A Hidden Markov Approach to Disability Insurance

Point and interval estimation of future disability inception and recovery rates is predominantly carried out by combining generalized linear models with time series forecasting techniques into a two-step method involving parameter estimation from historical data and subsequent calibration of a time series model. This approach may lead to both conceptual and numerical problems since any time trend components of the model are incoherently treated as both model parameters and realizations of a stochastic process. We suggest that this general two-step approach can be improved in the following way: First, we assume a stochastic process form for the time trend component. The corresponding transition densities are then incorporated into the likelihood, and the model parameters are estimated using the Expectation-Maximization algorithm. We illustrate the modeling procedure by fitting the model to Swedish disability claims data.     

Nonlife actuarial models,theory, methods and evaluation by Yiu-Kuen Tse

We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a multiplier, the same as that of a standard Gaussian risk. We establish the tail asymptotic behavior of the total loss of each of the reinsurance portfolios and determine also the relation between randomly scaled Gaussian-like portfolios and unscaled ones. Further, we show that jointly two portfolios of Gaussian-like risks exhibit asymptotic independence and their weak tail dependence coefficient is nonnegative.     

Standard approaches to asset & liability risk** **Supported by the Swedish Insurance Federation.

We compare two different models for assets and liabilities for an insurance company that can be considered in the standard approach to solvency assessment and in particular, in determining the required target capital. The first model is suggested by a joint working party by members in CEA, Comité Européen des Assurances, and is based on the duration concept and the second one is an application of ideas by Samuelson and Vasicek.