11 results
DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS
- Hengxin Cui, Ken Seng Tan, Fan Yang
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 51 / Issue 3 / September 2021
- Published online by Cambridge University Press:
- 02 July 2021, pp. 753-778
- Print publication:
- September 2021
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Catastrophe insurance markets fail to provide sufficient protections against natural catastrophes, whereas they have the capacity to absorb the losses. In this paper, we assume the catastrophic risks are dependent and extremely heavy-tailed, and insurers have limited liability to cover losses up to a certain amount. We provide a comprehensive study to show that the diversification in the catastrophe insurance markets can be transited from suboptimal to preferred by increasing the number of insurers in the market. This highlights the importance of coordination among insurers and the government intervention in encouraging insurers to participate in the catastrophe insurance market to exploit risk sharing. Simulation studies are provided to illuminate the key findings of our results.
OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK
- Yichun Chi, Ken Seng Tan
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 51 / Issue 2 / May 2021
- Published online by Cambridge University Press:
- 29 March 2021, pp. 661-688
- Print publication:
- May 2021
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In this paper, the optimal insurance design is studied from the perspective of an insured, who faces an insurable risk and a background risk. For the reduction of ex post moral hazard, alternative insurance contracts are asked to satisfy the principle of indemnity and the incentive-compatible condition. As in the literature, it is assumed that the insurer calculates the insurance premium solely on the basis of the expected indemnity. When the insured has a general mean-variance preference, an explicit form of optimal insurance is derived explicitly. It is found that the stochastic dependence between the background risk and the insurable risk plays a critical role in the insured’s risk transfer decision. In addition, the optimal insurance policy can often change significantly once the incentive-compatible constraint is removed.
INDEX INSURANCE DESIGN
- Jinggong Zhang, Ken Seng Tan, Chengguo Weng
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 49 / Issue 2 / May 2019
- Published online by Cambridge University Press:
- 27 March 2019, pp. 491-523
- Print publication:
- May 2019
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In this article, we study the problem of optimal index insurance design under an expected utility maximization framework. For general utility functions, we formally prove the existence and uniqueness of optimal contract and develop an effective numerical procedure to derive the optimal solution. For exponential utility and quadratic utility functions, we obtain analytical expression of the optimal indemnity function. Our results show that the indemnity can be a highly nonlinear and even non-monotonic function of the index variable in order to align with the actual loss variable so as to achieve the best reduction in basis risk. Due to the generality of model setup, our proposed method is readily applicable to a variety of insurance applications including index-linked mortality securities, weather index agriculture insurance, and index-based catastrophe insurance. Our method is illustrated by numerical examples where weather index insurance is designed for protection against the adverse rice yield using temperature and precipitation as the underlying indices. Numerical results show that our optimal index insurance significantly outperforms linear-type index insurance contracts in terms of basis risk reduction.
SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH
- Wenjun Zhu, Ken Seng Tan, Lysa Porth, Chou-Wen Wang
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 48 / Issue 2 / May 2018
- Published online by Cambridge University Press:
- 26 April 2018, pp. 779-815
- Print publication:
- May 2018
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Adverse weather-related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Lévy subordinated hierarchical Archimedean copula model in modelling the spatial dependence of weather risk to reduce basis risk. The analysis shows that the Lévy subordinated hierarchical Archimedean copula model can improve the hedging performance through more accurate modelling of the dependence structure of weather risks and is more efficient in hedging extreme downside weather risk, compared to the benchmark copula models. Further, the results reveal that more effective hedging may be achieved as the spatial aggregation level increases. This research demonstrates that hedging weather risk is an important risk management method, and the approach outlined in this paper may be useful to insurers and reinsurers in the case of agriculture, as well as for other related risks in the property and casualty sector.
PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Tim J. Boonen, Ken Seng Tan, Sheng Chao Zhuang
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 2 / May 2016
- Published online by Cambridge University Press:
- 08 April 2016, pp. 507-530
- Print publication:
- May 2016
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Optimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore, the key objective of this paper is to analyze the price of reinsurance contracts. We use a novel way to model the bargaining powers of the insurer and reinsurer, which allows us to generalize the contracts according to the Nash bargaining solution, indifference pricing and the equilibrium contracts. We illustrate these pricing functions by means of inverse-S shaped distortion functions for the insurer and the Value-at-Risk for the reinsurer.
THE DESIGN OF AN OPTIMAL RETROSPECTIVE RATING PLAN
- Xinxiang Chen, Yichun Chi, Ken Seng Tan
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 1 / January 2016
- Published online by Cambridge University Press:
- 12 October 2015, pp. 141-163
- Print publication:
- January 2016
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A retrospective rating plan, whose insurance premium depends upon an insured's actual loss during the policy period, is a special insurance agreement widely used in liability insurance. In this paper, the design of an optimal retrospective rating plan is analyzed from the perspective of the insured who seeks to minimize its risk exposure in the sense of convex order. In order to reduce the moral hazard, we assume that both the insured and the insurer are obligated to pay more for a larger realization of the loss. Under the further assumptions that the minimum premium is zero, the maximum premium is proportional to the expected indemnity, and the basic premium is the only free parameter in the formula for retrospective premium given by Meyers (2004) and that the basic premium is determined in such a way that the expected retrospective premium equates to the expected indemnity with a positive safety loading, we formally establish the relationship that the insured will suffer more risk for a larger loss conversion factor or a higher maximum premium. These findings suggest that the insured prefers an insurance policy with the expected value premium principle, which is a special retrospective premium principle with zero loss conversion factor. In addition, we show that any admissible retrospective rating plan is dominated by a stop-loss insurance policy. Finally, the optimal retention of a stop-loss insurance is derived numerically under the criterion of minimizing the risk-adjusted value of the insured's liability where the liability valuation is carried out using the cost-of-capital approach based on the conditional value at risk.
VAR-BASED OPTIMAL PARTIAL HEDGING
- Jianfa Cong, Ken Seng Tan, Chengguo Weng
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 43 / Issue 3 / September 2013
- Published online by Cambridge University Press:
- 29 July 2013, pp. 271-299
- Print publication:
- September 2013
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Hedging is one of the most important topics in finance. When a financial market is complete, every contingent claim can be hedged perfectly to eliminate any potential future obligations. When the financial market is incomplete, the investor may eliminate his risk exposure by superhedging. In practice, both hedging strategies are not satisfactory due to their high implementation costs, which erode the chance of making any profit. A more practical and desirable strategy is to resort to the partial hedging, which hedges the future obligation only partially. The quantile hedging of Föllmer and Leukert (Finance and Stochastics, vol. 3, 1999, pp. 251–273), which maximizes the probability of a successful hedge for a given budget constraint, is an example of the partial hedging. Inspired by the principle underlying the partial hedging, this paper proposes a general partial hedging model by minimizing any desirable risk measure of the total risk exposure of an investor. By confining to the value-at-risk (VaR) measure, analytic optimal partial hedging strategies are derived. The optimal partial hedging strategy is either a knock-out call strategy or a bull call spread strategy, depending on the admissible classes of hedging strategies. Our proposed VaR-based partial hedging model has the advantage of its simplicity and robustness. The optimal hedging strategy is easy to determine. Furthermore, the structure of the optimal hedging strategy is independent of the assumed market model. This is in contrast to the quantile hedging, which is sensitive to the assumed model as well as the parameter values. Extensive numerical examples are provided to compare and contrast our proposed partial hedging to the quantile hedging.
Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
- Yichun Chi, Ken Seng Tan
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 41 / Issue 2 / November 2011
- Published online by Cambridge University Press:
- 09 August 2013, pp. 487-509
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- November 2011
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In this paper, we study two classes of optimal reinsurance models by minimizing the total risk exposure of an insurer under the criteria of value at risk (VaR) and conditional value at risk (CVaR). We assume that the reinsurance premium is calculated according to the expected value principle. Explicit solutions for the optimal reinsurance policies are derived over ceded loss functions with increasing degrees of generality. More precisely, we establish formally that under the VaR minimization model, (i) the stop-loss reinsurance is optimal among the class of increasing convex ceded loss functions; (ii) when the constraints on both ceded and retained loss functions are relaxed to increasing functions, the stop-loss reinsurance with an upper limit is shown to be optimal; (iii) and finally under the set of general increasing and left-continuous retained loss functions, the truncated stop-loss reinsurance is shown to be optimal. In contrast, under CVaR risk measure, the stop-loss reinsurance is shown to be always optimal. These results suggest that the VaR-based reinsurance models are sensitive with respect to the constraints imposed on both ceded and retained loss functions while the corresponding CVaR-based reinsurance models are quite robust.
Contributors
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- By Rose Teteki Abbey, K. C. Abraham, David Tuesday Adamo, LeRoy H. Aden, Efrain Agosto, Victor Aguilan, Gillian T. W. Ahlgren, Charanjit Kaur AjitSingh, Dorothy B E A Akoto, Giuseppe Alberigo, Daniel E. Albrecht, Ruth Albrecht, Daniel O. Aleshire, Urs Altermatt, Anand Amaladass, Michael Amaladoss, James N. Amanze, Lesley G. Anderson, Thomas C. Anderson, Victor Anderson, Hope S. Antone, María Pilar Aquino, Paula Arai, Victorio Araya Guillén, S. Wesley Ariarajah, Ellen T. Armour, Brett Gregory Armstrong, Atsuhiro Asano, Naim Stifan Ateek, Mahmoud Ayoub, John Alembillah Azumah, Mercedes L. García Bachmann, Irena Backus, J. Wayne Baker, Mieke Bal, Lewis V. Baldwin, William Barbieri, António Barbosa da Silva, David Basinger, Bolaji Olukemi Bateye, Oswald Bayer, Daniel H. Bays, Rosalie Beck, Nancy Elizabeth Bedford, Guy-Thomas Bedouelle, Chorbishop Seely Beggiani, Wolfgang Behringer, Christopher M. Bellitto, Byard Bennett, Harold V. Bennett, Teresa Berger, Miguel A. Bernad, Henley Bernard, Alan E. Bernstein, Jon L. Berquist, Johannes Beutler, Ana María Bidegain, Matthew P. Binkewicz, Jennifer Bird, Joseph Blenkinsopp, Dmytro Bondarenko, Paulo Bonfatti, Riet en Pim Bons-Storm, Jessica A. Boon, Marcus J. Borg, Mark Bosco, Peter C. Bouteneff, François Bovon, William D. Bowman, Paul S. Boyer, David Brakke, Richard E. Brantley, Marcus Braybrooke, Ian Breward, Ênio José da Costa Brito, Jewel Spears Brooker, Johannes Brosseder, Nicholas Canfield Read Brown, Robert F. Brown, Pamela K. Brubaker, Walter Brueggemann, Bishop Colin O. Buchanan, Stanley M. Burgess, Amy Nelson Burnett, J. Patout Burns, David B. Burrell, David Buttrick, James P. Byrd, Lavinia Byrne, Gerado Caetano, Marcos Caldas, Alkiviadis Calivas, William J. Callahan, Salvatore Calomino, Euan K. Cameron, William S. Campbell, Marcelo Ayres Camurça, Daniel F. Caner, Paul E. Capetz, Carlos F. Cardoza-Orlandi, Patrick W. Carey, Barbara Carvill, Hal Cauthron, Subhadra Mitra Channa, Mark D. Chapman, James H. Charlesworth, Kenneth R. Chase, Chen Zemin, Luciano Chianeque, Philip Chia Phin Yin, Francisca H. Chimhanda, Daniel Chiquete, John T. Chirban, Soobin Choi, Robert Choquette, Mita Choudhury, Gerald Christianson, John Chryssavgis, Sejong Chun, Esther Chung-Kim, Charles M. A. Clark, Elizabeth A. Clark, Sathianathan Clarke, Fred Cloud, John B. Cobb, W. Owen Cole, John A Coleman, John J. Collins, Sylvia Collins-Mayo, Paul K. Conkin, Beth A. Conklin, Sean Connolly, Demetrios J. Constantelos, Michael A. Conway, Paula M. Cooey, Austin Cooper, Michael L. Cooper-White, Pamela Cooper-White, L. William Countryman, Sérgio Coutinho, Pamela Couture, Shannon Craigo-Snell, James L. Crenshaw, David Crowner, Humberto Horacio Cucchetti, Lawrence S. Cunningham, Elizabeth Mason Currier, Emmanuel Cutrone, Mary L. Daniel, David D. Daniels, Robert Darden, Rolf Darge, Isaiah Dau, Jeffry C. Davis, Jane Dawson, Valentin Dedji, John W. de Gruchy, Paul DeHart, Wendy J. Deichmann Edwards, Miguel A. De La Torre, George E. Demacopoulos, Thomas de Mayo, Leah DeVun, Beatriz de Vasconcellos Dias, Dennis C. Dickerson, John M. Dillon, Luis Miguel Donatello, Igor Dorfmann-Lazarev, Susanna Drake, Jonathan A. Draper, N. Dreher Martin, Otto Dreydoppel, Angelyn Dries, A. J. Droge, Francis X. D'Sa, Marilyn Dunn, Nicole Wilkinson Duran, Rifaat Ebied, Mark J. Edwards, William H. Edwards, Leonard H. Ehrlich, Nancy L. Eiesland, Martin Elbel, J. Harold Ellens, Stephen Ellingson, Marvin M. Ellison, Robert Ellsberg, Jean Bethke Elshtain, Eldon Jay Epp, Peter C. Erb, Tassilo Erhardt, Maria Erling, Noel Leo Erskine, Gillian R. Evans, Virginia Fabella, Michael A. Fahey, Edward Farley, Margaret A. Farley, Wendy Farley, Robert Fastiggi, Seena Fazel, Duncan S. Ferguson, Helwar Figueroa, Paul Corby Finney, Kyriaki Karidoyanes FitzGerald, Thomas E. FitzGerald, John R. Fitzmier, Marie Therese Flanagan, Sabina Flanagan, Claude Flipo, Ronald B. Flowers, Carole Fontaine, David Ford, Mary Ford, Stephanie A. Ford, Jim Forest, William Franke, Robert M. Franklin, Ruth Franzén, Edward H. Friedman, Samuel Frouisou, Lorelei F. Fuchs, Jojo M. Fung, Inger Furseth, Richard R. Gaillardetz, Brandon Gallaher, China Galland, Mark Galli, Ismael García, Tharscisse Gatwa, Jean-Marie Gaudeul, Luis María Gavilanes del Castillo, Pavel L. Gavrilyuk, Volney P. Gay, Metropolitan Athanasios Geevargis, Kondothra M. George, Mary Gerhart, Simon Gikandi, Maurice Gilbert, Michael J. Gillgannon, Verónica Giménez Beliveau, Terryl Givens, Beth Glazier-McDonald, Philip Gleason, Menghun Goh, Brian Golding, Bishop Hilario M. Gomez, Michelle A. Gonzalez, Donald K. Gorrell, Roy Gottfried, Tamara Grdzelidze, Joel B. Green, Niels Henrik Gregersen, Cristina Grenholm, Herbert Griffiths, Eric W. Gritsch, Erich S. Gruen, Christoffer H. Grundmann, Paul H. Gundani, Jon P. Gunnemann, Petre Guran, Vidar L. Haanes, Jeremiah M. Hackett, Getatchew Haile, Douglas John Hall, Nicholas Hammond, Daphne Hampson, Jehu J. Hanciles, Barry Hankins, Jennifer Haraguchi, Stanley S. Harakas, Anthony John Harding, Conrad L. Harkins, J. William Harmless, Marjory Harper, Amir Harrak, Joel F. Harrington, Mark W. Harris, Susan Ashbrook Harvey, Van A. Harvey, R. Chris Hassel, Jione Havea, Daniel Hawk, Diana L. Hayes, Leslie Hayes, Priscilla Hayner, S. Mark Heim, Simo Heininen, Richard P. Heitzenrater, Eila Helander, David Hempton, Scott H. Hendrix, Jan-Olav Henriksen, Gina Hens-Piazza, Carter Heyward, Nicholas J. Higham, David Hilliard, Norman A. Hjelm, Peter C. Hodgson, Arthur Holder, M. Jan Holton, Dwight N. Hopkins, Ronnie Po-chia Hsia, Po-Ho Huang, James Hudnut-Beumler, Jennifer S. Hughes, Leonard M. Hummel, Mary E. Hunt, Laennec Hurbon, Mark Hutchinson, Susan E. Hylen, Mary Beth Ingham, H. Larry Ingle, Dale T. Irvin, Jon Isaak, Paul John Isaak, Ada María Isasi-Díaz, Hans Raun Iversen, Margaret C. Jacob, Arthur James, Maria Jansdotter-Samuelsson, David Jasper, Werner G. Jeanrond, Renée Jeffery, David Lyle Jeffrey, Theodore W. Jennings, David H. Jensen, Robin Margaret Jensen, David Jobling, Dale A. Johnson, Elizabeth A. Johnson, Maxwell E. Johnson, Sarah Johnson, Mark D. Johnston, F. Stanley Jones, James William Jones, John R. Jones, Alissa Jones Nelson, Inge Jonsson, Jan Joosten, Elizabeth Judd, Mulambya Peggy Kabonde, Robert Kaggwa, Sylvester Kahakwa, Isaac Kalimi, Ogbu U. Kalu, Eunice Kamaara, Wayne C. Kannaday, Musimbi Kanyoro, Veli-Matti Kärkkäinen, Frank Kaufmann, Léon Nguapitshi Kayongo, Richard Kearney, Alice A. Keefe, Ralph Keen, Catherine Keller, Anthony J. Kelly, Karen Kennelly, Kathi Lynn Kern, Fergus Kerr, Edward Kessler, George Kilcourse, Heup Young Kim, Kim Sung-Hae, Kim Yong-Bock, Kim Yung Suk, Richard King, Thomas M. King, Robert M. Kingdon, Ross Kinsler, Hans G. Kippenberg, Cheryl A. Kirk-Duggan, Clifton Kirkpatrick, Leonid Kishkovsky, Nadieszda Kizenko, Jeffrey Klaiber, Hans-Josef Klauck, Sidney Knight, Samuel Kobia, Robert Kolb, Karla Ann Koll, Heikki Kotila, Donald Kraybill, Philip D. W. Krey, Yves Krumenacker, Jeffrey Kah-Jin Kuan, Simanga R. Kumalo, Peter Kuzmic, Simon Shui-Man Kwan, Kwok Pui-lan, André LaCocque, Stephen E. Lahey, John Tsz Pang Lai, Emiel Lamberts, Armando Lampe, Craig Lampe, Beverly J. Lanzetta, Eve LaPlante, Lizette Larson-Miller, Ariel Bybee Laughton, Leonard Lawlor, Bentley Layton, Robin A. Leaver, Karen Lebacqz, Archie Chi Chung Lee, Marilyn J. Legge, Hervé LeGrand, D. L. LeMahieu, Raymond Lemieux, Bill J. Leonard, Ellen M. Leonard, Outi Leppä, Jean Lesaulnier, Nantawan Boonprasat Lewis, Henrietta Leyser, Alexei Lidov, Bernard Lightman, Paul Chang-Ha Lim, Carter Lindberg, Mark R. Lindsay, James R. Linville, James C. Livingston, Ann Loades, David Loades, Jean-Claude Loba-Mkole, Lo Lung Kwong, Wati Longchar, Eleazar López, David W. Lotz, Andrew Louth, Robin W. Lovin, William Luis, Frank D. Macchia, Diarmaid N. J. MacCulloch, Kirk R. MacGregor, Marjory A. MacLean, Donald MacLeod, Tomas S. Maddela, Inge Mager, Laurenti Magesa, David G. Maillu, Fortunato Mallimaci, Philip Mamalakis, Kä Mana, Ukachukwu Chris Manus, Herbert Robinson Marbury, Reuel Norman Marigza, Jacqueline Mariña, Antti Marjanen, Luiz C. L. Marques, Madipoane Masenya (ngwan'a Mphahlele), Caleb J. D. Maskell, Steve Mason, Thomas Massaro, Fernando Matamoros Ponce, András Máté-Tóth, Odair Pedroso Mateus, Dinis Matsolo, Fumitaka Matsuoka, John D'Arcy May, Yelena Mazour-Matusevich, Theodore Mbazumutima, John S. McClure, Christian McConnell, Lee Martin McDonald, Gary B. McGee, Thomas McGowan, Alister E. McGrath, Richard J. McGregor, John A. McGuckin, Maud Burnett McInerney, Elsie Anne McKee, Mary B. McKinley, James F. McMillan, Ernan McMullin, Kathleen E. McVey, M. Douglas Meeks, Monica Jyotsna Melanchthon, Ilie Melniciuc-Puica, Everett Mendoza, Raymond A. Mentzer, William W. Menzies, Ina Merdjanova, Franziska Metzger, Constant J. Mews, Marvin Meyer, Carol Meyers, Vasile Mihoc, Gunner Bjerg Mikkelsen, Maria Inêz de Castro Millen, Clyde Lee Miller, Bonnie J. Miller-McLemore, Alexander Mirkovic, Paul Misner, Nozomu Miyahira, R. W. L. Moberly, Gerald Moede, Aloo Osotsi Mojola, Sunanda Mongia, Rebeca Montemayor, James Moore, Roger E. Moore, Craig E. Morrison O.Carm, Jeffry H. Morrison, Keith Morrison, Wilson J. Moses, Tefetso Henry Mothibe, Mokgethi Motlhabi, Fulata Moyo, Henry Mugabe, Jesse Ndwiga Kanyua Mugambi, Peggy Mulambya-Kabonde, Robert Bruce Mullin, Pamela Mullins Reaves, Saskia Murk Jansen, Heleen L. Murre-Van den Berg, Augustine Musopole, Isaac M. T. Mwase, Philomena Mwaura, Cecilia Nahnfeldt, Anne Nasimiyu Wasike, Carmiña Navia Velasco, Thulani Ndlazi, Alexander Negrov, James B. Nelson, David G. Newcombe, Carol Newsom, Helen J. Nicholson, George W. E. Nickelsburg, Tatyana Nikolskaya, Damayanthi M. A. Niles, Bertil Nilsson, Nyambura Njoroge, Fidelis Nkomazana, Mary Beth Norton, Christian Nottmeier, Sonene Nyawo, Anthère Nzabatsinda, Edward T. Oakes, Gerald O'Collins, Daniel O'Connell, David W. Odell-Scott, Mercy Amba Oduyoye, Kathleen O'Grady, Oyeronke Olajubu, Thomas O'Loughlin, Dennis T. Olson, J. Steven O'Malley, Cephas N. Omenyo, Muriel Orevillo-Montenegro, César Augusto Ornellas Ramos, Agbonkhianmeghe E. Orobator, Kenan B. Osborne, Carolyn Osiek, Javier Otaola Montagne, Douglas F. Ottati, Anna May Say Pa, Irina Paert, Jerry G. Pankhurst, Aristotle Papanikolaou, Samuele F. Pardini, Stefano Parenti, Peter Paris, Sung Bae Park, Cristián G. Parker, Raquel Pastor, Joseph Pathrapankal, Daniel Patte, W. Brown Patterson, Clive Pearson, Keith F. Pecklers, Nancy Cardoso Pereira, David Horace Perkins, Pheme Perkins, Edward N. Peters, Rebecca Todd Peters, Bishop Yeznik Petrossian, Raymond Pfister, Peter C. Phan, Isabel Apawo Phiri, William S. F. Pickering, Derrick G. Pitard, William Elvis Plata, Zlatko Plese, John Plummer, James Newton Poling, Ronald Popivchak, Andrew Porter, Ute Possekel, James M. Powell, Enos Das Pradhan, Devadasan Premnath, Jaime Adrían Prieto Valladares, Anne Primavesi, Randall Prior, María Alicia Puente Lutteroth, Eduardo Guzmão Quadros, Albert Rabil, Laurent William Ramambason, Apolonio M. Ranche, Vololona Randriamanantena Andriamitandrina, Lawrence R. Rast, Paul L. Redditt, Adele Reinhartz, Rolf Rendtorff, Pål Repstad, James N. Rhodes, John K. Riches, Joerg Rieger, Sharon H. Ringe, Sandra Rios, Tyler Roberts, David M. Robinson, James M. Robinson, Joanne Maguire Robinson, Richard A. H. Robinson, Roy R. Robson, Jack B. Rogers, Maria Roginska, Sidney Rooy, Rev. Garnett Roper, Maria José Fontelas Rosado-Nunes, Andrew C. Ross, Stefan Rossbach, François Rossier, John D. Roth, John K. Roth, Phillip Rothwell, Richard E. Rubenstein, Rosemary Radford Ruether, Markku Ruotsila, John E. Rybolt, Risto Saarinen, John Saillant, Juan Sanchez, Wagner Lopes Sanchez, Hugo N. Santos, Gerhard Sauter, Gloria L. Schaab, Sandra M. Schneiders, Quentin J. Schultze, Fernando F. Segovia, Turid Karlsen Seim, Carsten Selch Jensen, Alan P. F. Sell, Frank C. Senn, Kent Davis Sensenig, Damían Setton, Bal Krishna Sharma, Carolyn J. Sharp, Thomas Sheehan, N. Gerald Shenk, Christian Sheppard, Charles Sherlock, Tabona Shoko, Walter B. Shurden, Marguerite Shuster, B. Mark Sietsema, Batara Sihombing, Neil Silberman, Clodomiro Siller, Samuel Silva-Gotay, Heikki Silvet, John K. Simmons, Hagith Sivan, James C. Skedros, Abraham Smith, Ashley A. Smith, Ted A. Smith, Daud Soesilo, Pia Søltoft, Choan-Seng (C. S.) Song, Kathryn Spink, Bryan Spinks, Eric O. Springsted, Nicolas Standaert, Brian Stanley, Glen H. Stassen, Karel Steenbrink, Stephen J. Stein, Andrea Sterk, Gregory E. Sterling, Columba Stewart, Jacques Stewart, Robert B. Stewart, Cynthia Stokes Brown, Ken Stone, Anne Stott, Elizabeth Stuart, Monya Stubbs, Marjorie Hewitt Suchocki, David Kwang-sun Suh, Scott W. Sunquist, Keith Suter, Douglas Sweeney, Charles H. Talbert, Shawqi N. Talia, Elsa Tamez, Joseph B. Tamney, Jonathan Y. Tan, Yak-Hwee Tan, Kathryn Tanner, Feiya Tao, Elizabeth S. Tapia, Aquiline Tarimo, Claire Taylor, Mark Lewis Taylor, Bishop Abba Samuel Wolde Tekestebirhan, Eugene TeSelle, M. Thomas Thangaraj, David R. Thomas, Andrew Thornley, Scott Thumma, Marcelo Timotheo da Costa, George E. “Tink” Tinker, Ola Tjørhom, Karen Jo Torjesen, Iain R. Torrance, Fernando Torres-Londoño, Archbishop Demetrios [Trakatellis], Marit Trelstad, Christine Trevett, Phyllis Trible, Johannes Tromp, Paul Turner, Robert G. Tuttle, Archbishop Desmond Tutu, Peter Tyler, Anders Tyrberg, Justin Ukpong, Javier Ulloa, Camillus Umoh, Kristi Upson-Saia, Martina Urban, Monica Uribe, Elochukwu Eugene Uzukwu, Richard Vaggione, Gabriel Vahanian, Paul Valliere, T. J. Van Bavel, Steven Vanderputten, Peter Van der Veer, Huub Van de Sandt, Louis Van Tongeren, Luke A. Veronis, Noel Villalba, Ramón Vinke, Tim Vivian, David Voas, Elena Volkova, Katharina von Kellenbach, Elina Vuola, Timothy Wadkins, Elaine M. Wainwright, Randi Jones Walker, Dewey D. Wallace, Jerry Walls, Michael J. Walsh, Philip Walters, Janet Walton, Jonathan L. Walton, Wang Xiaochao, Patricia A. Ward, David Harrington Watt, Herold D. Weiss, Laurence L. Welborn, Sharon D. Welch, Timothy Wengert, Traci C. West, Merold Westphal, David Wetherell, Barbara Wheeler, Carolinne White, Jean-Paul Wiest, Frans Wijsen, Terry L. Wilder, Felix Wilfred, Rebecca Wilkin, Daniel H. Williams, D. Newell Williams, Michael A. Williams, Vincent L. Wimbush, Gabriele Winkler, Anders Winroth, Lauri Emílio Wirth, James A. Wiseman, Ebba Witt-Brattström, Teofil Wojciechowski, John Wolffe, Kenman L. Wong, Wong Wai Ching, Linda Woodhead, Wendy M. Wright, Rose Wu, Keith E. Yandell, Gale A. Yee, Viktor Yelensky, Yeo Khiok-Khng, Gustav K. K. Yeung, Angela Yiu, Amos Yong, Yong Ting Jin, You Bin, Youhanna Nessim Youssef, Eliana Yunes, Robert Michael Zaller, Valarie H. Ziegler, Barbara Brown Zikmund, Joyce Ann Zimmerman, Aurora Zlotnik, Zhuo Xinping
- Edited by Daniel Patte, Vanderbilt University, Tennessee
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- The Cambridge Dictionary of Christianity
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- 05 August 2012
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- 20 September 2010, pp xi-xliv
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Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
- Johnny Siu-Hang Li, Mary R. Hardy, Ken Seng Tan
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 39 / Issue 1 / May 2009
- Published online by Cambridge University Press:
- 09 August 2013, pp. 137-164
- Print publication:
- May 2009
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Traditionally, actuaries have modeled mortality improvement using deterministic reduction factors, with little consideration of the associated uncertainty. As mortality improvement has become an increasingly significant source of financial risk, it has become important to measure the uncertainty in the forecasts. Probabilistic confidence intervals provided by the widely accepted Lee-Carter model are known to be excessively narrow, due primarily to the rigid structure of the model. In this paper, we relax the model structure by considering individual differences (heterogeneity) in each age-period cell. The proposed extension not only provides a better goodness-of-fit based on standard model selection criteria, but also ensures more conservative interval forecasts of central death rates and hence can better reflect the uncertainty entailed. We illustrate the results using US and Canadian mortality data.
Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Jun Cai, Ken Seng Tan
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 37 / Issue 1 / May 2007
- Published online by Cambridge University Press:
- 17 April 2015, pp. 93-112
- Print publication:
- May 2007
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We propose practical solutions for the determination of optimal retentions in a stop-loss reinsurance. We develop two new optimization criteria for deriving the optimal retentions by, respectively, minimizing the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risks of an insurer. We establish necessary and sufficient conditions for the existence of the optimal retentions for two risk models: individual risk model and collective risk model. The resulting optimal solution of our optimization criterion has several important characteristics: (i) the optimal retention has a very simple analytic form; (ii) the optimal retention depends only on the assumed loss distribution and the reinsurer’s safety loading factor; (iii) the CTE criterion is more applicable than the VaR criterion in the sense that the optimal condition for the former is less restrictive than the latter; (iv) if optimal solutions exist, then both VaR- and CTE-based optimization criteria yield the same optimal retentions. In terms of applications, we extend the results to the individual risk models with dependent risks and use multivariate phase type distribution, multivariate Pareto distribution and multivariate Bernoulli distribution to illustrate the effect of dependence on optimal retentions. We also use the compound Poisson distribution and the compound negative binomial distribution to illustrate the optimal retentions in a collective risk model.