Special Issue "Recent Development in Actuarial Science and Related Fields"

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

Deadline for manuscript submissions: closed (31 January 2019)

Special Issue Editors

Guest Editor
Prof. Dr. Hailiang Yang

Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong
Website | E-Mail
Interests: equity-linked insurance products; insurance risk models; optimal control and applications to finance and insurance; option pricing
Guest Editor
Prof. Dr. Dimitrios Konstantinides

Dept. Statistics and Actuarial – Financial Mathematics, University of the Aegean, Samos 811 00, Greece
Website | E-Mail
Interests: risk theory; actuarial science; macroeconomics

Special Issue Information

Dear Colleagues,

This Special Issue focuses on recent developments on insurance, finance and risk management. Topics include stochastic models in non-life insurance, risk management, life, health and pension insurance, risk and stochastic control, statistical and computational methods, financial theory and practice and quantitative finance. We encourage speakers at the 10th Conference in Actuarial Science and Finance on Samos to submit their papers to the Special Issue. Selected papers from this conference, subject to normal review process, will be included in this Special Issue. This Special Issue will provide a forum for state-of-the-art results on the topics and enhance the research on actuarial science and mathematical finance.

Prof. Dr. Hailiang Yang
Prof. Dr. Dimitrios Konstantinides
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, Health and Pension Insurance
  • Non-Life Insurance
  • Stochastic Models
  • Risk and Stochastic Control
  • Risk Management
  • Statistical and Computational Methods
  • Mathematical Finance and Finance Theory

Published Papers (3 papers)

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Research

Open AccessArticle Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems
Received: 31 March 2018 / Revised: 25 April 2018 / Accepted: 26 April 2018 / Published: 30 April 2018
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Abstract
There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of [...] Read more.
There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement increasing functions. This framework unifies many existing studies and provides shortcuts to developing new results. Full article
(This article belongs to the Special Issue Recent Development in Actuarial Science and Related Fields)
Open AccessArticle The Italian Pension Gap: A Stochastic Optimal Control Approach
Received: 29 March 2018 / Revised: 23 April 2018 / Accepted: 24 April 2018 / Published: 28 April 2018
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Abstract
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an [...] Read more.
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is target-based. We find that it is possible to cover, at least partially, this gap with the additional income of the pension scheme, especially in the presence of late retirement and in the presence of stagnant careers. Workers with dynamic careers and workers who retire early are those who are most penalised by the reform. Results are intuitive and in line with previous studies on the subject. Full article
(This article belongs to the Special Issue Recent Development in Actuarial Science and Related Fields)
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Open AccessArticle An Optimal Investment Strategy for Insurers in Incomplete Markets
Received: 23 February 2018 / Revised: 28 March 2018 / Accepted: 29 March 2018 / Published: 3 April 2018
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Abstract
In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic [...] Read more.
In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic factor and the remaining surplus in a bank account. The price of the risky asset and the economic factor are modeled by a system of correlated stochastic differential equations. In a finite horizon framework and assuming that the market is incomplete, we study the problem of maximizing the expected utility of terminal wealth. When the insurer’s preferences are exponential, an existence and uniqueness theorem is proven for the non-linear Hamilton-Jacobi-Bellman equation (HJB). The optimal strategy and the value function have been produced in closed form. In addition and in order to show the connection between the insurer’s decision and the correlation coefficient we present two numerical approaches: A Monte-Carlo method based on the stochastic representation of the solution of the insurer problem via Feynman-Kac’s formula, and a mixed Finite Difference Monte-Carlo one. Finally the results are presented in the case of Scott model. Full article
(This article belongs to the Special Issue Recent Development in Actuarial Science and Related Fields)
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