| 1. |
- Alm, Jonas, 1984
(författare)
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A simulation model for calculating solvency capital requirements for non-life insurance risk
- 2015
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Ingår i: Scandinavian Actuarial Journal. - : Informa UK Limited. - 0346-1238 .- 1651-2030. ; 2015:2, s. 107-123
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Tidskriftsartikel (refereegranskat)abstract
- To stay solvent, an insurer must have enough assets to cover its liabilities towards its policy holders. In this paper, we construct a simulation model that is able to generate solvency capital requirements (SCR) for non-life insurance risk. The only input to the model is assumptions about the distributions of payment patterns and ultimate claim amounts. These assumptions should ideally be based on findings in empirical data studies. We illustrate the modelling technique by considering a specific case with motor insurance data from the Swedish insurer Folksam. The SCR values generated by the simulation model with different distributional assumptions in this specific case are analysed and compared to the SCR value calculated using the Solvency II standard model. The most important finding was that the uncertainty in prediction of the trend in ultimate claim amounts affect the SCR substantially. Insurers and supervisory authorities should be aware of the effects of this trend prediction uncertainty when building and evaluating internal models in the Solvency II or other regulatory frameworks.
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| 2. |
- Alm, Jonas, 1984, et al.
(författare)
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Foreign-currency interest-rate swaps in asset–liability management for insurers
- 2013
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Ingår i: European Actuarial Journal. - : Springer Science and Business Media LLC. - 2190-9733 .- 2190-9741. ; 3:1, s. 133-158
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Tidskriftsartikel (refereegranskat)abstract
- We consider an insurer with purely domestic business whose liabilities towards its policy holders have long durations. The relative shortage of domestic government bonds with long maturities makes the insurer’s net asset value sensitive to fluctuations in the zero rates used for liability valuation. Therefore, in order to increase the duration of the insurer’s assets, it is common practice for insurers to take a position as the fixed-rate receiver in an interest-rate swap. We assume that this is not possible in the domestic currency but in a foreign currency supporting a larger market of interest-rate swaps. Monthly data over 16 years are used as the basis for investigating the risks to the future net asset value of the insurer from using foreign-currency interest-rate swaps as a proxy for domestic ones in asset–liability management. We find that although a suitable position in swaps may reduce the standard deviation of the future net asset value it may significantly increase the exposure to tail risk that has a substantial effect on the estimation of the solvency capital requirements.
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| 3. |
- Alm, Jonas, 1984
(författare)
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Insurance: solvency and valuation
- 2015
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis concerns mathematical and statistical concepts useful to assess an insurer's risk of insolvency. We study company internal claims payment data and publicly available market data with the aim of estimating (the right tail of) the insurer's aggregate loss distribution. To this end, we also develop a framework for market-consistent valuation of insurance liabilities. Moreover, we discuss Solvency II, the risk-based regulatory regime in the European Union, in some detail. In Paper I, we construct a multidimensional simulation model that could be used to get a better understanding of the stochastic nature of insurance claims payments, and to calculate solvency capital requirements. The assumptions made in the paper are based on an analysis of motor insurance data from the Swedish insurance company Folksam. In Paper II, we investigate risks related to the common industry practice of engaging in interest-rate swaps to increase the duration of assets. Our main focus is on foreign-currency swaps, but the same risks are present in domestic-currency swaps if there is a spread between the swap-zero-rate curve and the zero-rate curve used for discounting insurance liabilities. In Paper III, we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial Supervisory Authority (FSA). Our aim is to find the marginal distributions of, and dependence between, losses in the five largest lines of business. In Paper IV, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes in the term structure of interest rates. %We focus primarily on the case when a deep and liquid market for index-linked bonds is absent, or when the market price data are unreliable. Papers I and III are based on data that are difficult to get hold of for people in academia. The FSA reports are publicly available, but actuarial experience is needed to find and interpret them. These two papers contribute to a better understanding of the stochastic nature of insurance claims by providing data-driven models, and analyzing their usefulness and limitations. Paper II contributes by highlighting what may happen when an idea that is theoretically sound (reducing interest-rate risk with swaps) is applied in practice. Paper IV contributes by explicitly showing how the dependence between interest rates and inflation can be modeled, and hence reducing the insurance liability valuation problem to estimation of pure insurance risk.
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| 4. |
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| 5. |
- Alm, Jonas, 1984
(författare)
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Signs of dependence and heavy tails in non-life insurance data
- 2016
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Ingår i: Scandinavian Actuarial Journal. - : Informa UK Limited. - 0346-1238 .- 1651-2030. ; 2016:10, s. 859-875
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial SupervisoryAuthority (FSA). We aim at finding marginal distributions of, and dependence between, losses on the five largest lines of business (LoBs) in order to create models for solvency capital requirement (SCR) calculation. We try to use data in an optimal way by sensibly defining an accounting year loss in terms of actuarial liability predictions and by pooling observations from several companies when possible to decrease the uncertainty about the underlying distributions and their parameters. We find that dependence between LoBs is weaker in our data than what is assumed in the Solvency II standard formula. We also find dependence between companies that may affect financial stability and must be taken into account when estimating loss distribution parameters. Moreover, we discuss under what circumstances an insurer is better (or worse) off using an internal model for SCR calculation, instead of the standard formula.
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| 6. |
- Alm, Jonas, 1984, et al.
(författare)
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Valuation of Index-Linked Cash Flows in a Heath-Jarrow-Morton Framework
- 2015
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Ingår i: RISKS. - : MDPI AG. - 2227-9091. ; 3:3, s. 338-364
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes in the term structure of interest rates. Insurance liability cash flows that are not explicitly linked to an index may still be valued in our framework by interpreting index returns as so-called claims inflation, i.e., an increase in claims cost per sold insurance contract. We focus primarily on the case when a deep and liquid market for index-linked contracts is absent or when the market price data are unreliable. Firstly, we present an approach for assigning a monetary value to a stochastic cash flow that does not require full knowledge of the joint dynamics of the cash flow and the term structure of interest rates. Secondly, we investigate in detail model selection, estimation and validation in a Heath-Jarrow-Morton framework. Finally, we analyze the effects of model uncertainty on the valuation of the cash flows and how forecasts of cash flows and interest rates translate into model parameters and affect the valuation.
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| 7. |
- Wennergren, Göran, 1947, et al.
(författare)
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Asthma in late adolescence - farm childhood is protective and the prevalence increase has levelled off
- 2010
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Ingår i: Pediatric Allergy and Immunology. - 1399-3038. ; 21:5, s. 806-813
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Tidskriftsartikel (refereegranskat)abstract
- While the prevalence of and risk factors for asthma in childhood have been studied extensively, the data for late adolescence are more sparse. The aim of this study was to provide up-to-date information on the prevalence of and risk factors for asthma in the transitional period between childhood and adulthood. A secondary aim was to analyze whether the increase in asthma prevalence has levelled off. A large-scale, detailed postal questionnaire focusing on asthma and respiratory symptoms, as well as possible risk factors, was mailed to 30 000 randomly selected subjects aged 16-75 in Gothenburg and the surrounding western Sweden region. The present analyses are based on the responses from 1261 subjects aged 16-20 (560 men and 701 women). The prevalence of physician-diagnosed asthma was 9.5%, while 9.6% reported the use of asthma medicine. In the multivariate analysis, the strongest risk factors for physician-diagnosed asthma and other asthma variables were heredity for asthma and heredity for allergy, particularly if they occurred together. Growing up on a farm significantly reduced the prevalence of physician-diagnosed asthma and the likelihood of using asthma medication, OR 0.1 (95% CI 0.02-0.95). Smoking increased the risk of recurrent wheeze, long-standing cough, and sputum production. In conclusion, the prevalence of physician-diagnosed asthma and the use of asthma medication in the 16- to 20-yr age group support the notion that the increase in asthma prevalence seen between the 1950s and the 1990s has now levelled off. In line with the hygiene hypothesis, a farm childhood significantly reduced the likelihood of asthma. The adverse effects of smoking could already be seen at this young age.
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