Identification of the age-period-cohort model and the extended chain ladder model

In this paper, we consider the identification problem arising in the age-period-cohort models, as well as in the extended chain ladder model. We propose a canonical parametrization based on the accelerations of the trends in the three factors. This parametrization is exactly identified. It eases interpretation, estimation and forecasting. The canonical parametrization is shown to apply for a class of index sets which have trapezoid shapes, including various Lexis diagrams and the insurance reserving triangles.

Special Issue “Machine Learning in Insurance”

Learning in Insurance”, which represents a compilation of ten high-quality articles discussing avant-garde developments or introducing new theoretical or practical advances in this field

Self-selection and risk sharing in a modern world of lifelong annuities - Abstract of the London Discussion

This abstract relates to the following paper: Gerrard, R., Hiabu, M., Kyriakou, I. and Nielsen, J. P. (2018) Self-selection and risk sharing in a modern world of lifelong annuities ‐ Abstract of the London Discussion. British Actuarial Journal. Cambridge University Press, 23. doi: 10.1017/S135732171800020X

Identification and forecasting in mortality models

Mortality models often have inbuilt identification issues challenging the statistician. The statistician can choose to work with well-defined freely varying parameters, derived as maximal invariants in this paper, or with ad hoc identified parameters which at first glance seem more intuitive, but which can introduce a number of unnecessary challenges. In this paper we describe the methodological advantages from using the maximal invariant parameterisation and we go through the extra methodological challenges a statistician has to deal with when insisting on working with ad hoc identifications. These challenges are broadly similar in frequentist and in Bayesian setups. We also go through a number of examples from the literature where ad hoc identifications have been preferred in the statistical analyses

Self-selection and risk sharing in a modern world of life-long annuities

Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed. In this paper, we extend the simple customer interaction of the earlier contribution to the more challenging lifetime annuity case. Using a simple mobile phone device, the pension customer can select the life-long optimal investment strategy within minutes. The financial risk trade-off is presented as a trade-off between the pension paid and the number of years the life-long annuity is guaranteed. The pension payment decreases when investment security increases. The necessary underlying mathematical financial hedging theory is included in the stud

A comparison of in-sample forecasting methods

In-sample forecasting is a recent continuous modification of well-known forecasting methods based on aggregated data. These aggregated methods are known as age-cohort methods in demography, economics, epidemiology and sociology and as chain ladder in non-life insurance. Data is organized in a two-way table with age and cohort as indices, but without measures of exposure. It has recently been established that such structured forecasting methods based on aggregated data can be interpreted as structured histogram estimators. Continuous in-sample forecasting transfers these classical forecasting models into a modern statistical world including smoothing methodology that is more efficient than smoothing via histograms. All in-sample forecasting estimators are collected and their performance is compared via a finite sample simulation study. All methods are extended via multiplicative bias correction. Asymptotic theory is being developed for the histogram-type method of sieves and for the multiplicatively corrected estimators. The multiplicative bias corrected estimators improve all other known in-sample forecasters in the simulation study. The density projection approach seems to have the best performance with forecasting based on survival densities being the runner-up

Disentanglement by Dissipative Open System Dynamics

This paper investigates disentanglement as a result of evolution according to a class of master equations which include dissipation and interparticle interactions. Generalizing an earlier result of Di\'{o}si, the time taken for complete disentanglement is calculated (i.e. for disentanglement from any other system). The dynamics of two harmonically coupled oscillators is solved in order to study the competing effects of environmental noise and interparticle coupling on disentanglement. An argument based on separability conditions for gaussian states is used to arrive at a set of conditions on the couplings sufficient for all initial states to disentangle for good after a finite time.Comment: Paper in conjunction with and following on from P.J. Dodd and J.J. Halliwell: quant-ph/031206

Deep rest-frame far-UV spectroscopy of the giant Lyman-alpha emitter 'Himiko'

We present deep 10h VLT/XSHOOTER spectroscopy for an extraordinarily luminous and extended Lya emitter at z=6.595 referred to as Himiko and first discussed by Ouchi et al. (2009), with the purpose of constraining the mechanisms powering its strong emission. Complementary to the spectrum, we discuss NIR imaging data from the CANDELS survey. We find neither for HeII nor any metal line a significant excess, with 3 sigma upper limits of 6.8, 3.1, and 5.8x10^{-18} erg/s/cm^2 for CIV $\lambda$1549, HeII $\lambda$1640, CIII] $\lambda$1909, respectively, assuming apertures with 200 km/s widths and offset by -250 km/s w.r.t to the peak Lya redshift. These limits provide strong evidence that an AGN is not a major contribution to Himiko's Lya flux. Strong conclusions about the presence of PopIII star-formation or gravitational cooling radiation are not possible based on the obtained HeII upper limit. Our Lya spectrum confirms both spatial extent and flux (8.8+/-0.5x10^{-17} erg/s/cm^2) of previous measurements. In addition, we can unambiguously exclude any remaining chance of it being a lower redshift interloper by significantly detecting a continuum redwards of Lya, while being undetected bluewards