: 12, SJR: 0.107, CiteScore: 0)
Dance Research J.     Full-text available via subscription   (Followers: 17, SJR: 0.211, CiteScore: 0)
Development and Psychopathology     Hybrid Journal   (Followers: 10, SJR: 2.068, CiteScore: 4)
Dialogue Canadian Philosophical Review/Revue canadienne de philosophie     Full-text available via subscription   (Followers: 5, SJR: 0.156, CiteScore: 0)
Diamond Light Source Proceedings     Full-text available via subscription   (Followers: 1)
Disaster Medicine and Public Health Preparedness     Hybrid Journal   (Followers: 15, SJR: 0.471, CiteScore: 1)
Du Bois Review: Social Science Research on Race     Full-text available via subscription   (Followers: 10, SJR: 0.561, CiteScore: 1)
Early China     Hybrid Journal   (Followers: 3)
Early Music History     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Earth and Environmental Science Transactions of the Royal Society of Edinburgh     Hybrid Journal   (Followers: 5)
East Asian J. on Applied Mathematics     Full-text available via subscription   (SJR: 0.418, CiteScore: 1)
Ecclesiastical Law J.     Full-text available via subscription   (Followers: 6, SJR: 0.114, CiteScore: 0)
Econometric Theory     Hybrid Journal   (Followers: 19, SJR: 2.915, CiteScore: 1)
Economics and Philosophy     Hybrid Journal   (Followers: 19, SJR: 0.622, CiteScore: 1)
Edinburgh J. of Botany     Hybrid Journal   (SJR: 0.283, CiteScore: 1)
Educational and Developmental Psychologist     Full-text available via subscription   (Followers: 10, SJR: 0.146, CiteScore: 0)
Eighteenth-Century Music     Hybrid Journal   (Followers: 15, SJR: 0.113, CiteScore: 0)
English Language and Linguistics     Hybrid Journal   (Followers: 24, SJR: 0.52, CiteScore: 1)
English Profile J.     Hybrid Journal   (Followers: 2)
English Today     Hybrid Journal   (Followers: 13, SJR: 0.279, CiteScore: 0)
Enterprise & Society : The Intl. J. of Business History     Hybrid Journal   (Followers: 18, SJR: 0.245, CiteScore: 1)
Environment and Development Economics     Hybrid Journal   (Followers: 39, SJR: 0.617, CiteScore: 1)
Environmental Conservation     Hybrid Journal   (Followers: 60, SJR: 1.028, CiteScore: 2)
Environmental Practice     Full-text available via subscription   (Followers: 3, SJR: 0.145, CiteScore: 0)
Epidemiology & Infection     Hybrid Journal   (Followers: 22, SJR: 1.128, CiteScore: 2)
Epidemiology and Psychiatric Sciences     Hybrid Journal   (Followers: 3, SJR: 1.494, CiteScore: 2)
Episteme     Hybrid Journal   (Followers: 12, SJR: 0.756, CiteScore: 1)
Ergodic Theory and Dynamical Systems     Hybrid Journal   (Followers: 2, SJR: 1.193, CiteScore: 1)
Ethics & Intl. Affairs     Full-text available via subscription   (Followers: 17, SJR: 0.557, CiteScore: 1)
European Constitutional Law Review (EuConst)     Full-text available via subscription   (Followers: 36, SJR: 1.009, CiteScore: 1)
European J. of Applied Mathematics     Hybrid Journal   (SJR: 0.52, CiteScore: 1)
European J. of Intl. Security     Hybrid Journal   (Followers: 1)
European J. of Sociology     Hybrid Journal   (Followers: 36, SJR: 0.643, CiteScore: 1)
European Political Science Review     Hybrid Journal   (Followers: 27, SJR: 1.816, CiteScore: 2)
European Review     Hybrid Journal   (Followers: 19, SJR: 0.131, CiteScore: 0)
Evolutionary Human Sciences     Open Access   (Followers: 1)
Experimental Agriculture     Hybrid Journal   (Followers: 14, SJR: 0.542, CiteScore: 1)
Expert Reviews in Molecular Medicine     Hybrid Journal   (Followers: 1, SJR: 1.647, CiteScore: 4)
Fetal and Maternal Medicine Review     Hybrid Journal   (Followers: 6)
Financial History Review     Full-text available via subscription   (Followers: 15, SJR: 0.238, CiteScore: 1)
Foreign Policy Bulletin     Hybrid Journal   (Followers: 6)
Forum of Mathematics, Pi     Open Access   (Followers: 1)
Forum of Mathematics, Sigma     Open Access   (Followers: 1)
Genetics Research     Hybrid Journal   (Followers: 4, SJR: 0.483, CiteScore: 1)
Geological Magazine     Hybrid Journal   (Followers: 16, SJR: 0.966, CiteScore: 2)
Glasgow Mathematical J.     Full-text available via subscription   (SJR: 0.604, CiteScore: 0)
Global Constitutionalism     Hybrid Journal   (Followers: 17)
Global Mental Health     Open Access   (Followers: 9)
Global Sustainability     Open Access   (Followers: 1)
Government and Opposition     Full-text available via subscription   (Followers: 24, SJR: 0.965, CiteScore: 2)
Greece & Rome     Partially Free   (Followers: 30, SJR: 0.113, CiteScore: 0)
Hague J. on the Rule of Law     Full-text available via subscription   (Followers: 15, SJR: 0.271, CiteScore: 1)
Harvard Theological Review     Full-text available via subscription   (Followers: 79, SJR: 0.165, CiteScore: 0)
Health Economics, Policy and Law     Hybrid Journal   (Followers: 29, SJR: 0.745, CiteScore: 1)
Hegel Bulletin     Full-text available via subscription   (Followers: 2)
High Power Laser Science and Engineering     Open Access   (Followers: 3, SJR: 0.901, CiteScore: 3)
Historical J.     Hybrid Journal   (Followers: 39, SJR: 0.247, CiteScore: 1)
History in Africa     Full-text available via subscription   (Followers: 9)
Horizons     Partially Free   (Followers: 1, SJR: 0.129, CiteScore: 0)
Industrial and Organizational Psychology     Hybrid Journal   (Followers: 27, SJR: 0.916, CiteScore: 1)
Infection Control and Hospital Epidemiology     Full-text available via subscription   (Followers: 49, SJR: 1.97, CiteScore: 3)
Intl. & Comparative Law Quarterly     Full-text available via subscription   (Followers: 261, SJR: 0.369, CiteScore: 1)
Intl. Annals of Criminology     Full-text available via subscription  
Intl. J. of Asian Studies     Hybrid Journal   (Followers: 13, SJR: 0.143, CiteScore: 0)
Intl. J. of Astrobiology     Hybrid Journal   (Followers: 4, SJR: 0.548, CiteScore: 1)
Intl. J. of Cultural Property     Full-text available via subscription   (Followers: 14, SJR: 0.253, CiteScore: 1)
Intl. J. of Disability Management Research     Full-text available via subscription   (Followers: 9, SJR: 0.105, CiteScore: 0)
Intl. J. of Law in Context     Hybrid Journal   (Followers: 17, SJR: 0.275, CiteScore: 1)
Intl. J. of Legal Information     Full-text available via subscription   (Followers: 342)
Intl. J. of Microwave and Wireless Technologies     Hybrid Journal   (Followers: 10, SJR: 0.184, CiteScore: 1)
Intl. J. of Middle East Studies     Hybrid Journal   (Followers: 72, SJR: 0.434, CiteScore: 0)
Intl. J. of Technology Assessment in Health Care     Hybrid Journal   (Followers: 14, SJR: 0.714, CiteScore: 1)
Intl. Labor and Working-Class History     Full-text available via subscription   (Followers: 14, SJR: 0.182, CiteScore: 0)
Intl. Organization     Full-text available via subscription   (Followers: 108, SJR: 8.527, CiteScore: 5)
Intl. Psychogeriatrics     Hybrid Journal   (Followers: 12, SJR: 1.048, CiteScore: 2)
Intl. Review of Social History     Full-text available via subscription   (Followers: 27, SJR: 0.315, CiteScore: 1)
Intl. Review of the Red Cross     Full-text available via subscription   (Followers: 12, SJR: 0.214, CiteScore: 0)
Intl. Theory: A J. of Intl. Politics, Law and Philosophy     Hybrid Journal   (Followers: 19, SJR: 2.293, CiteScore: 2)
Iraq     Full-text available via subscription   (Followers: 4)
Irish Historical Studies     Hybrid Journal   (Followers: 7, SJR: 0.103, CiteScore: 0)
Irish J. of Psychological Medicine     Hybrid Journal   (Followers: 2, SJR: 0.221, CiteScore: 0)
Israel Law Review     Hybrid Journal   (Followers: 2, SJR: 0.165, CiteScore: 0)
Italian Political Science Review / Rivista Italiana di Scienza Politica     Hybrid Journal   (Followers: 1)
Itinerario     Full-text available via subscription   (Followers: 11, SJR: 0.158, CiteScore: 0)
J. of African History     Hybrid Journal   (Followers: 22, SJR: 0.348, CiteScore: 1)
J. of African Law     Full-text available via subscription   (Followers: 3, SJR: 0.113, CiteScore: 0)
J. of Agricultural and Applied Economics     Open Access   (Followers: 3, SJR: 0.263, CiteScore: 1)
J. of Agricultural Science     Full-text available via subscription   (Followers: 8, SJR: 0.563, CiteScore: 1)
J. of American Studies     Hybrid Journal   (Followers: 20, SJR: 0.164, CiteScore: 0)
J. of Anglican Studies     Hybrid Journal   (Followers: 8, SJR: 0.101, CiteScore: 0)
J. of Applied Animal Nutrition     Hybrid Journal   (Followers: 4)
J. of Asian Studies     Full-text available via subscription   (Followers: 42, SJR: 0.591, CiteScore: 1)
J. of Benefit-Cost Analysis     Hybrid Journal   (Followers: 4)
J. of Biosocial Science     Hybrid Journal   (Followers: 5, SJR: 0.48, CiteScore: 1)
J. of British Studies     Full-text available via subscription   (Followers: 32, SJR: 0.246, CiteScore: 0)

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Similar Journals
Journal Cover
Annals of Actuarial Science
Number of Followers: 1  
 
  Full-text available via subscription Subscription journal
ISSN (Print) 1748-4995 - ISSN (Online) 1748-5002
Published by Cambridge University Press Homepage  [386 journals]
  • Alternative modelling and inference methods for claim size distributions
    • Authors: Mathias Raschke
      Pages: 1 - 19
      Abstract: The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the opportunities for the modelling of loss distributions are extended. The basic idea is the adjustment of a base distribution for their tails. The (generalised) Pareto distribution is used as base distribution for different reasons. The upper tail is in the focus and can be modelled well for special cases by a discrete mixture of the base distribution with a combination of the base distribution with an adapting distribution via the product of their survival functions. A kind of smoothed step is realised in this way in the original line function between logarithmic loss and logarithmic exceedance probability. The lower tail can also be adjusted. The new approaches offer the opportunity for stochastic interpretation and are applied to observed losses. For parameter estimation, a modification of the minimum Anderson Darling distance method is used. A new test is suggested to exclude that the observed upper tail is better modelled by a simple Pareto distribution. Q-Q plots are applied, and secondary results are also discussed.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000010
      Issue No: Vol. 14, No. 1 (2020)
       
  • A graphical model approach to simulating economic variables over long
           horizons
    • Authors: Jaideep S. Oberoi; Aniketh Pittea, Pradip Tapadar
      Pages: 20 - 41
      Abstract: We present an application of statistical graphical models to simulate economic variables for the purpose of risk calculations over long time horizons. We show that this approach is relatively easy to implement, and argue that it is appealing because of the transparent yet flexible means of achieving dimension reduction when many variables must be modelled. Using the United Kingdom data as an example, we demonstrate the development of an economic scenario generator that can be used by life insurance companies and pension funds.We compare different algorithms to select a graphical model, based on p-values, AIC, BIC and deviance. We find the economic scenario generator to yield reasonable results and relatively stable structures in our example, suggesting that it would be beneficial for actuaries to include graphical models in their toolkit.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000022
      Issue No: Vol. 14, No. 1 (2020)
       
  • Insurance ratemaking using the Exponential-Lognormal regression model
    • Authors: George Tzougas; Woo Hee Yik, Muhammad Waqar Mustaqeem
      Pages: 42 - 71
      Abstract: This paper is concerned with presenting the Exponential-Lognormal (ELN) regression model as a competitive alternative to the Pareto, or Exponential-Inverse Gamma, regression model that has been used in a wide range of areas, including insurance ratemaking. This is the first time that the ELN regression model is used in a statistical or actuarial context. The main contribution of the study is that we illustrate how maximum likelihood estimation of the ELN regression model, which does not have a density in closed form, can be accomplished relatively easily via an Expectation-Maximisation type algorithm. A real data application based on motor insurance data is examined in order to emphasise the versatility of the proposed algorithm. Finally, assuming that the number of claims is distributed according to the classic Negative Binomial and Poisson-Inverse Gaussian regression models, both the a priori and a posteriori, or Bonus–Malus, premium rates resulting from the ELN regression model are calculated via the net premium principle and compared to those determined by the Pareto regression model that has been traditionally used for modelling claim sizes.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000034
      Issue No: Vol. 14, No. 1 (2020)
       
  • Forecasting health expenses using a functional data model
    • Authors: Jens Piontkowski
      Pages: 72 - 82
      Abstract: Traditionally, actuaries make their predictions based on simple, robust methods. Stochastic models become increasingly popular because they can enrich the point estimates with error estimates or even provide the whole probability distribution. Here, we construct such a model for German inpatient health expenses per age using the functional data approach. This allows us to see in which age groups the expenses change the most and where predictions are most uncertain. Jumps in the derived model parameters indicate that 3 years might be outliers. In fact, they can be explained by changes in the reimbursement system and must be dealt with. As an application, we compute the probability distribution of the total health expenses in the upcoming years.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000046
      Issue No: Vol. 14, No. 1 (2020)
       
  • The effect of retirement taxation rules on the value of guaranteed
           lifetime withdrawal benefits
    • Authors: Eric R. Ulm
      Pages: 83 - 92
      Abstract: We examine the value of guaranteed lifetime withdrawal benefit (GLWB) options embedded in variable annuities in two different tax regimes. The New Zealand (NZ) system taxes investment income when it is earned, whereas the system in the United States defers taxes on annuity investment income until it is paid out. We examine the effects of these tax differences on the charges collected by the issuer as well as on the value of the contract to the policyholder. We find that the issuer’s charges are typically lower (higher) in the NZ tax regime when the expected fund earnings are low (high) or the fund volatility is high (low). On the other hand, the value to the policyholder is always lower in the NZ tax regime due to the earlier tax payments.We also find that the value of the GLWB in the NZ tax regime is nearly always below the value of an ordinary payout annuity with the same tax rules.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000058
      Issue No: Vol. 14, No. 1 (2020)
       
  • Estimation of conditional mean squared error of prediction for claims
           reserving
    • Authors: Mathias Lindholm; Filip Lindskog, Felix Wahl
      Pages: 93 - 128
      Abstract: This paper studies estimation of the conditional mean squared error of prediction, conditional on what is known at the time of prediction. The particular problem considered is the assessment of actuarial reserving methods given data in the form of run-off triangles (trapezoids), where the use of prediction assessment based on out-of-sample performance is not an option. The prediction assessment principle advocated here can be viewed as a generalisation of Akaike’s final prediction error. A direct application of this simple principle in the setting of a data-generating process given in terms of a sequence of general linear models yields an estimator of the conditional mean squared error of prediction that can be computed explicitly for a wide range of models within this model class. Mack’s distribution-free chain ladder model and the corresponding estimator of the prediction error for the ultimate claim amount are shown to be a special case. It is demonstrated that the prediction assessment principle easily applies to quite different data-generating processes and results in estimators that have been studied in the literature.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S174849951900006X
      Issue No: Vol. 14, No. 1 (2020)
       
  • The profiles of public and private patients in maternal healthcare: a
           longitudinal study to examine adverse selection
    • Authors: Jananie William; Bronwyn Loong, Catherine Chojenta, Deborah Loxton
      Pages: 129 - 137
      Abstract: In this article, we investigate differences in the profiles of patients within the Australian mixed public-private maternal health system to examine the extent of adverse selection. There are conflicting influences on adverse selection within the private health sector in Australia due to government regulations that incentivise lower risk segments of the population to purchase community-rated private health insurance. We use a two-phase modelling methodology that incorporates statistical learning and logistic regression on a dataset that links administrative and longitudinal survey data for a large cohort of women. We find that the key predictor of private patient status is having private health insurance, which itself is largely driven by sociodemographic factors rather than health-or pregnancy-related factors. Additionally, transitioning between the public-private systems for a subsequent pregnancy is uncommon; however, it is primarily driven by changes in private health insurance when it occurs. Other significant factors when transitioning to the private system for a second pregnancy are hypertension, increased access to specialists and stress related to previous motherhood experiences. Consequently, there is limited evidence of adverse selection in this market, with targeted financial incentives likely outweighing the impact of community rating even during childbearing years where private health service use increases.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000083
      Issue No: Vol. 14, No. 1 (2020)
       
  • Yet more on a stochastic economic model: Supplement to Part 4: A model for
           share earnings, dividends and prices
    • Authors: A. D. Wilkie; Şule Şahin
      Pages: 138 - 149
      Abstract: In this paper, we revisit the Earnings, Cover (the ratio of earnings over dividends) and Price/Earnings (P/E) Ratio models which we introduced in Part 4 of this series. Although we suggested that the significant decline in the Earnings Index over 2015-2016 might be followed by dividends and share prices, this has not happened. Instead, Earnings have risen substantially over the years 2016 to 2018. Therefore, we revise our models based on the updated data and compare the new set of models with the one in Part 4 as well as with themselves. We then compare different methods for forecasting Dividends and Share Prices.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000095
      Issue No: Vol. 14, No. 1 (2020)
       
  • Forecasting age distribution of death counts: an application to annuity
           pricing
    • Authors: Han Lin Shang; Steven Haberman
      Pages: 150 - 169
      Abstract: We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data analysis approach produces more accurate 1- to 20-step-ahead point and interval forecasts than Lee–Carter method, Hyndman–Ullah method and two naïve random walk methods. The improved forecast accuracy of period life-table death counts is of great interest to demographers for estimating survival probabilities and life expectancy, and to actuaries for determining temporary annuity prices for various ages and maturities. Although we focus on temporary annuity prices, we consider long-term contracts that make the annuity almost lifetime, in particular when the age at entry is sufficiently high.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000101
      Issue No: Vol. 14, No. 1 (2020)
       
  • Risk management with Tail Quasi-Linear Means
    • Authors: Nicole Bäuerle; Tomer Shushi
      Pages: 170 - 187
      Abstract: We generalise Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Conditional Tail Expectation and the Entropic Risk Measure in a unified way. We then investigate the fundamental properties of the proposed measure and show its unique features and implications in the risk measurement process. Furthermore, we derive formulas for truncated elliptical models of losses and provide formulas for selected members of such models.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000113
      Issue No: Vol. 14, No. 1 (2020)
       
  • Fair-value analytical valuation of reset executive stock options
           consistent with IFRS9 requirements
    • Authors: Otto Konstandatos
      Pages: 188 - 218
      Abstract: Executive stock options (ESOs) are widely used to reward employees and represent major items of corporate liability. The International Accounting Standards Board IFRS9 financial reporting standard which came into full effect on 1-Jan 2018, along with its Australian implementation AASB9, requires public corporations to report their fair-value cost in financial statements. Reset ESOs are typically issued to re-incentivise employees by allowing the option to be cancelled and re-issued with a lower exercise price or later maturity. We produce a novel analytical Reset ESO valuation consistent with the IFRS9 financial reporting standard incorporating the simultaneous resetting of vesting period, exercise window, reset level and maturity. We allow for voluntary and involuntary exercise. Our analytical result is expressed solely in terms of standardised European binary power option instruments. Using the multi-state mortality model of Hariyanto (2014, Mortality and disability modelling with an application to pricing a reverse mortgage contract, PhD thesis, University of Melbourne), we estimate longitudinal disability and death transition probabilities from cross-sectional data. We determine survival functions for pre-vesting forfeiture or post-vesting involuntary exercise for use with weighted portfolios of our formulae to illustrate the effect of survival on the fair value. We examine the IFRS9 method of valuation using expected time to option exercise and demonstrate a consistent overestimation of fair value of up to 27% for senior executives.
      PubDate: 2020-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000125
      Issue No: Vol. 14, No. 1 (2020)
       
 
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