## Search Results: "actuview"

• ### Vine copulas in finance and insurance

by actuview Added 0 695 Views

Vine copulas have proven to be flexible dependence models, which are able to model tail dependence pattern as they occur in financial and insurance data. The models power is driven by the ability to construct a d-dimensional dependence model from a collec

• ### Machine Learning Techniques in Nested Stochastic Simulation for Life Insurance

by actuview Added 0 467 Views

Solvency II, the harmonized European Directive for insurance and reinsurance companies [4], introduces new fundamental measures, such as the Probability Distribution Forecast (PDF) and the Solvency Capital Requirement (SCR), whose estimation involves a ma

• ### Robustification of Monte-Carlo Simulations

by actuview Added 0 338 Views

One important point discussed between practitioners in insurance business is how many Monte-Carlo simulations are necessary to estimate the required Solvency Capital. A widespread opinion is that the larger the size of the Monte-Carlo sample is, the more

• ### Least squares Monte Carlo methods for numerical evaluation of multi-period costof- capital values

by actuview Added 1 434 Views

In a previous article published in Insurance: Mathematics and Economics [2], we explored a multiperiod cost-of-capital valuation of a liability cashflow subject to repeated capital requirements. The resulting liability value is given by a backward recursi

• ### Almost Sure Convergence for Nested Simulations

by actuview Added 0 337 Views

The Solvency II framework provides a standard formula for the calculation of the risk capital (SCR = Solvency Capital Requirement) in one year, but also gives life insurance companies the freedom to develop an own internal model. By using such an internal

• ### Testing the least squares Monte Carlo method for the evaluation of capital requirements in life insu

by actuview Added 0 337 Views

In Europe, the Solvency 2 directive prescribes that insurers must hold eligible own funds at least equal to their Solvency Capital Requirements (SCR) defined as the value at risk (VaR) of the basic own funds with a confidence level of 99:5% over a time ho

• ### Risk management of climate impact for tourism operators: An empirical analysis on ski resorts

by actuview Added 0 378 Views

The aim of this paper is to analyze the performance of hedging strategies based on snow and temperature options developed by ski operators to protect their profitability under adverse changes in climatic conditions. The setup is based on a joint non-param

• ### Tontines, and the law of large numbers

by actuview Added 0 379 Views

Combining the best of drawdown and annuity, the investment returns and the longevity credits, tontines offer a great alternative to current pension products. Tontines are well-understood under the assumption of constant market returns and a perfect pool.

• ### The stochastic programming approach to asset-liability models

by actuview Added 0 541 Views

The stochastic programming scenario optimization using multi-period stochastic linear programming is a very good approach to asset and asset-liability management. This talk discusses the authors experiences in building and implementing large scale ALM mod

• ### Sensitivity Analysis of Annuity Models: What's inside the black box?

by actuview Added 0 425 Views

Annuities constitute a fundamental branch in the life insurance business. To obtain the cost of annuities, Financial and demographic factors are the key inputs for the related mathematical quantitative models. In this work [1], we adopt and compare differ

• ### Valuation of variable annuities in a hybrid model driven by Lévy processes

by actuview Added 0 410 Views

Variable annuities are life insurance products which are particularly attractive in a low interest rate environment. They allow the policyholder to participate in the growth of the economy through the performance of a reference fund, guaranteeing at the s

• ### Monte Carlo valuation of the initiation option in a GLWB variable annuity

by actuview Added 0 335 Views

We focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been successfully analys

• ### Valuation of Power Blackout Insurance for the Australian Energy Market

by actuview Added 0 295 Views

The eastern states of Australia are supplied with electricity from the National Electricity Market, which is a grid that stores electricity generated by a variety of means. Electrical power blackouts occur when there is a disruption to supply to the grid

• ### Fair valuation of insurance liability cash-flow streams in continuous time

by actuview Added 2 453 Views

We investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is set up

• ### Two-step financial and actuarial valuations: Axiomatic characterization and applications

by actuview Added 2 268 Views

Insurance liabilities are in most cases a combination of financial and actuarial risks. Determining the valuation of such payoffs requires combining standard actuarial valuations based on historical data with the financial information provided by market p

• ### An Integrated Approach to Measuring Asset and Liability Risks in Financial Institutions

by actuview Added 1 419 Views

Risk measurement models for financial institutions typically focus on the net portfolio position and thus ignore distinctions between 1) assets and liabilities and 2) uncollateralized and collateralized liabilities. However, these distinctions are economi

• ### Dynamic Pricing and Revenue Optimization of Insurance

by actuview Added 0 588 Views

We study the application of dynamic pricing in insurance from the perspective of an insurance company. We consider the problem of online revenue management for an insurance company that wishes to sell a new product. We do not consider effects of competiti

• ### Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits

by actuview Added 0 361 Views

Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, though to a lesser

• ### Valuation of insurance liability cash flows from an agency perspective

by actuview Added 0 319 Views

This paper sets out a market-consistent valuation methodology for insurance liabilities with nonreplicable cash flows. An explicit allowance for risks associated with such cash flows is common in modern accounting standards, as well as statutory solvency

• ### The limitations of law-invariant insurance pricing

by actuview Added 0 251 Views

We show that a law-invariant pricing functional defined on a general Orlicz space is typically incompatible with frictionless risky assets in the sense that one and only one of the following two alternatives hold: either every risky payoff has a strictly-

• ### The Fundamental Theorem of Quantitative Risk Management

by actuview Added 2 1,208 Views

• ### Joint Section Colloquium - Paris 2020

by actuview Added 0 576 Views

May 10-14, 2020PARIS, FRANCEIndividual Choices Facing Societal ChangesCan actuarial science bridge the gap between individual and collective choices? More information will shortly be available here: https://www.actuaries.org/iaa/IAA/Events/Section_Colloqu

• ### ASTIN Workshop - Reserving

by actuview Added 0 448 Views

ASTIN Workshop - Reserving Development triangles Case reserves IBNR, IBNYR and IBNER Common deterministic methods Stochastic methods Individual claims development

• ### Whistle Blowing – A Dilemma?

by actuview Added 0 333 Views

• ### Pre-funding of Healthcare Benefits After Retirement

by actuview Added 0 355 Views

While current demographic and economic changes have implications for both pension and healthcare schemes, addressing financial sustainability of health care systems entails a somewhat distinctive approach. Throughout this paper we will propose a framework

• ### The modern actuary in healthcare – how can we help public healthcare systems under strain?

by actuview Added 0 332 Views

When we think ‘modern actuary’, our minds jump to ‘Big Data, ‘Machine Learning, ‘AI’ and a futuristic world where technology reigns supreme. While the world may be moving in this direction, healthcare systems around the

• ### Big Data Analytics as an opportunity for Fraud Management in the Insurance Sector

by actuview Added 0 519 Views

Fraud Management is inevitable to insurance companies as this informs the level of risk covered which in turn affects the premiums being charged. Over the years, with evolution of fraud detection methods, perpetrators of fraud have also been evolving thei

• ### From the Chain Ladder to Individual Claims Reserving using Machine Learning techniques

by actuview Added 5 1,157 Views

Recent years have seen the emergence of a lot of research on the application of machine learning techniques in actuarial science. In particular, there has been a noticeable amount of papers regarding machine learning applied to P&C Loss Reserving. Ove

• ### Unravelling black box machine learning technique predictions using biplots

by actuview Added 1 350 Views

The development of new mathematical techniques, the improvement of computer processing power and the increased availability of possible explanatory variables has changed the way companies model their risks. This has caused the financial industry to move t

• ### AI in Actuarial Science

by actuview Added 1 652 Views

Rapid advances in Artificial Intelligence and Machine Learning are creating products and services with the potential not only to change the environment in which actuaries operate, but also to provide new opportunities within actuarial science. These advan