Videos from actuview
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Optimal Allocation to Deferred Income Annuities
Added 2 ViewsIn our recently submitted paper we employ a lifecycle model that uses utility of consumption and bequest to determine an optimal Deferred Income Annuity (DIA) purchase policy. We lay out a mathematical framework to formalize the optimization process. The
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Non-exponential Discounting Portfolio Management and insuran...
Added 5 ViewsThis paper studies the portfolio management problem for an individual with a non-exponential discount function and habit formation in finite time. The individual receives a deterministic income, invests in risky assets, and consumes and buys insurance con
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Prevention efforts, insurance demand and price incentives un...
Added 2 ViewsThis paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties' risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, where the insurance seller play
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Robust reinsurance-investment game between two mean-variance...
Added 2 ViewsIn this paper, we investigate a class of robust non-zero-sum reinsurance-investment stochastic differential games between two competing insurers under the time-consistent mean-variance criterion. We allow each insurer to purchase a proportional reinsuranc
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A Stochastic Differential Game for Insurance Market with Com...
Added 13 ViewsInsurance premium principle includes the expected loss plus a risk loading factor to cover the loss from adverse claim experience and generate a profit. This paper considers a stochastic differential game with multiple insurers who are competing to sell i
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Facing our responsibilities toward future generations under ...
Added 4 ViewsIn this talk, I will discuss the economic approaches to evaluate the social cost of carbon, i.e., the present value of the flow of climate damages generated in the next few centuries by one more ton of CO2 emitted today. What discount rates should we use
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Vine copulas in finance and insurance
Added 5 ViewsVine 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
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Machine Learning Techniques in Nested Stochastic Simulation ...
Added 1 ViewsSolvency 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
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Robustification of Monte-Carlo Simulations
Added 4 ViewsOne 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
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Least squares Monte Carlo methods for numerical evaluation o...
Added 4 ViewsIn 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
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Almost Sure Convergence for Nested Simulations
Added 2 ViewsThe 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
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Testing the least squares Monte Carlo method for the evaluat...
Added 1 ViewsIn 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
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Risk management of climate impact for tourism operators: An ...
Added 3 ViewsThe 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
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Tontines, and the law of large numbers
Added 3 ViewsCombining 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.
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The stochastic programming approach to asset-liability model...
Added 3 ViewsThe 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
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Sensitivity Analysis of Annuity Models: What's inside the bl...
Added 7 ViewsAnnuities 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
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Valuation of variable annuities in a hybrid model driven by ...
Added 3 ViewsVariable 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
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Monte Carlo valuation of the initiation option in a GLWB var...
Added 3 ViewsWe 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
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Valuation of Power Blackout Insurance for the Australian Ene...
Added 2 ViewsThe 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
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Fair valuation of insurance liability cash-flow streams in c...
Added 5 ViewsWe 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
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Two-step financial and actuarial valuations: Axiomatic chara...
Added 3 ViewsInsurance 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
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An Integrated Approach to Measuring Asset and Liability Risk...
Added 6 ViewsRisk 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
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500 Years of Annuity Mispricing
Added 12 ViewsPrima facie, valuing a longevity-contingent claim that provides guaranteed income-for-life should be a relatively straight forward operation. One selects a mortality basis with a proper discount curve and the remainder is left to expectations. And yet, hi
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Dynamic Pricing and Revenue Optimization of Insurance
Added 5 ViewsWe 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
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Phase-Type Models in Life Insurance: Fitting and Valuation o...
Added 11 ViewsPhase-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
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Valuation of insurance liability cash flows from an agency p...
Added 1 ViewsThis 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
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The limitations of law-invariant insurance pricing
Added 2 ViewsWe 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-
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The Fundamental Theorem of Quantitative Risk Management
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Joint Section Colloquium - Paris 2020
Added 83 ViewsMay 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
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ASTIN Workshop - Reserving
Added 84 ViewsASTIN Workshop - Reserving Development triangles Case reserves IBNR, IBNYR and IBNER Common deterministic methods Stochastic methods Individual claims development
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Whistle Blowing – A Dilemma?
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Pre-funding of Healthcare Benefits After Retirement
Added 86 ViewsWhile 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
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The modern actuary in healthcare – how can we help public ...
Added 63 ViewsWhen 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
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Big Data Analytics as an opportunity for Fraud Management in...
Added 87 ViewsFraud 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
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From the Chain Ladder to Individual Claims Reserving using M...
Added 239 ViewsRecent 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
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Unravelling black box machine learning technique predictions...
Added 60 ViewsThe 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
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AI in Actuarial Science
Added 164 ViewsRapid 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
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Capital Management and Value Creation
Added 82 ViewsThe aim of the presentation is to consider the role of capital management in the value creation process of insurance companies. As a first step, the various interpretations of capital (from the economic, investor and actuarial perspectives), and related c
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Professionalism Case studies presented by the ASSA PMB - “...
Added 101 ViewsThe Actuarial Society of South Africa has implemented a new outcomes-based Continuing Professional Development process. Based on survey results just out, members feel overwhelmingly that it is a useful exercise that adds real value. In this session, Actua
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Dynamic Risk Assessment
Added 79 ViewsFollowing ten years of research, two principle contributory factors to our inability to model the future accurately. The first of these is the manifestation of trends and developments which have not been observed before. The lack of data on such events po
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Can life insurance ethically justify the discrimination in u...
Added 86 ViewsAlthough discrimination based on factors such as age, sex, socio economic class and health status is normally prohibited by law, such discrimination is an accepted practice in the risk assessment in life insurance underwriting. Voluntary private insurance
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The Journey Through the Line
Added 47 ViewsThe rapid convergence of the skilled human with the intelligent machine is changing business models and transforming the playing field at breathtaking speed. It is no longer a question of “what if” but rather one of “so how”. It is
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An Evaluation of Machine Learning Techniques On Class Imbala...
Added 105 ViewsThe estimation of the likelihood of rare events poses a significant problem for classification problems in machine learning. This occurs when one of the target classes has a majority number of instances concentrated to it compared to the minority class. T
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The Actuary at the Kraal
Added 84 ViewsIt is time for the actuary and the insurance industry to review and redefine the strategies employed to enabling access to the uninsured markets in South Africa. With the client being the core of the strategy and we must start engaging with our communitie
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ASTIN Workshop - Reinsurance
Added 91 ViewsWorkshop: Why reinsurance? Basic forms of reinsurance (quota share, surplus, stop loss, excess of loss) Elements or pricing Long tailed lines of business Alternative risk transfer
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ASTIN Workshop - Solvency
Added 94 ViewsTopics: Economic balance sheet Measures of risk Available risk capital Required capital Capital allocation and portfolio optimization
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The culture and purpose of The Modern Actuary
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Actuaries and Cyber Security
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Actuaries and Affordable Housing in Africa
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Set up and operating a new consultancy
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Scenario Testing for Flatrated Fleets during the yearly pric...
Added 122 ViewsThe envisaged presentation (in the area of flatrated fleets) will start from the calculation of the (actuarially correct) technical premium and will then deal with the commercial premium which is directly derived from the former one and subsequently adjus
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Managing Insurance Capital Standards with Limit Systems
Added 48 ViewsModern Insurance Capital Standards such as the South African SAM, the European Solvency II, or the global ICS usually describe methods to measure the company's risk accompanied by minimum requirements on the company's own funds. Usually the company's risk
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A Quantile Mixing Approach for the Combination of Experts' M...
Added 76 ViewsIn this article, we provide theoretical justifications for the use of convex combinations of quantile functions in order to combine experts' (or softwares) models. We assume that the experts' estimates are given in the form of two probability measures &mu
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A Standardized Machine Learning based approach to Conversion...
Added 130 ViewsThe aim of this paper is to calibrate and compare different Machine Learning techniques (or ML) for one of the most complex and relevant behavior observable in the Insurance Market: the Conversion Rate. The selected perimeter is the Motor Third Party Liab
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The Genesis of Storm Clustering: What Impact on Reinsurance ...
Added 59 ViewsWith an annual European average market loss of roughly €4.4 billion, extratropical cyclones constitute one of the major risks insurers face, especially when these storms come in succession. “Storm clustering” happens when two or more stor
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Dynamic and granular loss modeling embracing dependencies
Added 62 ViewsTo meet all future claims rising from policies, it is requisite to quantify the outstanding loss liabilities. Loss reserving methods based on aggregated data from run-triangles are predominantly used to calculate the claims reserves. Conventional reservin
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On The Necessity And Nature Of Standardising When Using Shri...
Added 89 ViewsShrinkage methods like Lasso or Ridge regression are a valuable extension of classical general linear models (GLM). By their capability of continuous variable selection they can help automating parts of the actuarial workflow. In contrast to most other ma
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