Download or read book Stochastic Modelling of Actuarial Assumptions Using Chinese Data written by Fei Huang and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stochastic Economic Models for Actuarial Use written by Fei Huang and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stochastic Systematic Mortality Risk Modeling Under Collateral Data and Actuarial Applications written by Joab Onyango Odhiambo and published by Eliva Press. This book was released on 2023-03-26 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many actuaries worldwide use Systematic Mortality Risk (SMR) to value actuarial products such as annuities and assurances sold to policyholders. Data availability plays an essential role in ascertaining the SMR models' accuracy, and it varies from one country to another. Incorrect stochastic modeling of SMR models due to paucity of data has been a problem for many Sub-Saharan African countries such as Kenya, thus prompting modifications of the classical SMR models used in those countries with limited data availability. This study aimed at modelling SMR stochastically under the collateral data environment such as Sub-Saharan African countries like Kenya and then apply it in the current actuarial valuations. This book has formulated novel stochastic mortality risk models under the collateral data setup. Kenya population data is preferably integrated into the commonly applied stochastic mortality risk models under a 3-factor unitary framework of age-time-cohort. After testing SMR models on the Kenyan data to assess their behaviours, we incorporate the Bühlmann Credibility Approach with random coefficients in modeling. The randomness of the classical SMR models was modeled as NIG distribution instead of Normal distribution due to data paucity in Kenya (use of collateral data environment). The Deep Neural Network (DNN) technique solved data paucity during the SMR model fitting and forecasting. The forecasting performances of the SMR models were done under DNN and, compared with those from conventional models, show powerful empirical illustrations in their precision levels. Numerical results showed that SMR models become more accurate under collateral data after incorporating the BCA with NIG assumptions. The Actuarial valuation of annuities and assurances using the new SMR offered much more accurate valuations when compared to those under classical models. The study's findings should help regulators such as IRA and RBA make policy documents that protect all stakeholders in Kenya's insurance, social protection firms, and pension sectors.
Download or read book Actuarial Science written by Hanji Shang and published by World Scientific. This book was released on 2006 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since actuarial education was introduced into China in the 1980s, Chinese scholars have paid greater attention to the theoretical research of actuarial science. Professors and industry experts from well-known universities in China recently worked together on the project ?Insurance Information Processing and Actuarial Mathematics Theory and Methodology?, which was supported by the Chinese government. Summarizing what they achieved, this volume provides a study of some basic problems of actuarial science, including risk models, risk evaluation and analysis, and premium principles. The contributions cover some new applications of probability and statistics, fuzzy mathematics and financial economics to the field of actuarial practices. Discussions on the new insurance market in China are also presented.
Download or read book Regression Modeling with Actuarial and Financial Applications written by Edward W. Frees and published by Cambridge University Press. This book was released on 2010 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.
Download or read book Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 ICMSS 2022 written by Nadihah Wahi and published by Springer Nature. This book was released on 2023-02-10 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Advances in Econometrics Operational Research Data Science and Actuarial Studies written by M. Kenan Terzioğlu and published by Springer Nature. This book was released on 2022-01-17 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Journal of Actuarial Practice written by and published by . This book was released on 1998 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Managing Safety of Heterogeneous Systems written by Yuri Ermoliev and published by Springer Science & Business Media. This book was released on 2012-01-31 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition written by Nicolas Privault and published by World Scientific. This book was released on 2021-09-02 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1084 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Conference on Industrial Engineering and Management Science 2013 written by Dr. X. Chen, and published by DEStech Publications, Inc. This book was released on 2013-10-16 with total page 1399 pages. Available in PDF, EPUB and Kindle. Book excerpt: ICIEMS 2013 is to provide a platform for researchers, engineers, academicians as well as industrial professionals from all over the world to present their research results and development activities in Industrial Engineering and Management Science. This conference provides opportunities for the delegates to exchange new ideas and experiences face to face, to establish business or research relations and to find global partners for future collaboration.
Download or read book North American Actuarial Journal written by and published by . This book was released on 1997 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Biotechnology Agriculture Environment and Energy written by Fangli Zheng and published by CRC Press. This book was released on 2014-11-18 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2014 International Conference on Biotechnology, Agriculture, Environment and Energy (ICBAEE 2014) was held May 22-23, 2014 in Beijing, China. The objective of ICBAEE 2014 was to provide a platform for researchers, engineers, academics as well as industry professionals from all over the world to present their research results and development act
Download or read book Longitudinal and Panel Data written by Edward W. Frees and published by Cambridge University Press. This book was released on 2004-08-16 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to foundations and applications for quantitatively oriented graduate social-science students and individual researchers.
Download or read book Current Index to Statistics Applications Methods and Theory written by and published by . This book was released on 1999 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
