Insurance research shares its toolkit with trading research — risk measures, stochastic control, extreme-value statistics — but asks different questions: how to price a liability whose payoff is a claim rather than a market quote, how to share risk between insurer, reinsurer, and policyholder, how to fund annuities when people live longer than the tables said, and how much capital keeps the firm solvent at a regulatory confidence level. Papers here range from premium-principle theory to catastrophe-bond pricing and pension-fund asset allocation.
Read with two filters. First, which data the paper touches: actuarial work often validates on simulated claim processes, so a paper that fits real loss or mortality data earns its rigor score. Second, which regulatory frame it assumes — Solvency II, Swiss Solvency Test, or risk-based capital rules change the risk measure, the horizon, and the answer. Risk-measure theory with insurance motivation also lives in the Risk Management hub; the two overlap on purpose.
Related hubs: Risk Management & Tail Risk, Stochastic Control & Optimal Stopping, Fixed Income & Interest Rates.
In this paper, we generalise the results presented in the literature for the ruin probability for the insurer–reinsurer model under a pro-rata reinsurance contract. We consider claim amounts that are described by a phase-type distribution that includes exponential, mixture of exponential, Erlang, a
The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power – in particular in the context of group experience rating. The inclusion of collective health claims leads to a computationally challenging many-body pro
Currently, there is a lot of research in the field of neural networks for non-life insurance pricing. The usual goal is to improve the predictive power via neural networks while building upon the generalized linear model, which is the current industry standard. Our paper contributes to this current
The emergence of price comparison websites (PCWs) has presented insurers with unique challenges in formulating effective pricing strategies. Operating on PCWs requires insurers to strike a delicate balance between competitive premiums and profitability, amidst obstacles such as low historical conver
We provide a survey of how techniques developed for the modelling of extremes naturally matter in insurance, and how they need to and can be adapted for the insurance applications. Topics covered include truncation, tempering, censoring and regression techniques. The discussed techniques are illustr
In this paper, we propose an alternative valuation approach for CAT bonds where a pricing formula is learned by deep neural networks. Once trained, these networks can be used to price CAT bonds as a function of inputs that reflect both the current market conditions and the specific features of the c
In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPSs involving cross-currency reference portfolios, reflecting the realities of investor asset diversification across diffe
Climate change not only threatens agricultural producers but also strains related public agencies and financial institutions. These important food system actors include government entities tasked with insuring grower livelihoods and supporting response to continued global warming. We examine future
Quantitative markets are characterized by swift dynamics and abundant uncertainties, making the pursuit of profit-driven stock trading actions inherently challenging. Within this context, reinforcement learning (RL), which operates on a reward-centric mechanism for optimal control, has surfaced as a
Accuracy and interpretability of a (non-life) insurance pricing model are essential qualities to ensure fair and transparent premiums for policy-holders, that reflect their risk. In recent years, the classification and regression trees (CARTs) and their ensembles have gained popularity in the actuar
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed minimum maturity and death benefits to protect against the downside risk. Unlike the existing literature, our variable a
Rendering fair prices for financial, credit, and insurance products is of ethical and regulatory interest. In many jurisdictions, discriminatory covariates, such as gender and ethnicity, are prohibited from use in pricing such instruments. In this work, we propose a discrimination-insensitive pricin
We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump times by an amount proportional to the mark. The resulting state
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of deaths between two consecutive integer values. This incompleten
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess and iteratively improve asset and liability management polic
In insurance fraud prediction, handling class imbalance remains a critical challenge. This paper presents a novel multistage focal loss function designed to enhance the performance of machine learning models in such imbalanced settings by helping to escape local minima and converge to a good solutio
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic symmetric than de Finetti’s exchangeability, characterized by t
Empirical studies with publicly available life tables identify long-range dependence (LRD) in national mortality data. Although the longevity market is supposed to benchmark against the national force of mortality, insurers are more concerned about the forces of mortality associated with their own p
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new class of risk measures, termed multi-asset return risk measures (MARRMs), introduces a novel economic model for multiplic
Nowadays insurers have to account for potentially complex dependence between risks. In the field of loss reserving, there are many parametric and non-parametric models attempting to capture dependence between business lines. One common approach has been to use additive background risk models (ABRMs)