Hedging insurance books

Complex insurance risks typically have multiple exposures. If available, options on multiple underliers with a short maturity can be employed to hedge this exposure. More precisely, the present value of aggregate payouts is hedged using least squares, ask price minimization, and ask price minimization constrained to long only option positions. The proposed hedges are illustrated for hypothetical Variable Annuity contracts invested in the nine sector ETF’s of the US economy. We simulate the insurance accounts by simulating risk-neutrally the underliers by writing them as transformed correlated normals; the physical and risk-neutral evolution is taken in the variance gamma class as a simple example of a non-Gaussian limit law. The hedges arising from ask price minimization constrained to long only option positions delivers a least cost and most stable result.     

Assessing the solvency of insurance portfolios via a continuous-time cohort model

This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described via a continuous-time cohort model. We evaluate the effects of natural hedging strategies on the risk profile of an insurance portfolio in run-off. Numerical simulations, calibrated to UK historical data, show that systematic longevity risk is of particular importance and needs to be hedged. Natural hedging can improve the solvency of the insurer, if interest-rate risk is appropriately managed. We stress that asset allocation choices should not be independent of the composition of the liability portfolio of the insurer.     

Model points and Tail-VaR in life insurance

Often, actuaries replace a group of heterogeneous life insurance contracts (different age at policy issue, contract duration, sum insured, etc.) with a representative one in order to speed the computations. The present paper aims to homogenize a group of policies by controlling the impact on Tail-VaR and related risk measures.     

On a risk model with claim investigation

In this paper, a queue-based claims investigation mechanism is considered to model an insurer’s claim processing practices. The resulting risk model may be viewed as a first step in developing models with more realistic claim investigation mechanisms. Related to claim investigations, claim settlement delays and time dependent payments have been studied in a ruin context by, e.g. Taylor (1979), Cai and Dickson (2002), and Trufin et al. (2011). However, little has been done on queue-based investigation mechanisms. We first demonstrate the impact of a particular claim investigation system on some common ruin-related quantities when claims arrive according to a compound Poisson process, and investigation times are of a combination of exponential form. Probabilistic interpretations for the defective renewal equation components are also provided. Finally, via numerical examples, we explore various risk management questions related to this problem such as how claim investigation strategies can help an insurer control its activities within its risk appetite.     

Comparison of two algorithms for solving a two‐stage bilinear stochastic programming problem with quantile criterion

The paper is devoted to solving the two‐stage problem of stochastic programming with quantile criterion. It is assumed that the loss function is bilinear in random parameters and strategies, and the random vector has a normal distribution. Two algorithms are suggested to solve the problem, and they are compared. The first algorithm is based on the reduction of the original stochastic problem to a mixed integer linear programming problem. The second algorithm is based on the reduction of the problem to a sequence of convex programming problems. Performance characteristics of both the algorithms are illustrated by an example. A modification of both the algorithms is suggested to reduce the computing time. The new algorithm uses the solution obtained by the second algorithm as a starting point for the first algorithm. Copyright © 2015 John Wiley & Sons, Ltd.     

A lead-time based approach for planning rail–truck intermodal transportation of dangerous goods

The remarkable growth in intermodal transportation over the past two decades has not been matched by a comparable level of academic activity, especially in the context of transporting hazardous materials (hazmats). In this paper, we present a first attempt for the development of an analytical framework for planning rail–truck intermodal transportation of hazmats. A bi-objective optimization model to plan and manage intermodal shipments is developed. To represent the current practice, the routing decisions in the model are driven by the delivery-times specified by the customers. An iterative decomposition based solution methodology which takes advantage of the problem structure is provided. A realistic problem instance based on the intermodal service network in eastern US is solved. This framework is used for developing a number of managerial insights, and for generating elements of the risk-cost frontier.     

基于解卷积报告软件数据库的GC/MS方法快速确证玩具中160多种有毒有害有机物质

自主建立了基于解卷积报告软件的含有160多种有毒有害有机物质的数据库,作为标准的GC/MS数据库来确证化合物,不用1 min解卷积报告软件即可帮助确证谱图中隐藏的上述有毒有害有机物质.该方法已经在众多玩具有机化学安全检测项目中得到了应用,不仅在某检测项目目标化合物如禁用偶氮物质等确证方面全面优于目前基于GC/MS化学工...     

From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital

In this paper we raise the matter of considering a stochastic model of the surrender rate instead of the classical S-shaped deterministic curve (in function of the spread), still used in almost all insurance companies. For extreme scenarios, due to the lack of data, it could be tempting to assume that surrenders are conditionally independent with respect to a S-curve disturbance. However, we explain why this conditional independence between policyholders decisions, which has the advantage to be the simplest assumption, looks particularly maladaptive when the spread increases. Indeed the correlation between policyholders decisions is most likely to increase in this situation. We suggest and develop a simple model which integrates those phenomena. With stochastic orders it is possible to compare it to the conditional independence approach qualitatively. In a partially internal Solvency II model, we quantify the impact of the correlation phenomenon on a real life portfolio for a global risk management strategy.     

银屑病发病与饮食及生活习惯相关性的研究

目的通过分析银屑病发病与患者的饮食及生活习惯的关系,探讨银屑病的发病因素.方法对325例银屑病患者与325名健康人的饮食及生活习惯进行调查,调查所得的流行病学资料量化赋值后,使用单因素结合多因素logistic回归分析,找出可能引起或防止银屑病发生的影响因素.结果经常食用面粉(OR=2.214)、牛肉(OR=3.308)、羊肉(OR=2.145)、鱼虾(OR=1.952)、辣椒(OR=2.559)、洋葱(OR=1.519)、咸菜或酸菜(OR=1.752)及吸烟(OR=2.515)、饮酒(OR=2.205)、失眠(OR=1.502)、肥胖(OR=1.557)可能是银屑病发病的危险因素.经常食用大米(OR=0.422)、粗粮(OR=0.252)、蛋类(OR=0.459)、鲜奶(OR=0.576)、苹果(OR=0.650)、香蕉(OR=0.656)、芹菜(OR=0.515)、茄子(OR=0.652)可能对银屑病发病有一定的预防作用.结论饮食因素及吸烟、饮酒、失眠、肥胖等因素在寻常型银屑病的发生、发展中起重要作用.     

Do investors like to diversify? A study of Markowitz preferences

We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated in the literature. In particular, we observe that for Markowitz investors, preferences toward risk vary depending on their sensitivities toward gains and losses. For example, it turns out that, unlike in the case of risk-averse and risk-inclined investors, Markowitz investors might prefer investing their entire wealth in just one asset. This finding helps us to better understand some financial anomalies and puzzles, such as the well known diversification puzzle, which notes that some investors tend to concentrate on investing in only a few assets instead of choosing the seemingly more attractive complete diversification.