Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Daniel H. Alai"'
Publikováno v:
Risks, Vol 7, Iss 2, p 61 (2019)
Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the a
Externí odkaz:
https://doaj.org/article/8b83e32ed3044d5fae8539217358b87a
Publikováno v:
North American Actuarial Journal. 22:161-181
Socioeconomic groups may be exposed to varying levels of mortality; this is certainly the case in the United Kingdom, where the gaps in life expectancy, differentiated by socioeconomic circumstances, are widening. The reasons for such diverging trend
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03b87caa0986da41839c9bebb18c6a5f
https://doi.org/10.1080/10920277.2017.1377621
https://doi.org/10.1080/10920277.2017.1377621
Autor:
Daniel H. Alai
We consider a general form of a multivariate lifetime model in which dependence is induced via a common shock component. The univariate marginal distributions come from the well-known and widely applied exponential dispersion family that includes the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9d9021b426c24edb1a722fac40af419
Autor:
Zinoviy Landsman, Daniel H. Alai
We study a family of distributions generated from multiply monotone functions that includes a multivariate Pareto and, previously unidentified, exponential-Pareto distribution. We utilize an established link with Archimedean survival copulas to provi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::707b61b574985b15eee5353e2b982c5a
Publikováno v:
Annals of Actuarial Science, vol. 9, no. 1, pp. 167-186
Changes in underlying mortality rates significantly impact insurance business as well as private and public pension systems. Individual mortality studies have data limitations; aggregate mortality studies omit many relevant details. The study of caus
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2f8218f993bb3893fec99b2b52cd2ff
https://doi.org/10.1017/s174849951400027x
https://doi.org/10.1017/s174849951400027x
Publikováno v:
North American Actuarial Journal. 18:217-241
Equity release products are sorely needed in an ageing population with high levels of home ownership. There has been a growing literature analyzing risk components and capital adequacy of reverse mortgages in recent years. However, little research ha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0b6b21eb6181247e18434fc8f236bc41
https://doi.org/10.1080/10920277.2014.882252
https://doi.org/10.1080/10920277.2014.882252
Publikováno v:
Insurance: Mathematics and Economics. 52:542-549
Systematic improvements in mortality increases dependence in the survival distributions of insured lives, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving. Systematic longevity risk also u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d222f041aa56428fc59bb2a90eb7f4f3
https://doi.org/10.1016/j.insmatheco.2013.03.011
https://doi.org/10.1016/j.insmatheco.2013.03.011
Autor:
Michael Sherris, Daniel H. Alai
Publikováno v:
Scandinavian Actuarial Journal. 2014:208-227
Longevity risk arising from uncertain mortality improvement is one of the major risks facing annuity providers and pension funds. In this article, we show how applying trend models from non-life claims reserving to age-period-cohort mortality trends
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61016562cae0333db038572d9ae59436
https://doi.org/10.1080/03461238.2012.676563
https://doi.org/10.1080/03461238.2012.676563
Publikováno v:
Annals of Actuarial Science. 5:7-17
We revisit the stochastic model of Alai et al. (2009) for the Bornhuetter-Ferguson claims reserving method, Bornhuetter & Ferguson (1972). We derive an estimator of its conditional mean square error of prediction (MSEP) using an approach that is base
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::10f4e9370b5322dfe9b6832c0a8b0346
https://doi.org/10.1017/s1748499510000023
https://doi.org/10.1017/s1748499510000023
Autor:
Mario V. Wüthrich, Daniel H. Alai
Publikováno v:
ASTIN Bulletin. 39:453-477
The use of generalized linear models (GLM) to estimate claims reserves has become a standard method in insurance. Most frequently, the exponential dispersion family (EDF) is used; see e.g. England, Verrall. We study the so-called Tweedie EDF and test
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc77ebba28f6ae93f8ef75987e591007
https://doi.org/10.2143/ast.39.2.2044643
https://doi.org/10.2143/ast.39.2.2044643