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

Deadline for manuscript submissions: closed (31 January 2019) | Viewed by 19601

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Special Issue Editors

Prof. Dr. Hailiang Yang

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Guest Editor

Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong
Interests: equity-linked insurance products; insurance risk models; optimal control and applications to finance and insurance; option pricing
Special Issues, Collections and Topics in MDPI journals

Prof. Dr. Dimitrios G. Konstantinides

E-Mail Website
Guest Editor

Department Statistics and Actuarial—Financial Mathematics, University of the Aegean, GR 83200 Samos, Greece
Interests: risk theory; actuarial science; macroeconomics
Special Issues, Collections and Topics in MDPI journals

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 10^th 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 submissions that pass pre-check are 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 monthly 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 1800 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 (5 papers)

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Research

23 pages, 907 KiB

Open AccessArticle

Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation

by Søren Asmussen, Bent Jesper Christensen and Julie Thøgersen

Risks 2019, 7(2), 49; https://doi.org/10.3390/risks7020049 - 01 May 2019

Cited by 6 | Viewed by 3822

Abstract

Two insurance companies

I_{1}, I_{2}

with reserves

R_{1} (t), R_{2} (t)

compete for customers, such that in a suitable differential game the smaller company

I_{2}

with [...] Read more.

Two insurance companies

I_{1}, I_{2}

with reserves

R_{1} (t), R_{2} (t)

compete for customers, such that in a suitable differential game the smaller company

I_{2}

with

R_{2} (0) < R_{1} (0)

aims at minimizing

R_{1} (t) - R_{2} (t)

by using the premium

p_{2}

as control and the larger

I_{1}

at maximizing by using

p_{1}

. Deductibles

K_{1}, K_{2}

are fixed but may be different. If

K_{1} > K_{2}

and

I_{2}

is the leader choosing its premium first, conditions for Stackelberg equilibrium are established. For gamma-distributed rates of claim arrivals, explicit equilibrium premiums are obtained, and shown to depend on the running reserve difference. The analysis is based on the diffusion approximation to a standard Cramér-Lundberg risk process extended to allow investment in a risk-free asset. Full article

(This article belongs to the Special Issue Recent Development in Actuarial Science and Related Fields)

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22 pages, 1350 KiB

Open AccessArticle

Credible Regression Approaches to Forecast Mortality for Populations with Limited Data

by Apostolos Bozikas and Georgios Pitselis

Risks 2019, 7(1), 27; https://doi.org/10.3390/risks7010027 - 26 Feb 2019

Cited by 4 | Viewed by 3393

Abstract

In this paper, we propose a credible regression approach with random coefficients to model and forecast the mortality dynamics of a given population with limited data. Age-specific mortality rates are modelled and extrapolation methods are utilized to estimate future mortality rates. The results on Greek mortality data indicate that credibility regression contributed to more accurate forecasts than those produced from the Lee–Carter and Cairns–Blake–Dowd models. An application on pricing insurance-related products is also provided. Full article

(This article belongs to the Special Issue Recent Development in Actuarial Science and Related Fields)

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Figure 1

12 pages, 268 KiB

Open AccessArticle

Properties of Stochastic Arrangement Increasing and Their Applications in Allocation Problems

by Wei Wei

Risks 2018, 6(2), 49; https://doi.org/10.3390/risks6020049 - 30 Apr 2018

Viewed by 2740

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.

(This article belongs to the Special Issue Recent Development in Actuarial Science and Related Fields)

20 pages, 2507 KiB

Open AccessArticle

The Italian Pension Gap: A Stochastic Optimal Control Approach

by Alessandro Milazzo and Elena Vigna

Risks 2018, 6(2), 48; https://doi.org/10.3390/risks6020048 - 28 Apr 2018

Viewed by 4303

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 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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Figure 1

23 pages, 1008 KiB

Open AccessArticle

An Optimal Investment Strategy for Insurers in Incomplete Markets

by Mohamed Badaoui, Begoña Fernández and Anatoliy Swishchuk

Risks 2018, 6(2), 31; https://doi.org/10.3390/risks6020031 - 03 Apr 2018

Cited by 3 | Viewed by 3369

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 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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