2021 January - 27 articles
The main aim of the article is to evaluate determinants of demand for private long-term care insurance in Poland. Since this type of insurance is not (yet) offered on the market, the demand was examined through a survey in which respondents declared...
In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry. Two strategies of adjusting...
A large body of literature on the favorite–longshot bias finds that sports bettors in a variety of markets appear to have irrational biases toward either longshots (which offer a small chance of winning a large amount of money) or favorites (wh...
Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243–1263, we studied the weak error of discretization schemes for th...
Investments in security and cyber-insurance are two cyber-risk management strategies that can be employed together to optimize the overall security expense. In this paper, we provide a closed form for the optimal investment under a full set of insura...
The assignment problem (AP) is a discrete and combinatorial problem where agents are assigned to perform tasks for efficiency maximization or cost (time) minimization. AP is a part of human resource project management (HRPM). The AP optimization mode...
The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the het...
The role of financial technology companies increases every day. From one side this process generates more possibilities for consumers from other side it is related with new risks which arise in banking sector. At the beginning of FinTech era lots of...
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical techniques to prevent model overfitting such as out-sample backtesting turn out to be unreliabl...
This article presents the Exponential–Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of...
The risks associated with global supply chain management has created a discourse among practitioners and academics. This is evident by the business uncertainties growing in supply chain management, which pose threats to the entire network flow and ec...
Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the...
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time serie...
Legislation imposes insurance companies to project their assets and liabilities in various financial scenarios. Within the setup of with-profit life insurance, we consider retrospective reserves and bonus, and we study projection of balances with and...
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the mode...
Forecasting survival probabilities and life expectancies is an important exercise for actuaries, demographers, and social planners. In this paper, we examine extensively a number of link functions on survival probabilities and model the evolution of...
Different types of natural events hit the United States every year. The data of natural hazards from 1900 to 2016 in the US shows that there is an increasing trend in annul natural disaster losses after 1980. Climate change is recognized as one of th...
The issue of economic security is becoming an increasingly urgent one. The purpose of this article is to develop a method for assessing threats to the economic security of the Russian region. This method is based on step-by-step actions: first of all...
Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five im...
The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on th...
One crucial task of actuaries is to structure data so that observed events are explained by their inherent risk factors. They are proficient at generalizing important elements to obtain useful forecasts. Although this expertise is beneficial when pai...
Many countries around the world are resorting to mandatory funded components in their multi-pillar pension systems with the purpose of catering for the financial pressure from ageing. This paper aims at analysing the possible replacement rates for su...
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the...
In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial valuation of insurance plans providing healthcare and death benefits. The core of our approach relies on a deterministic model that is...
In the past 25 years, computer scientists and statisticians developed machine learning algorithms capable of modeling highly nonlinear transformations and interactions of input features. While actuaries use GLMs frequently in practice, only in the pa...
In this paper, we examine the impact of investors’ attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020,...
The global nature of the Czech economy means that quantitative knowledge of the influence of the exchange rate provides useful information for all participants in the international economy. Systematic and academic research show that the issue of esti...
