arXiv subjects

C. Furrer

Publications and source records attributed to C. Furrer.

4 recordsLinked to original sources

arXiv2025

Loss of earning capacity in Denmark -- an actuarial perspective

We describe challenges and opportunities related to risk assessment and mitigation for loss of earning capacity insurance with a special focus on Denmark. The presence of public benefits, claim settlement processes, and prevention initiatives introduces significant intricacy to the risk landscape. Accommodating this requires the development of innovative approaches from researchers and practitioners alike. Actuaries are uniquely positioned to lead the way, leveraging their domain knowledge and mathematical-statistical expertise to develop equitable, data-driven solutions that mitigate risk and enhance societal well-being.

q-fin.RM↗

arXiv2024

Non-parametric estimators of scaled cash flows

In multi-state life insurance, incidental policyholder behavior gives rise to expected cash flows that are not easily targeted by classic non-parametric estimators if data is subject to sampling effects. We introduce a scaled version of the classic Aalen--Johansen estimator that overcomes this challenge. Strong uniform consistency and asymptotic normality are established under entirely random right-censoring, subject to lax moment conditions on the multivariate counting process. In a simulation study, the estimator outperforms earlier proposals from the literature. Finally, we showcase the potential of the presented method to other areas of actuarial science.

math.ST↗

arXiv2023

Estimation for multistate models subject to reporting delays and incomplete event adjudication with application to disability insurance

Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked with the biometric event history of the insured. Complete observation of event histories is often impossible due to sampling effects such as right-censoring and left-truncation, but also due to reporting delays and incomplete event adjudication. In this paper, we develop a parametric two-step M-estimation method that takes the aforementioned effects into account, treating the latter two as partially exogenous. The approach is valid under weak assumptions and allows for complicated dependencies between the event history, reporting delays, and adjudication while remaining relatively simple to implement. The estimation approach has desirable properties which are demonstrated by theoretical results and numerical experiments. In the application, we introduce and consider a large portfolio of disability insurance policies. We find that properly accounting for the sampling effects has a large impact on the number of disabilities and reactivations that an insurer would forecast, allowing for a more accurate assessment of the insurer's liabilities and improved risk management.

math.ST↗

arXiv2018

Forward transition rates

The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate in a survival model to multi-state models is non-trivial and several definitions have been proposed. We establish a theoretical framework for the discussion of forward rates. Furthermore, we provide a novel definition with its own logic and merits and compare it with the proposals in the literature. The definition turns the Kolmogorov forward equations inside out by interchanging the transition probabilities with the transition intensities as the object to be calculated.

math.PR↗