Stochastic Modelling Of Actuarial Assumptions Using Chinese Data
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Stochastic Modelling Of Actuarial Assumptions Using Chinese Data
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Author : Fei Huang
language : en
Publisher:
Release Date : 2015
Stochastic Modelling Of Actuarial Assumptions Using Chinese Data written by Fei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
In this thesis, we develop stochastic economic and mortality models for actuarial use in China. Firstly, we conduct the first study of stochastic economic modelling with Chinese data for actuarial use. Univariate models, vector autoregression (VAR), and two cascade systems are described and compared. We focus on six major economic assumptions for modelling purposes. Granger causality tests are used to identify the driving force of a cascade system. Robust standard errors are estimated for each model. Diagnostic checking of residuals, goodness-of-fit measures and out-of-sample validations are applied for model selection. By comparing different models for each variable, we find that the equity-driving cascade system is the best structure for actuarial use in China. The forecasts of the variables could be applied as economic inputs to stochastic projection models of insurance portfolios or pension funds for short-term asset and liability cash flow forecasting. However, with the assumption that future trends will follow recent historical trends, this study could also be applied for long-term actuarial use. In addition, we project future mortality rates for actuarial use with Chinese data. The CMI (Continuous Mortality Investigation) Mortality Projections Model developed by the Institute and Faculty of Actuaries is applied for modelling purposes. The model adopts a convergence structure from "initial" to "long-term" rates of mortality improvement as the process of projection. The initial rates of mortality improvement are derived using a 2D P-Spline methodology, and are then decomposed into age/period and cohort components. Given the short history of Chinese data, the long-term rates of mortality improvement are determined by borrowing information from international experience. K-means clustering with Dynamic Time Warping (DTW) distance is used to classify populations, which is novel in the actuarial mortality research field. The original CMI approach is deterministic, however, in this paper we incorporate stochastic elements using techniques outlined by Koller (2011) and described by Browne et al. (2009). Comparing our results with a pure extrapolative approach, we find that the modified CMI Mortality Projections Model is more suitable for long-term projections in China. Further, we conduct the first study of long-term age-sex-specific mortality forecasting for subpopulations in different areas of China: cities, towns and counties using the modified CMI Mortality Projections Model. From the historical experience, we find that people in cities have lower mortality rates and higher mortality improvement rates than people in towns and counties for most ages. If this trend continues, the mortality of different areas will diverge further in the future. From the projection results, we find that there will be significant mortality and life expectancy differences between cities, towns and counties for both males and females. By conducting sensitivity analysis, we also find that the life expectancy differences could be reduced by incorporating higher long-term mortality improvement rates for towns and counties, or increasing the speed of convergence from ìnitial' to ̀long-term' mortality improvement rates for males in counties. Uncertainties are attached to the central estimates to overcome the limitations of the original CMI approach from which only deterministic results can be obtained.
Stochastic Economic Models For Actuarial Use
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Author : Fei Huang
language : en
Publisher:
Release Date : 2017
Stochastic Economic Models For Actuarial Use written by Fei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
In this paper, the first study of stochastic economic modelling with Chinese data is conducted for actuarial use. Univariate models, vector autoregression and two cascade systems (equity-driving cascade system and price-inflation-driving cascade system) are described and compared. We focus on six major economic assumptions for modelling purposes, which are price inflation rate, wage inflation rate, long-term interest rate, short-term interest rate, equity total return and bond total return. Granger causality tests are used to identify the driving force of a cascade system. Robust standard errors are estimated for each model. Diagnostic checking of residuals, goodness-of-fit measures and out-of-sample validations are applied for model selection. By comparing different models for each variable, we find that the equity-driving cascade system is the best structure for actuarial use in China. The forecasts of the variables could be applied as economic inputs to stochastic projection models of insurance portfolios or pension funds for short-term asset and liability cash flow forecasting.
Stochastic Modelling And Optimization With Applications To Actuarial Models
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Author : Mengdi Li
language : en
Publisher:
Release Date : 2012
Stochastic Modelling And Optimization With Applications To Actuarial Models written by Mengdi Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This thesis is devoted to Ruin Theory which sometimes referred to the collective ruin theory. In Actuarial Science, one of the most important problems is to determine the finite time or infinite time ruin probability of the risk process in an insurance company. To treat a realistic economic situation, the random interest factor should be taken into account. We first define the model with the interest rate and approximate the ruin probability for the model by the Brownian motion and develop several numerical methods to evaluate the ruin probability. Then we construct several models which incorporate possible investment strategies. We estimate the parameters from the simulated data. Then we find the optimal investment strategy with a given upper bound on the ruin probability. Finally we study the ruin probability for our class of models with the Heavy- Tailed claim size distribution.
Stochastic Modeling
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Author :
language : en
Publisher:
Release Date : 2010
Stochastic Modeling written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Proceedings Of The International Conference On Mathematical Sciences And Statistics 2022 Icmss 2022
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Author : Nadihah Wahi
language : en
Publisher: Springer Nature
Release Date : 2023-02-10
Proceedings Of The International Conference On Mathematical Sciences And Statistics 2022 Icmss 2022 written by Nadihah Wahi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-10 with Mathematics categories.
This is an open access book. The ICMSS2022 is an international conference jointly organised by the Department of Mathematics and Statistics, Faculty of Science, Universiti Putra Malaysia together with the Banasthali University, Jaipur, India. This international conference aims to give exposure and to bring together academicians, researchers and industry experts for intellectual growth. The ICMSS2022 serves as a platform for the scientific community members to exchange ideas and approaches, to present research findings, and to discuss current issues and topics related to mathematics, statistics as well as their applications. Objectives: to present the most recent discoveries in mathematics and statistics. to serve as a platform for knowledge and information sharing between experts from industries and academia. to identify and create potential collaboration among participants. The organising committee of ICMSS2022 welcomes all delegates to deliberate over various aspects related to the conference themes and sub-themes.
Regression Modeling With Actuarial And Financial Applications
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Author : Edward W. Frees
language : en
Publisher: Cambridge University Press
Release Date : 2010
Regression Modeling With Actuarial And Financial Applications written by Edward W. Frees and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.
Advances In Econometrics Operational Research Data Science And Actuarial Studies
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Author : M. Kenan Terzioğlu
language : en
Publisher: Springer Nature
Release Date : 2022-01-17
Advances In Econometrics Operational Research Data Science And Actuarial Studies written by M. Kenan Terzioğlu and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-17 with Business & Economics categories.
This volume presents techniques and theories drawn from mathematics, statistics, computer science, and information science to analyze problems in business, economics, finance, insurance, and related fields. The authors present proposals for solutions to common problems in related fields. To this end, they are showing the use of mathematical, statistical, and actuarial modeling, and concepts from data science to construct and apply appropriate models with real-life data, and employ the design and implementation of computer algorithms to evaluate decision-making processes. This book is unique as it associates data science - data-scientists coming from different backgrounds - with some basic and advanced concepts and tools used in econometrics, operational research, and actuarial sciences. It, therefore, is a must-read for scholars, students, and practitioners interested in a better understanding of the techniques and theories of these fields.
Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott
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Author : Samuel N Cohen
language : en
Publisher: World Scientific
Release Date : 2012-08-10
Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-10 with Mathematics categories.
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
Journal Of Actuarial Practice
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Author :
language : en
Publisher:
Release Date : 1998
Journal Of Actuarial Practice written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Insurance categories.
Managing Safety Of Heterogeneous Systems
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Author : Yuri Ermoliev
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-01-31
Managing Safety Of Heterogeneous Systems written by Yuri Ermoliev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-31 with Business & Economics categories.
Managing safety of diverse systems requires decision-making under uncertainties and risks. Such systems are typically characterized by spatio-temporal heterogeneities, inter-dependencies, externalities, endogenous risks, discontinuities, irreversibility, practically irreducible uncertainties, and rare events with catastrophic consequences. Traditional scientific approaches rely on data from real observations and experiments; yet no sufficient observations exist for new problems, and experiments are usually impossible. Therefore, science-based support for addressing such new class of problems needs to replace the traditional “deterministic predictions” analysis by new methods and tools for designing decisions that are robust against the involved uncertainties and risks. The new methods treat uncertainties explicitly by using “synthetic” information derived by integration of “hard” elements, including available data, results of possible experiments, and formal representations of scientific facts, with “soft” elements based on diverse representations of scenarios and opinions of public, stakeholders, and experts. The volume presents such effective new methods, and illustrates their applications in different problem areas, including engineering, economy, finance, agriculture, environment, and policy making.