On the relationship between classical chain ladder and granular reserving

We connect classical chain ladder to granular reserving. This is done by defining explicitly how the classical run-off triangles are generated from individual iid observations in continuous time. One important result is that the development factors have a one to one correspondence to a histogram estimator of a hazard running in reversed development time. A second result is that chain ladder has a systematic bias if the row effect has not the same distribution when conditioned on any of the aggregated periods. This means that the chain ladder assumptions on one level of aggregation, say yearly, are different from the chain ladder assumptions when aggregated in quarters and the optimal level of aggregation is a classical bias variance trade-off depending on the data-set. We introduce smooth development factors arising from non-parametric hazard kernel smoother improving the estimation significantly.     

Systemic risk analysis using forward-looking Distance-to-Default series

Based on Contingent Claims Analysis, this paper develops a method to monitor systemic risk in the European banking system. Aggregated Distance-to-Default series are generated using option prices information from systemically important banks and the STOXX Europe 600 Banks Index. These indicators provide methodological advantages in monitoring vulnerabilities in the banking system over time: (1) they capture interdependence and joint risk of distress in systemically important banks; (2) their forward-looking feature endow them with early signaling properties compared to traditional approaches in the literature and other market-based indicators; (3) they produce simultaneously smooth and informative long-term signals and quick and clear reaction to market distress and (4) they incorporate additional information through option prices about tail risk and correlation breaks, in line with recent findings in the literature.     

Treatment patterns and healthcare system burden of managed care patients with suspected pulmonary arterial hypertension in the United States

Abstract

Objectives:

To describe treatment patterns and healthcare burden among individuals with suspected pulmonary arterial hypertension (PAH), as identified through a practice guideline-based healthcare claims algorithm.

Methods:

Adults with evidence of PAH from 1 January 2004 (commercial and Medicaid) or 1 July 2006 (Medicare Advantage) through 30 June 2008 were identified. Given the lack of an ICD-9 code for PAH, an algorithm was developed requiring: (1) ≥1 claim for PAH medication (index date); (2) ≥1 claim with a pulmonary hypertension diagnosis code in the 6-month pre-index period (baseline) or within 90 days post-index; (3) a right heart catheterization or pulmonary hypertension-related inpatient stay during baseline or within 90 days post-index; and (4) continuous health plan enrollment for 6 months pre-index and ≥6 months post-index. Patients with PAH-specific medications during baseline were excluded. Treatment patterns, healthcare utilization, and costs were assessed during the period ending with the earlier of health plan disenrollment or 31 December 2008.

Results:

Among the 521 included patients, 69% were female. Most patients (94%) initiated treatment with monotherapy (most commonly sildenafil or bosentan), and 12.7% of all patients augmented their therapy by the end of the observation period. The medication possession ratio was 0.96 each for ambrisentan (SD?=?0.04), bosentan (SD?=?0.04), and sildenafil (SD?=?0.05). Overall, 72.6% of patients discontinued therapy with a mean of 149 (SD?=?170) days until discontinuation. A mean (SD) of 2.14 (1.82) all-cause office and 1.64 (1.98) outpatient visits occurred per patient per month. Mean PAH-related healthcare costs were $6617 per patient per month, comprising 71% of all-cause costs. The guideline-based algorithm may not have perfectly captured patients with PAH.

Conclusions:

Patients with suspected PAH were likely to initiate treatment with oral monotherapy, had high compliance rates, and received close ambulatory follow-up. PAH-related costs constituted the majority of all-cause healthcare costs.     

Burden of breast cancer with brain metastasis: a French national hospital database analysis

Abstract

Objective:

Incidence of breast cancer with brain metastases (BCBM) is increasing, especially among patients over-expressing HER2. Epidemiology on this sub-type of cancer is scarce, since cancer registries carry no information on the HER2 status. A retrospective database analysis was conducted to estimate the burden of BCBM, especially among HER2-positive patients in a secondary objective.

Methods:

Patients with a new diagnosis of BCBM carried out between January and December 2008 were identified from the national hospital database using the International Disease Classification. Patients receiving a targeted anti-HER2 therapy were identified from the national pharmacy database. Hospital and pharmacy claims were linked to estimate the burden of HER2-positive patients. Data on hospitalizations were extracted to describe treatment patterns and healthcare costs during a 1-year follow-up. Predictors of treatment cost were analyzed through multi-linear regression analysis.

Results:

Two thousand and ninety-nine BCBM patients were identified (mean age (SD)?=?57.8 (13.6)), of whom 12.2% received a targeted anti-HER2 therapy; 79% of patients had brain metastases associated with extracranial metastases, and the attrition rate reached 82%. Patients received mostly palliative care (47.4%), general medical care (40.6%), and chemotherapy (35.0%). The total annual hospital cost of treatment was 8,426,392€, representing a mean cost of 22,591€ (±14,726) per patient, mainly influenced by extracranial metastases, surgical acts, and HER2-overexpression (p?<?0.0001).

Conclusions:

The database linkage of hospital and pharmacy claims is a relevant approach to identify sub-type of cancer. Chemotherapy was widely used as a systemic treatment for breast cancer rather than for local treatment of brain metastases whose morbi-mortality remains high. The variability of treatment costs suggests clinical heterogeneity and, thus, extensive individualization of protocols.     

Valuation of Participating Life Insurance Liabilities

Surrender and paid-up states are incorporated in the valuation of guaranteed benefits and payments of a level premium paying life insurance policy.

We present different valuation methods and examine to what extent they avoid capitalizing and releasing future loadings which are associated with the payment of future premiums.

We demonstrate how to avoid capital being required in the future to cover valuation strains. The paid-up benefit valuation method is being extended so that it does not require the premium basis to be on the safe-side of the valuation basis. We obtain a unification and integration of the level premium and paid-up valuation principles.     

The effect of naturalness claims on perceptions of food product naturalness in the point of purchase

Recent trends in marketing highlight an increased focus on naturalness claims with the hope of a higher consumer perception of product naturalness, but does this always make sense? This research examines this question in two experiments. Results show that the perception of naturalness depends on the types of points of purchase, those that convey a sense of naturalness, such as traditional markets, leading to more perceived naturalness. Importantly, results show that point of purchase type interacts with naturalness claim salience such that highly salient claims leads to higher perceived naturalness for product being displayed in a point of purchase that conveys a sense of naturalness. Finally, results show that the authority which claims the naturalness of the product is of major importance, brand-independent naturalness claims leading consumers to perceive the claim as more credible and consequently the product as more natural.     

Diabetic peripheral neuropathy: resource utilization and burden of illness

Introduction:

Diabetic peripheral neuropathy (DPN) is a debilitating complication of diabetes and accounts for significant morbidity by pre-disposing the foot to ulceration and lower extremity amputation. Using a large US commercial claims database, this study analyzes the drug class usage and co-morbidities associated with DPN as well as estimates the associated economic burden.

Methods:

Patients older than 18 and diagnosed with DPN were followed longitudinally for 2 years pre- and post-diagnosis date. Patients were analyzed for age, gender, hospital visits, ER and doctor’s office visits, pharmacy claims, co-morbidities, and drug classes prescribed pre- and post-DPN diagnosis. The economic impact post-diagnosis of DPN was compared to the patients’ pre-diagnosis resource use.

Results:

In total, 10,982 incident DPN patients were identified, with a median age of 61 years, and an equal gender distribution. Post-DPN diagnosis, there was a 20% increase in the number of patients visiting hospitals and a 46% increase in the number of visits to hospitals. Further, there was a 46% increase in the annual cost per patient associated with visits to the hospitals, emergency room (ER), doctor’s office, and pharmacy claims. As per the analysis presented in this study, increase in the number of visits, cost per visit, and number of patients visiting hospitals, ER and doctor’s offices added up to a 46% increase in aggregated cost associated with Medical Resource Utilization (MRU) owing to DPN, with the highest increase (60%) in costs associated with hospitalization of patients with DPN.

Conclusion:

This study highlights the high economic burden associated with DPN. The results indicate that resource use significantly increases post-diagnosis of DPN, which leads to an increase in costs for payers. A noticeable proportion of patients with DPN had a pain co-diagnosis signifying the need for treatments that can effectively manage painful DPN.     

Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements

A Bayesian approach to yield curve modelling is developed where information on the current and recent yield curves is used to generate yield curve scenarios, and a model is proposed that generates return distribution for bonds. The predictive power of the model is developed by comparing out-of-sample lagged realized yields with forecast yields, and it is demonstrated that the returns generated by this scenario approach and those generated using the standard time series approach are consistent. The model is applied to pre-EMU and post-EMU environments. This paper assesses the implications of different assumptions on the early post-EMU environment for international bond portfolio selection, as well as the immediate short-term effect of EMU on risk and return.     

索赔准备金评估的非线性分层增长曲线模型研究

考虑损失流量三角形中同一事故年的损失随时间反复观测的纵向特征,将损失流量三角形视为分层数据,结合损失进展的增长曲线,提出了关于索赔准备金评估的两种非线性分层增长曲线模型,并应用R软件对精算实务中的实例给出了数值分析。提出的非线性分层模型为考虑多个事故年的损失进展建模提供了一种自然灵活的框架,使得建立的模型易于理解,同时在分层建模中纳入了增长曲线,也有效避免了尾部进展因子的选定问题。     

One-year estimation uncertainty in some claim development models

ABSTRACT

The paper studies the one-year estimation uncertainty associated with using credibility-based loss reserving methods, when claim development can be described by the models of Bühlmann-Straub or Hesselager-Witting. Having found a formula, it seems natural to minimise the one-year estimation uncertainty in the same way as one can minimise the ultimate uncertainty, i.e. to minimise the MSEP. It turns out that minimisation of the one-year estimation uncertainty leads to unreasonable and unsightly results. This puts into question the sanity of the concept of one-year estimation uncertainty.