Increasing retirement ages in an automatic or scheduled way with increasing life expectancy at retirement is a popular pension policy response to continuous longevity improvements. The question addressed here is: to what extent is simply adopting this approach likely to fulfill the overall goals...

We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim triangles support our results. The...

Mortality improvements and life expectancies have been increasing in recent decades, leading to growing interest in understanding mortality risk and longevity risk. Studies of mortality forecasting are of interest among actuaries and demographers because mortality forecasting can quantify...

The paper seeks to answer the question of how price forecasting can contribute to which techniques gives the most accurate results in the futures commodity market. A total of two families of models (decision trees, artificial intelligence) were used to produce estimates for 2018 and 2022 for 21-...

Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models-in terms, that is, of their goodness-of-fit and prediction...

The relevance of the development is determined by the possibility of testing a complex analytical methodology for forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate investment decisions. The used risk attribution...

Modelling claim frequency and claim severity are topics of great interest in property-casualty insurance for supporting underwriting, ratemaking, and reserving actuarial decisions. Standard Generalized Linear Models (GLM) frequency-severity models assume a linear relationship between a function...

This paper presents a welfare analysis of several capital insurance programs in a rational expectation equilibrium setting. We first explicitly characterize the equilibrium of each capital insurance program. Then, we demonstrate that a capital insurance program based on aggregate loss is better...