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Risks
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Young Researchers in Insurance and Risk Management
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Young Researchers in Insurance and Risk Management

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

Deadline for manuscript submissions: closed (31 March 2020) | Viewed by 46014

Special Issue Editors

Dr. Thorsten Moenig

E-Mail Website
Guest Editor
Department of Risk, Insurance & Healthcare Management, Temple University, Philadelphia, PA 19122, USA
Interests: financial retirement planning; variable annuities; registered index-linked annuities; behavioral economics
Dr. Albert Cohen

E-Mail Website
Guest Editor
Department of Mathematics, Michigan State University, East Lansing, MI 48824, USA
Interests: financial mathematics; financial markets; actuarial science; insurance; financial risk management
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

Young minds are a wonderful source of fresh, disruptive ideas in the definition, pricing, and mitigation of risk. Unencumbered by traditional approaches to risk management and insurance, this next generation is primed to think about risk in emerging areas such as cyber-insurance and autonomous cars, and offer new insights on traditional actuarial topics. This special issue seeks to put a spotlight on the next generation of actuarial scientists, risk managers, and quants who may not have had the chance to see their work disseminated in a leading journal such as Risks.

Our goal with this Special Issue is to encourage postdoctoral fellows, graduate, and undergraduate students (with or without PhD/Fellow/Associate co-authors) to submit their work to us in the confidence that they will be reviewed with care by leading academics and practitioners in the field. We hope this experience will encourage our next generation of actuaries and risk managers to keep transforming our field for the betterment of society.

Sincerely

Dr. Albert Cohen
Dr. Thorsten Moenig
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

  • Young Researchers
  • Actuarial Science
  • Risk Management
  • Insurance Economics

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Published Papers (6 papers)

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Research

15 pages, 882 KiB  
Article
Copula Model Selection for Vehicle Component Failures Based on Warranty Claims
by Kathryn Wifvat, John Kumerow and Arkady Shemyakin
Risks 2020, 8(2), 56; https://doi.org/10.3390/risks8020056 - 1 Jun 2020
Cited by 7 | Viewed by 2675
Abstract
In the automotive industry, it is important to know whether the failure of some car parts may be related to the failure of others. This project studies warranty claims for five engine components obtained from a major car manufacturer with the purpose of [...] Read more.
In the automotive industry, it is important to know whether the failure of some car parts may be related to the failure of others. This project studies warranty claims for five engine components obtained from a major car manufacturer with the purpose of modeling the joint distributions of the failure of two parts. The one-dimensional distributions of components are combined to construct a bivariate copula model for the joint distribution that makes it possible to estimate the probabilities of two components failing before a given time. Ultimately, the influence of the failure of one part on the operation of another related part can be described, predicted, and addressed. The performance of several families of one-parameter Archimedean copula models (Clayton, Gumbel–Hougaard, survival copulas) is analyzed, and Bayesian model selection is performed. Both right censoring and conditional approaches are considered with the emphasis on conditioning to the warranty period. Full article
(This article belongs to the Special Issue Young Researchers in Insurance and Risk Management)
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22 pages, 834 KiB  
Article
Treatment Level and Store Level Analyses of Healthcare Data
by Kaiwen Wang, Jiehui Ding, Kristen R. Lidwell, Scott Manski, Gee Y. Lee and Emilio Xavier Esposito
Risks 2019, 7(2), 43; https://doi.org/10.3390/risks7020043 - 17 Apr 2019
Viewed by 3380
Abstract
The presented research discusses general approaches to analyze and model healthcare data at the treatment level and at the store level. The paper consists of two parts: (1) a general analysis method for store-level product sales of an organization and (2) a treatment-level [...] Read more.
The presented research discusses general approaches to analyze and model healthcare data at the treatment level and at the store level. The paper consists of two parts: (1) a general analysis method for store-level product sales of an organization and (2) a treatment-level analysis method of healthcare expenditures. In the first part, our goal is to develop a modeling framework to help understand the factors influencing the sales volume of stores maintained by a healthcare organization. In the second part of the paper, we demonstrate a treatment-level approach to modeling healthcare expenditures. In this part, we aim to improve the operational-level management of a healthcare provider by predicting the total cost of medical services. From this perspective, treatment-level analyses of medical expenditures may help provide a micro-level approach to predicting the total amount of expenditures for a healthcare provider. We present a model for analyzing a specific type of medical data, which may arise commonly in a healthcare provider’s standardized database. We do this by using an extension of the frequency-severity approach to modeling insurance expenditures from the actuarial science literature. Full article
(This article belongs to the Special Issue Young Researchers in Insurance and Risk Management)
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10 pages, 760 KiB  
Article
An Innovative Framework for Risk Management in Construction Projects in Developing Countries: Evidence from Pakistan
by Ahsan Nawaz, Ahsan Waqar, Syyed Adnan Raheel Shah, Muhammad Sajid and Muhammad Irslan Khalid
Risks 2019, 7(1), 24; https://doi.org/10.3390/risks7010024 - 25 Feb 2019
Cited by 92 | Viewed by 22254
Abstract
Risk management is a comparatively new field and there is no core system of risk management in the construction industries of developing countries. In Pakistan, construction is an extremely risk-seeking industry lacking a good reputation for handling risk. However, it is gradually giving [...] Read more.
Risk management is a comparatively new field and there is no core system of risk management in the construction industries of developing countries. In Pakistan, construction is an extremely risk-seeking industry lacking a good reputation for handling risk. However, it is gradually giving it more importance as a result of increased competition and construction activities. For this purpose, a survey-based study has been conducted which aims to investigate the risk management practices used in construction projects in Pakistan. To achieve the objective, data was collected from 22 contractor firms working on 100 diverse projects. The analysis indicates that risk management has been implemented at a low level in the local environment. The results also disclose that there is a higher degree of correlation between effective risk management and project success. The findings reveal the importance of risk management techniques, their usage, implication, and the effect of these techniques on the success of construction projects from the contractor’s perspective, thus convincing the key participants of projects about the use of risk management. Full article
(This article belongs to the Special Issue Young Researchers in Insurance and Risk Management)
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11 pages, 2124 KiB  
Article
Efficient Retirement Portfolios: Using Life Insurance to Meet Income and Bequest Goals in Retirement
by Fangyuan Dong, Nick Halen, Kristen Moore and Qinglai Zeng
Risks 2019, 7(1), 9; https://doi.org/10.3390/risks7010009 - 18 Jan 2019
Cited by 4 | Viewed by 4492
Abstract
Life Insurance Retirement Plans (LIRPs) offer tax-deferred cash value accumulation, tax-free withdrawals (if properly structured), and a tax-free death benefit to beneficiaries. Thus, LIRPs share many of the tax advantages of other retirement savings vehicles but with less restrictive limitations on income and [...] Read more.
Life Insurance Retirement Plans (LIRPs) offer tax-deferred cash value accumulation, tax-free withdrawals (if properly structured), and a tax-free death benefit to beneficiaries. Thus, LIRPs share many of the tax advantages of other retirement savings vehicles but with less restrictive limitations on income and contributions. Opinions are mixed about the effectiveness of LIRPs; some financial advisers recommend them enthusiastically, while others are more skeptical. In this paper, we examine the potential of LIRPs to meet both income and bequest needs in retirement. We contrast retirement portfolios that include a LIRP with those that include only investment products with no life insurance. We consider different issue ages, face amounts, and withdrawal patterns. We simulate market scenarios and we demonstrate that portfolios that include LIRPs yield higher legacy potential and smaller income risk than those that exclude it. Thus, we conclude that the inclusion of a LIRP can improve financial outcomes in retirement. Full article
(This article belongs to the Special Issue Young Researchers in Insurance and Risk Management)
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19 pages, 1647 KiB  
Article
Using Neural Networks to Price and Hedge Variable Annuity Guarantees
by Daniel Doyle and Chris Groendyke
Risks 2019, 7(1), 1; https://doi.org/10.3390/risks7010001 - 23 Dec 2018
Cited by 10 | Viewed by 5899
Abstract
This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations that are required for [...] Read more.
This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations that are required for the fair value of these liabilities to converge. This computational requirement worsens when Greeks must be calculated to hedge the liabilities of these guarantees. A feedforward neural network is a universal function approximator that is proposed as a useful machine learning technique to interpolate between previously calculated values and avoid running a full simulation to obtain a value for the liabilities. We propose methodologies utilizing neural networks for both the tasks of pricing as well as hedging four different varieties of variable annuity guarantees. We demonstrated a significant efficiency gain using neural networks in this manner. We also experimented with different error functions in the training of the neural networks and examined the resulting changes in network performance. Full article
(This article belongs to the Special Issue Young Researchers in Insurance and Risk Management)
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16 pages, 446 KiB  
Article
Credibility Methods for Individual Life Insurance
by Yikai (Maxwell) Gong, Zhuangdi Li, Maria Milazzo, Kristen Moore and Matthew Provencher
Risks 2018, 6(4), 144; https://doi.org/10.3390/risks6040144 - 11 Dec 2018
Cited by 3 | Viewed by 5595
Abstract
Credibility theory is used widely in group health and casualty insurance. However, it is generally not used in individual life and annuity business. With the introduction of principle-based reserving (PBR), which relies more heavily on company-specific experience, credibility theory is becoming increasingly important [...] Read more.
Credibility theory is used widely in group health and casualty insurance. However, it is generally not used in individual life and annuity business. With the introduction of principle-based reserving (PBR), which relies more heavily on company-specific experience, credibility theory is becoming increasingly important for life actuaries. In this paper, we review the two most commonly used credibility methods: limited fluctuation and greatest accuracy (Bühlmann) credibility. We apply the limited fluctuation method to M Financial Group’s experience data and describe some general qualitative observations. In addition, we use simulation to generate a universe of data and compute Limited Fluctuation and greatest accuracy credibility factors for actual-to-expected (A/E) mortality ratios. We also compare the two credibility factors to an intuitive benchmark credibility measure. We see that for our simulated data set, the limited fluctuation factors are significantly lower than the greatest accuracy factors, particularly for low numbers of claims. Thus, the limited fluctuation method may understate the credibility for companies with favorable mortality experience. The greatest accuracy method has a stronger mathematical foundation, but it generally cannot be applied in practice because of data constraints. The National Association of Insurance Commissioners (NAIC) recognizes and is addressing the need for life insurance experience data in support of PBR—this is an area of current work. Full article
(This article belongs to the Special Issue Young Researchers in Insurance and Risk Management)
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