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An incremental loss ratio method using prior information on calendar year effects

Published in European Actuarial Journal

In a run-off triangle external factors can have a similar influence on all incremental losses of the same calendar year. This can distort the triangle such that reserving methods like chain ladder or the loss ratio method do not work properly. A very recent example of such an external factor is the Covid-19 pandemic. In many countries, the insuranc...

Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks

Published in European Actuarial Journal

Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the Chain Ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potentially useful additional claims information. A new approach based on a micro-level model for reporting delays in...

Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach.

Published in European actuarial journal

Participating longevity-linked life annuities (PLLA) in which benefits are updated periodically based on the observed survival experience of a given underlying population and the performance of the investment portfolio are an alternative insurance product offering consumers individual longevity risk protection and the chance to profit from the upsi...

Discussion on "Exchangeable mortality projection" (Shapovalov et al.).

Published in European actuarial journal

On the characteristics of reporting ADL limitations and formal LTC usage across Europe

Published in European Actuarial Journal

The increase in the proportion of elderly people in most industrialized countries triggers higher demand for long-term care (LTC) associated with limitations in activities of daily living (ADL). The aim of this research is to derive the drivers affecting the probability of reporting limitations in ADL and the probability of demanding formal LTC, e....

Life expectancy improvement for multiple cure distributions.

Published in European actuarial journal

In many circumstances, the increase in life expectancy when certain causes of death are eliminated is sought. These calculations are typically based on the assumption that the causes in question are simply omitted, which is equivalent to the causes being taken out of consideration, from the outset, with certainty. In this paper, we propose models w...

On a dividend problem with random funding

Published in European Actuarial Journal

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling dividends we use the common approach whereas for th...