Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
problem Decreasing capital guarantees in life insurance products.
method Dynamic investment-reinsurance optimization problem with simultaneous Value-at-Risk and no-short-selling constraints. Introduced guarantee-equivalent utility gain for comparison.
result Optimally managed reinsurance allows insurers to offer higher capital guarantees without reducing expected utility.
Study optimal investment-reinsurance strategies in equity-linked insurance products using Stackelberg game theory.
problem Optimizing investment and reinsurance strategies in equity-linked insurance products with capital guarantees.
method Modelled as a Stackelberg game where reinsurer acts as leader and insurer as follower, with general utility functions and power utility functions analyzed.
result Derive Stackelberg equilibrium for general utility functions and calculate it explicitly for power utility functions, finding reinsurer optimizes premium to incentivize maximal reinsurance purchase.
Bayesian MS-VAR model for pricing equity-linked life insurance products.
problem Pricing and hedging equity-linked life insurance products on maximum of several assets.
method Introduces Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process to model economic variables and insured's lifetime.
result Obtains net single premiums and hedging formulas for equity-linked life insurance products.
Develops a unified framework for valuing insurance products with guarantees.
problem Valuing insurance products with guarantees in an affine setting.
method General affine approach to model financial markets, mortality, and policyholder behavior.
result Explicit valuation formulas for variable annuities and related contracts derived.
Study compares ruin probabilities under independence vs. dependence assumptions.
problem Underestimation of ruin probability when claims are dependent.
method Copulas for claim dependence analysis, sensitivity analysis.
result Dependent claims lead to underestimation of ruin probability.
Extends insurance-finance arbitrage concept to include model uncertainty.
problem Evaluating hybrid insurance products in uncertain financial markets.
method Introduces robust asymptotic insurance-finance arbitrage and QP-evaluations. result No robust asymptotic insurance-finance arbitrage exists under certain conditions.
This paper analyzes P2P collaborative insurance products and network structure impact.
problem Analyzing P2P collaborative insurance products and their network structure impact.
method Examined a P2P insurance product with reciprocal risk sharing contracts, studied network structure impact on risk reduction, and discussed optimal reciprocal commitments.
result The network structure, particularly the distribution of degrees, significantly impacts risk reduction in P2P insurance products.
This paper develops a valuation model for private companies.
problem Lack of pricing and hedging models for private companies.
method Dynamic Gordon growth model, Maximum Likelihood (ML) estimators, Expectation Maximization (EM) algorithm.
result Closed-form pricing and hedging formulas for private companies.
Paper models demand and solvency for index insurance, combining traditional and measurable index-based coverage.
problem Reducing protection gaps for emerging risks.
method Develops a model for demand and solvency conditions, combining traditional and index-based insurance.
result Deduces a product that benefits from both traditional and index-based insurance approaches.
Develops a Bonus-Malus model for cyber risk insurance to incentivize cybersecurity.
problem Lack of effective insurance strategies to incentivize cybersecurity.
method Proposes a Bonus-Malus model and a mathematical model with a numerical algorithm.
result Demonstrates how a Bonus-Malus system resolves moral hazard and benefits the insurer.
This paper aims to optimize incident-specific cyber insurance design.
problem Complexity in determining optimal risk retention and transfer.
method Economic foundation for incident-specific cyber insurance with Pareto optimality.
result Illustrates feasibility of designing incident-specific indemnities for both parties.
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a compact state space. Such a model guarantees not only the positivity of the OIS short …
Federated learning calibrates insurance indices from renewable energy producers' data.
problem Calibrating parametric insurance indices under heterogeneous renewable energy production losses.
method Federated learning framework using Tweedie GLMs and distributed optimization.
result Federated learning recovers comparable index coefficients under moderate heterogeneity.
The study examines how formal index insurance compares to informal risk sharing in managing natural disasters.
problem The challenges of natural disasters and the effectiveness of index insurance in risk management.
method A three-strategy evolutionary game model to analyze the competitive relationship between formal index insurance, informal risk sharing, and non-insurance.
result Basis risk and loss ratio significantly impact the adoption rate of index insurance, with different strategies preferred under varying conditions.
Unified framework for fair pricing in long-term insurance products.
problem Unclear generalization of fair pricing methods to long-term products.
method Reformulate multi-state transition models as Poisson regression problems.
result Direct application of existing fair pricing methods to long-term insurance products.
Framework for realistic insurance liability valuation.
problem Economic realism in insurance liability valuation.
method Replication approach of no-arbitrage theory, considering capital and fulfillment conditions.
result Identifies conditions for market price recovery and extends production for insolvency.
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize her/his expected total d…
The paper models SaaS products as insurance, offering new pricing tools.
problem Modeling capped-usage SaaS products with insurance principles.
method Frequency-severity decomposition, premium calculation, Monte Carlo simulations.
result SaaS pricing can be analyzed using insurance actuarial methods.
In this paper we study a class of insurance products where the policy holder has the option to insure k of its annual Operational Risk losses in a horizon of T years. This involves a choice of k out of T years in which to apply the insurance policy coverage by making claims against losses in the given year. The…
The paper analyzes multivariate payments in multi-state life insurance using Markovian state processes.
problem Analyzing joint effects of life annuities and death benefits in a multi-state framework.
method Introduces multivariate present value of future payments, derives differential equations and moment generating functions, and focuses on pair-wise covariances.
result Derives Hattendorff type results for pair-wise covariances in a disability model.
It is illustrated a methodology to compute the pure premium for the automobile insurance (claim frequency and severity) using generalized linear models. It is obtained the pure premium for the partial damage loss cover (PPD) using a set of automobile insurance policies with an exposition of a year. It is found that the…
This paper maps the insurability of AI risks across various insurance products.
problem Emerging AI risks and their implications for insurance coverage.
method Coding 55 AI threat classes against 26 insurance products using public carrier materials and threat catalogs.
result Identification of a four-tier insurability frontier: affirmatively insured, silent-AI exposures, actively excluded, and unstructured perils.
Method proposed for pricing insurance products covering both foreseeable and unforeseeable risks.
problem Pricing insurance products that include unforeseeable risks.
method Mixed Poisson process with Bayesian setup and linear exponential family distributions.
result Bayesian premiums are more reactive to claim trends than traditional ones.
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based on some profit level. In this respect, we consider the competition in the market…
Subsidized insurance reduces poverty by providing social benefits and lowering government costs.
problem Reducing poverty through effective social protection mechanisms.
method Modeling household capital dynamics under four insurance frameworks (uninsured, insured, insured with subsidies, insured with flexible premiums) to assess poverty reduction and governmental costs.
result Subsidized insurance schemes provide maximum social benefits while reducing governmental costs, effectively reducing poverty.
This note fills the gap in market-consistent valuation of lifelong health insurance products.
problem Market-consistent valuation of lifelong health insurance products is not well-addressed.
method Constructs a valuation portfolio to separate Best Estimate into policy data and financial instrument prices.
result The Best Estimate valuation is not uniquely determined by prevailing term structures and requires a stochastic model.
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from selling a new insurance product. We develop two pricing models: an adaptive Generalized Linear Model (GLM) and an adaptive …
This paper explores how insurance contracts can be traded in financial markets.
problem The exclusion of arbitrage in insurance contracts due to their non-tradability.
method Defining strategies on insurance portfolios and combining them with financial trading strategies.
result The existence of an insurance-finance-consistent probability, leading to the expected discounted cash-flows.
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a group of people are independent. However, extensive research over the past decades …
Detects organized fraudsters in insurance claims with high precision.
problem Fraudulent insurance claims lead to heavy financial losses.
method Developed a novel data-driven procedure using graph learning algorithms.
result Achieves more than 80% precision in fraud detection.
The paper evaluates joint life insurance risk under dependence uncertainty using copulas and convex risk measures.
problem Evaluating risk of joint life insurance products under uncertainty in dependence structure.
method Monotonicity of risk evaluation with concordance order, linear programming for bounds, and numerical analysis.
result Bounds for mean, Value-at-Risk, and Expected Shortfall computed using linear programs.
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of the optimal intertemporal risk allocation by a first order condition. Applying t…
This paper explores NLP techniques for insurance, detailing methods and applications.
problem Extracting value from insurance reports using complex text data.
method Detailed explanation of NLP methods and their implementation in insurance.
result Enhanced risk monitoring and policyholder benefits through NLP.
The option is a financial derivative, which is regularly employed in reducing the risk of its underlying securities. However, investing in option is still risky. Such risk becomes much severer for speculators who utilize option as a means of leverage to increase their potential returns. In order to mitigate risk on the…
InfDetect detects e-commerce insurance fraud using graph analysis.
problem Detecting fraudulent claims in e-commerce insurance with multiple parties involved.
method Developed a large-scale fraud detection system InfDetect using graph-based approaches.
result InfDetect successfully detected thousands of fraudulent claims and saved money daily.
This paper emphasizes model transparency and interpretation in insurance.
problem Ensuring models do not discriminate and are explainable.
method Exploring tools to control actuarial models using machine learning.
result Interpretability methods can adapt explanations to different audiences.
Climate change is widely expected to increase weather related damage and the insurance claims that result from it. This will increase insurance premiums, in a way that is independent of a customer's contribution to the causes of climate change. Insurance provides a financial mechanism that mitigates some of the consequ…
As part of the new regulatory framework of Solvency II, introduced by the European Union, insurance companies are required to monitor their solvency by computing a key risk metric called the Solvency Capital Requirement (SCR). The official description of the SCR is not rigorous and has lead researchers to develop their…
Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high enough. Here we consider a special case of VA with high-water mark feature and Gua…
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to find the value of key risk metrics for a large portfolio of VA products. In practice, many companies rely on nested Mon…
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.A.O), the insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rated when the policy matures. Both …
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fees are charged respectively for the market exposure and for the protect…
The study designs a green investment fund and a hedging strategy for insurance policies linked to it.
problem Hedging unit-linked life insurance policies with an environmentally sensitive investment fund.
method Developed a carbon-intensity-driven portfolio selection rule and a quadratic hedging approach.
result The hedging strategy minimizes the variance of hedging costs, as demonstrated through numerical analysis.
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
New EPS insurance offers partial protection against superannuation losses.
problem Lack of efficient investment insurance for superannuation holders.
method Developed a new financial derivative, equity protection swap (EPS), and derived a fair pricing formula.
result EPS can be an efficient investment insurance tool for superannuation accounts.
Machine learning models outperform traditional actuarial methods in predicting health insurance costs.
problem Improving accuracy in health insurance pricing to identify concession opportunities.
method Developed and evaluated two machine learning models at the patient and employer-group levels.
result Machine learning models outperformed traditional actuarial models by 20% in predicting costs.
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is required to make a series of payments starting at an agreed upon date. For a higher premium, many insurance companies offer…
Paper studies pricing and hedging of nonreplicable insurance contracts using benchmark-neutral approach.
problem Pricing and hedging of long-term insurance contracts like variable annuities.
method Benchmark-neutral pricing framework using stock growth optimal portfolio as numéraire.
result Prices can be significantly lower than risk-neutral ones, offering attractive long-term risk-management.