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Advancements in Actuarial Mathematics and Insurance Risk Management
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Special Issue "Advancements in Actuarial Mathematics and Insurance Risk Management"

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 30 April 2024 | Viewed by 1422

Special Issue Editor

Prof. Dr. Annamaria Olivieri

E-Mail Website
Guest Editor
Department is Economics and Management, University of Parma, Via Kennedy 6, 43100 Parma, Italy
Interests: risk management for life insurance and pension funds, in particular with reference to longevity risk; solvency for life portfolios and pension funds; actuarial perspectives of annuitization and post-retirement choices in pension products; multistate models for the insurances of the person; actuarial pricing of life and health insurance products; actuarial models for the valuation of the life insurance business
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The insurance industry is subject to a number of challenges: risks originated by evolving mortality, interest rates, inflation, climate changes; new tasks and constraints imposed by solvency regulation, accounting standards, and legislation; evolving preferences of individual and policyholder expectations; and risk–return targets of investors in dynamic scenarios.

Actuarial mathematics, within which we find the first example of a quantitative formalization of economic activity, can provide substantial support to face such challenges, but appropriate models need to be developed or revised.

The purpose of this Special Issue is to collect contributions in this respect. Topics of interest include, but are not limited to, the following:

  • Longevity risk and mortality modeling;
  • New products in life insurance, providing protection, investment opportunities or post-retirement income;
  • Innovative risk management solutions for insured risks;
  • Assessments of insurance liabilities along new reporting rules;
  • Retention vs. insurance in personal risk management;
  • Key indicators, summarizing an organization’s risk profile and performance.

Prof. Dr. Annamaria Olivieri
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • longevity risk
  • mortality modeling
  • new life insurance products
  • annuity design
  • insurance risk management
  • new reporting standards
  • key risk and performance indicators

Published Papers (2 papers)

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Research

21 pages, 1107 KiB  
Article
New Classes of Distortion Risk Measures and Their Estimation
by
Jungsywan H. Sepanski
and
Xiwen Wang
Risks 2023, 11(11), 194; https://doi.org/10.3390/risks11110194 - 10 Nov 2023
Viewed by 462
Abstract
In this paper, we present a new method to construct new classes of distortion functions. A distortion function maps the unit interval to the unit interval and has the characteristics of a cumulative distribution function. The method is based on the transformation of [...] Read more.
In this paper, we present a new method to construct new classes of distortion functions. A distortion function maps the unit interval to the unit interval and has the characteristics of a cumulative distribution function. The method is based on the transformation of an existing non-negative random variable whose distribution function, named the generating distribution, may contain more than one parameter. The coherency of the resulting risk measures is ensured by restricting the parameter space on which the distortion function is concave. We studied cases when the generating distributions are exponentiated exponential and Gompertz distributions. Closed-form expressions for risk measures were derived for uniform, exponential, and Lomax losses. Numerical and graphical results are presented to examine the effects of the parameter values on the risk measures. We then propose a simple plug-in estimate of risk measures and conduct simulation studies to compare and demonstrate the performance of the proposed estimates. The plug-in estimates appear to perform slightly better than the well-known L-estimates, but also suffer from biases when applied to heavy-tailed losses. Full article
(This article belongs to the Special Issue Advancements in Actuarial Mathematics and Insurance Risk Management)
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32 pages, 714 KiB  
Article
A Three-Factor Market Model for Incorporating Explicit General Inflation in Non-Life Claims Reserving
by
Franco Moriconi
Risks 2023, 11(10), 174; https://doi.org/10.3390/risks11100174 - 07 Oct 2023
Viewed by 804
Abstract
In a recent paper “Stochastic Chain-Ladder Reserving with Modeled General Inflation”, the effects of modeled general inflation on non-life claims reserving were studied using, along with the so called “market approach”, a stochastic two-factor market model, characterized by deterministic expected inflation. In the [...] Read more.
In a recent paper “Stochastic Chain-Ladder Reserving with Modeled General Inflation”, the effects of modeled general inflation on non-life claims reserving were studied using, along with the so called “market approach”, a stochastic two-factor market model, characterized by deterministic expected inflation. In the present paper, we repeat the same study, again with the market approach, using a three-factor market model which extends the two-factor model by including stochastic expected inflation. After detailing the theoretical model and estimating the relevant parameters on the same market data used in “Stochastic Chain-Ladder Reserving with Modeled General Inflation”, we repeat the application to claims reserving presented in that paper and compare the results obtained with the two models. With these data, it is found that the inclusion of stochastic expected inflation produces a non-negligible increase in the reserve solvency capital requirement under the one-year view. Full article
(This article belongs to the Special Issue Advancements in Actuarial Mathematics and Insurance Risk Management)
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