From point to probabilistic gradient boosting for claim frequency and severity prediction [0.03%]
从点到概率梯度提升在索赔频次与严重程度预测中的应用
Dominik Chevalier,Marie-Pier Côté
Dominik Chevalier
Gradient boosting for decision tree algorithms are increasingly used in actuarial applications as they show superior predictive performance over traditional generalised linear models. Many enhancements to the first gradient boosting machine...
Manuel Hasenbichler,Wolfgang Müller,Stefan Thonhauser
Manuel Hasenbichler
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. (Int J Theor Appl Finance, 2022. https://doi.org/10.1142/S0219024922500054). Our novel approach embeds the mean-field m...
A systematic literature review on sustainability issues along the value chain in insurance companies and pension funds [0.03%]
关于保险业和养老基金价值链上的可持续性问题的系统文献回顾
Laura Iveth Aburto Barrera,Joël Wagner
Laura Iveth Aburto Barrera
Sustainability is now a priority issue that governments, businesses and society in general must address in the short term. In their role as major global institutional investors and risk managers, insurance companies and pension funds are st...
Dynamic surplus optimization with performance- and index-linked liabilities [0.03%]
具有业绩和指数挂钩负债的动态盈余优化问题研究
Sascha Desmettre,Markus Wahl,Rudi Zagst
Sascha Desmettre
The increasing importance of liability-driven investment strategies and the shift towards retirement products with lower guarantees and more performance participation provide challenges for the development of portfolio optimization framewor...
The only constant is change: opportunities and challenges for actuaries in a changing world [0.03%]
唯变所适： actuaries面对变革世界中的机遇与挑战
Frank Schiller,Jérôme Crugnola-Humbert
Frank Schiller
In a world threatened by climate warming and where Environmental, Social and Governance (ESG) issues are gaining increasing prominence, actuaries and other finance professionals need to adapt and support the transition to a more sustainable...
Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach [0.03%]
基于贝叶斯二维样条的死亡率改善率平滑投影方法研究
Xiaobai Zhu,Kenneth Q Zhou
Xiaobai Zhu
This paper proposes a spline mortality model for generating smooth projections of mortality improvement rates. In particular, we follow the two-dimensional cubic B-spline approach developed by Currie et al. (Stat Model 4(4):279-298, 2004), ...
Impact of rough stochastic volatility models on long-term life insurance pricing [0.03%]
粗糙随机波动率模型对长期寿险定价的影响
Jean-Loup Dupret,Jérôme Barbarin,Donatien Hainaut
Jean-Loup Dupret
The Rough Fractional Stochastic Volatility (RFSV) model of Gatheral et al. (Quant Financ 18(6):933-949, 2014) is remarkably consistent with financial time series of past volatility data as well as with the observed implied volatility surfac...
An incremental loss ratio method using prior information on calendar year effects [0.03%]
一种利用历年效应先验信息的增量损失比率方法
Ulrich Riegel
Ulrich Riegel
In a run-off triangle external factors can have a similar influence on all incremental losses of the same calendar year. This can distort the triangle such that reserving methods like chain ladder or the loss ratio method do not work proper...
Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks [0.03%]
基于新型混合模型和神经网络的小样本未决数量预测
Axel Bücher,Alexander Rosenstock
Axel Bücher
Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the Chain Ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potenti...
Discussion on "Exchangeable mortality projection" (Shapovalov et al.) [0.03%]
关于“可交换死亡率预测”的讨论（Shapovalov等人）
Alexandre Boumezoued
Alexandre Boumezoued