Special Issue "New Perspectives in Actuarial Risk Management"

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 31 July 2019

Special Issue Editors

Guest Editor
Prof. Dr. Valeria D'Amato

Department of Economics and Statistics DISES, Università degli Studi di Sale, Fisciano, Italy
Website | E-Mail
Guest Editor
Prof. Dr. Marilena Sibillo

University of Salerno, 84084 Fisciano SA, Italy
Website | E-Mail

Special Issue Information

Dear Colleagues,

The key themes of "UNISActuarial SCHOOL 2018" will be new perspectives in actuarial risk management.

The business world faces multiple challenges and greater uncertainty in a volatile economic environment. In particular, the aging population and increases in longevity have drawn attention to the management of the longevity risk in governments, pension funds, life insurers and health insurers, according to the guidelines stated by international accounting and solvency authorities.

In light of these considerations, the risks need to be identified and managed under professional guidance, underpinned by a toolbox of real-world models and bespoke solutions. Successful companies rely on actuarial foundations to understand longer risk exposures in order to effectively and efficiently manage those risks.

In this context, this Special Issue focuses on the social sciences applied to the main topics related to the life insurance field, by means a quantitative approach. Therefore, it solicits high-quality papers for a wide range of actuarial topics:

- Insurance
- Insurance products and contractual innovations
- Stochastic modelling of extremal events in insurance and finance
- Aggregation of risk measures
- Longevity risk
- Solvency analysis
- Retirement planning
- Risk management
- Pensions, etc

Prof. Dr. Valeria D'Amato
Prof. Dr. Marilena Sibillo

Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 350 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Life insurance

  • Longevity

  • Actuarial valuations

  • Solvency

  • Contractual innovations

Published Papers (3 papers)

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Research

Open AccessArticle Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?
Received: 19 March 2018 / Revised: 14 June 2018 / Accepted: 22 June 2018 / Published: 2 July 2018
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Abstract
Pension funds, which manage the financing of a large share of global retirement schemes, need to invest their assets in a diversified manner and over long durations while managing interest rate and longevity risks. In recent years, a new type of investment has [...] Read more.
Pension funds, which manage the financing of a large share of global retirement schemes, need to invest their assets in a diversified manner and over long durations while managing interest rate and longevity risks. In recent years, a new type of investment has emerged, that we call a longevity megafund, which invests in clinical trials for solutions against lifespan-limiting diseases and provides returns positively correlated with longevity. After describing ongoing biomedical developments against ageing-related diseases, we model the needed capital for pension funds to face longevity risk and find that it is far above current practices. After investigating the financial returns of pharmaceutical developments, we estimate the returns of a longevity megafund. Combined, our models indicate that investing in a longevity megafund is an appropriate method to significantly reduce longevity risk and the associated economic capital need. Full article
(This article belongs to the Special Issue New Perspectives in Actuarial Risk Management)
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Open AccessArticle Risk Aversion, Loss Aversion, and the Demand for Insurance
Received: 27 March 2018 / Revised: 18 May 2018 / Accepted: 22 May 2018 / Published: 25 May 2018
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Abstract
In this paper we analyze insurance demand when the utility function depends both upon final wealth and the level of losses or gains relative to a reference point. Besides some comparative statics results, we discuss the links with first-order risk aversion, with the [...] Read more.
In this paper we analyze insurance demand when the utility function depends both upon final wealth and the level of losses or gains relative to a reference point. Besides some comparative statics results, we discuss the links with first-order risk aversion, with the Omega measure, and with a tendency to over-insure modest risks that has been been extensively documented in real insurance markets. Full article
(This article belongs to the Special Issue New Perspectives in Actuarial Risk Management)
Open AccessArticle On Two Mixture-Based Clustering Approaches Used in Modeling an Insurance Portfolio
Received: 7 March 2018 / Revised: 24 April 2018 / Accepted: 14 May 2018 / Published: 17 May 2018
Cited by 1 | PDF Full-text (373 KB) | HTML Full-text | XML Full-text
Abstract
We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal variables, and the former is [...] Read more.
We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal variables, and the former is for modeling losses as a function of mixed-type of covariates. The article extends the idea of mixture modeling to a multivariate classification for the purpose of testing unobserved heterogeneity in an insurance portfolio. The application of both methods is illustrated on a well-known French automobile portfolio, in which the model fitting is performed using the expectation-maximization (EM) algorithm. Our findings show that these mixture-based clustering methods can be used to further test unobserved heterogeneity in an insurance portfolio and as such may be considered in insurance pricing, underwriting, and risk management. Full article
(This article belongs to the Special Issue New Perspectives in Actuarial Risk Management)
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