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INSURANCE (26 journals)

Showing 1 - 27 of 27 Journals sorted alphabetically
Annals of Actuarial Science     Full-text available via subscription   (Followers: 2)
Asia-Pacific Journal of Risk and Insurance     Hybrid Journal   (Followers: 7)
Assurances et gestion des risques     Full-text available via subscription  
Astin Bulletin     Full-text available via subscription   (Followers: 1)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
Blätter der DGVFM     Hybrid Journal   (Followers: 2)
British Actuarial Journal     Full-text available via subscription   (Followers: 1)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Geneva Risk and Insurance Review     Hybrid Journal   (Followers: 7)
Health Affairs     Full-text available via subscription   (Followers: 80)
Insurance Markets and Companies     Open Access  
Insurance: Mathematics and Economics     Hybrid Journal   (Followers: 10)
International Journal of Business Continuity and Risk Management     Hybrid Journal   (Followers: 17)
International Journal of Forensic Engineering     Hybrid Journal   (Followers: 3)
International Journal of Forensic Engineering and Management     Hybrid Journal   (Followers: 3)
International Journal of Health Economics and Management     Hybrid Journal   (Followers: 13)
International Social Security Review     Hybrid Journal   (Followers: 8)
Journal for Labour Market Research     Open Access   (Followers: 10)
Journal of Derivatives & Hedge Funds     Hybrid Journal   (Followers: 9)
Journal of Risk and Insurance     Hybrid Journal   (Followers: 17)
Journal of Risk Finance     Hybrid Journal   (Followers: 6)
Risk Management     Hybrid Journal   (Followers: 15)
Risk Management & Insurance Review     Hybrid Journal   (Followers: 10)
Scandinavian Actuarial Journal     Hybrid Journal   (Followers: 2)
SourceOECD Finance & Investment/Insurance & Pensions     Full-text available via subscription   (Followers: 3)
The Geneva Reports     Free   (Followers: 2)
Zeitschrift für die gesamte Versicherungswissenschaft     Hybrid Journal   (Followers: 1)
Similar Journals
Journal Cover
Annals of Actuarial Science
Number of Followers: 2  
 
  Full-text available via subscription Subscription journal
ISSN (Print) 1748-4995 - ISSN (Online) 1748-5002
Published by Cambridge University Press Homepage  [395 journals]
  • Analytic expressions for annuities based on Makeham–Beard mortality
           laws
    • Authors: David C. Bowie
      Pages: 1 - 13
      Abstract: This note derives analytic expressions for annuities based on a class of parametric mortality “laws” (the so-called Makeham–Beard family) that includes a logistic form that models a decelerating increase in mortality rates at the higher ages. Such models have been shown to provide a better fit to pensioner and annuitant mortality data than those that include an exponential increase. The expressions derived for evaluating single life and joint life annuities for the Makeham–Beard family of mortality laws use the Gauss hypergeometric function and Appell function of the first kind, respectively.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000032
      Issue No: Vol. 15, No. 1 (2021)
       
  • Multivariate Hawkes process for cyber insurance
    • Authors: Yannick Bessy-Roland; Alexandre Boumezoued, Caroline Hillairet
      Pages: 14 - 39
      Abstract: In this paper, we propose a multivariate Hawkes framework for modelling and predicting cyber attacks frequency. The inference is based on a public data set containing features of data breaches targeting the US industry. As a main output of this paper, we demonstrate the ability of Hawkes models to capture self-excitation and interactions of data breaches depending on their type and targets. In this setting, we detail prediction results providing the full joint distribution of future cyber attacks times of occurrence. In addition, we show that a non-instantaneous excitation in the multivariate Hawkes model, which is not the classical framework of the exponential kernel, better fits with our data. In an insurance framework, this study allows to determine quantiles for number of attacks, useful for an internal model, as well as the frequency component for a data breach guarantee.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000093
      Issue No: Vol. 15, No. 1 (2021)
       
  • Healthy life expectancy in China: Modelling and implications for public
           and private insurance
    • Authors: Han Li; Katja Hanewald, Shang Wu
      Pages: 40 - 56
      Abstract: Already home to 23% of the global elderly population, China will experience further demographic change in the coming decades. To address the consequences of population ageing, the Chinese government is implementing major social insurance reforms and promotes the development of private insurance markets. We aim to inform these initiatives by developing a new method to project healthy life expectancy (HLE) in different regions. HLE is an important population health measure which is increasingly used in the actuarial literature. Our new approach relies on publicly available data from the Global Burden of Disease Study for life expectancy and HLE for 139 countries. We use the model to estimate HLE at birth in 2015 for 31 province-level regions in China for both males and females. We discuss the implications of our results for planned increases in the retirement age in China and for long-term care insurance pricing.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000135
      Issue No: Vol. 15, No. 1 (2021)
       
  • On the use of Archimedean copulas for insurance modelling
    • Authors: Thilini Dulanjali Kularatne; Jackie Li, David Pitt
      Pages: 57 - 81
      Abstract: In this paper, we explore the use of an extensive list of Archimedean copulas in general and life insurance modelling. We consider not only the usual choices like the Clayton, Gumbel–Hougaard, and Frank copulas but also several others which have not drawn much attention in previous applications. First, we apply different copula functions to two general insurance data sets, co-modelling losses and allocated loss adjustment expenses, and also losses to building and contents. Second, we adopt these copulas for modelling the mortality trends of two neighbouring countries and calculate the market price of a mortality bond. Our results clearly show that the diversity of Archimedean copula structures gives much flexibility for modelling different kinds of data sets and that the copula and tail dependence assumption can have a significant impact on pricing and valuation. Moreover, we conduct a large simulation exercise to investigate further the caveats in copula selection. Finally, we examine a number of other estimation methods which have not been tested in previous insurance applications.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000147
      Issue No: Vol. 15, No. 1 (2021)
       
  • Home and Motor insurance joined at a household level using multivariate
           credibility
    • Authors: Florian Pechon; Michel Denuit, Julien Trufin
      Pages: 82 - 114
      Abstract: Actuarial ratemaking is usually performed at product and guarantee level, meaning that each product and guarantee is considered in isolation. Moreover, independence between policyholders is generally assumed. In this paper, we propose a multivariate Poisson mixture, with random effects correlated using a hierarchical structure, to accommodate for the dependence that may exist between unobserved risk factors across Home and Motor insurance and between policyholders from the same household. The hierarchical structure accounts for the fact that Home insurance covers the whole household, whereas Motor insurance policies are subscribed by specific policyholders within the household. The model allows to periodically correct the a priori expected claim frequencies using the reported number of claims in any of the considered products. Applications show that the impact of the number of claims reported in Motor insurance on the number of claims expected in Home insurance is larger than the other way around. Moreover, an out-of-sample analysis validates an improved predictive power. Also, the model allows to identify more rapidly the riskiest households.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000160
      Issue No: Vol. 15, No. 1 (2021)
       
  • Valuation of no-negative-equity guarantees with a lower reflecting barrier
    • Authors: R. Guy Thomas
      Pages: 115 - 143
      Abstract: If the general level of house prices falls a long way, policymakers may introduce new policies which seek to support prices. This paper considers the effect of such interventions on the valuation of no-negative-equity guarantees (NNEG) in equity release mortgages. I model interventions by a reflecting barrier expressed as a fraction of the current level of house prices. Reflection at the barrier is instantaneous, so the no-arbitrage property is preserved, and hence risk-neutral valuation of NNEG is possible. The reflecting barrier can alternatively be justified as a representation of the different economic nature of the underlying housing (and particularly freehold land) assets in NNEG valuations, compared with the underlying equity assets in many other option valuations.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000172
      Issue No: Vol. 15, No. 1 (2021)
       
  • Fitting multi-population mortality models to socio-economic groups
    • Authors: Jie Wen; Andrew J.G. Cairns, Torsten Kleinow
      Pages: 144 - 172
      Abstract: We compare results for 12 multi-population mortality models fitted to 10 distinct socio-economic groups in England, subdivided using the Index of Multiple Deprivation. Using the Bayes Information Criterion to compare models, we find that a special case of the common age effect (CAE) model fits best in a variety of situations, achieving the best balance between goodness of fit and parsimony. We provide a detailed discussion of key models to highlight which features are important. Group-specific period effects are found to be more important than group-specific age effects, and non-parametric age effects deliver significantly better results than parametric (e.g. linear) age effects. We also find that the addition of cohort effects is beneficial in some cases but not all. The preferred CAE model has the additional benefit of being coherent in the sense of Hyndman et al. ((2013) Demography50(1), 261–283); some of the other models considered are not.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000184
      Issue No: Vol. 15, No. 1 (2021)
       
  • On unbalanced data and common shock models in stochastic loss reserving
    • Authors: Benjamin Avanzi; Greg Taylor, Phuong Anh Vu, Bernard Wong
      Pages: 173 - 203
      Abstract: Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In addition, it helps with the parsimonious construction of correlation matrices of large dimensions. However, complications arise in the presence of “unbalanced data”, that is, when (expected) magnitude of observations over a single triangle, or between triangles, can vary substantially. Specifically, if a single common shock is applied to all of these cells, it can contribute insignificantly to the larger values and/or swamp the smaller ones, unless careful adjustments are made. This problem is further complicated in applications involving negative claim amounts. In this paper, we address this problem in the loss reserving context using a common shock Tweedie approach for unbalanced data. We show that the solution not only provides a much better balance of the common shock proportions relative to the unbalanced data, but it is also parsimonious. Finally, the common shock Tweedie model also provides distributional tractability.
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000196
      Issue No: Vol. 15, No. 1 (2021)
       
  • Mortality Projections using Generalized Additive Models with applications
           to annuity values for the Irish population – CORRIGENDUM
    • Authors: M. Hall; N. Friel
      Pages: 204 - 204
      PubDate: 2021-03-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000019
      Issue No: Vol. 15, No. 1 (2021)
       
 
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