A Cox model for gradually disappearing events

2022 ◽  
pp. 1-18
Author(s):  
Jiwook Jang ◽  
Yan Qu ◽  
Hongbiao Zhao ◽  
Angelos Dassios
Keyword(s):  
Cox Model ◽  
Probability Generating Function ◽  
Insurance Companies ◽  
Driver Assistance Systems ◽  
Piecewise Constant ◽  
Dividend Payments ◽  
Long Run ◽  
The Laplace Transform ◽  
Potential Applications ◽  
Integral Process

Abstract Innovations in medicine provide us longer and healthier life, leading lower mortality. Sooner rather than later, much greater longevity would be possible for us due to artificial intelligence advances in health care. Similarly, Advanced Driver Assistance Systems (ADAS) in highly automated vehicles may reduce or even eventually eliminate accidents by perceiving dangerous situations, which would minimize the number of accidents and lead to fewer loss claims for insurance companies. To model the survivor function capturing greater longevity as well as the number of claims reflecting less accidents in the long run, in this paper, we study a Cox process whose intensity process is piecewise-constant and decreasing. We derive its ultimate distributional properties, such as the Laplace transform of intensity integral process, the probability generating function of point process, their associated moments and cumulants, and the probability of no more claims for a given time point. In general, this simple model may be applicable in many other areas for modeling the evolution of gradually disappearing events, such as corporate defaults, dividend payments, trade arrivals, employment of a certain job type (e.g., typists) in the labor market, and release of particles. In particular, we discuss some potential applications to insurance.

Analysing the AAOIFI Sharīʿah standard on zakat

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Khurram Parvez Raja
Keyword(s):  
Financial Institutions ◽  
Islamic Law ◽  
Financial Statements ◽  
Insurance Companies ◽  
Single Individual ◽  
Content Type ◽  
Long Run ◽  
Islamic Financial Institutions ◽  
The Law ◽  
Islamic Insurance

Purpose The Sharīʿah Standard No. (35) issued by the Accounting and Auditing Organization for Islamic Financial Institutions (AAOIFI) aims to identify the zakāt base for institutions (including Islamic insurance companies) as well as the subsidiary and the mother company of the institution (the company). By zakāt base, the standard means the items of financial statements that should or should not be included in the calculation of the zakāt base, and the liabilities or allocations that should or should not be deducted from zakatable assets. The standard also covers payable zakāt rates, disbursement of zakāt funds on the eight categories of zakāt recipients and the rulings pertaining to disbursement. The focus then is on companies or corporations. There is no indication in the aims as to who owns the wealth of the corporation, that is, whether it is the company itself or it is the shareholders and whether it is treated as a joint wealth of the shareholders or of a single individual in the form of the company. The author will rely on this issue as one factor on the basis of which the standard is to be judged. Design/methodology/approach Quran and hadith. Works of earlier jurists. Findings In this study, the author has summarized the provisions of zakāt according to the traditional law, but only those that are relevant for the financial institutions and the standard issued by the AAOIFI. After that, the author mentioned the major points that have been addressed by the standard. In the last section, the author has shown that the rulings of the Islamic Fiqh Academy and the AAOIFI on zakāt are totally confusing and merely a reproduction of the rulings of traditional law. The main reason for this confusion is that the nature and entity of a corporation have not been addressed and have been treated like a partnership, thus, jumbling up the entire issue of zakāt through banks. Originality/value The main purpose in undertaking this original work is to examine the AAOIFI Sharīʿah Standards from the perspective of traditional Islamic law, that is, the law of the senior schools as laid down in their authentic manuals. If there is an extensive deviation from this law, then this must be pointed out in the hope that it will be corrected by the concerned institution and the banks that adopt these standards. Neglecting such a corrective action for long will result in damage not only to these institutions in the long run but also to the law of Islam that has been so carefully crafted over centuries. The purpose is to show how far this standard deviates from traditional Islamic law and claims to be called the authentic view on a particular subject. Nevertheless, it is not the purpose of this work to explain and elaborate on the meaning and utility of these standards.

Optimal Vacation Policy for a Manufacturing Facility Using Retrial System

2010 ◽  
Vol 447-448 ◽  
pp. 316-320
Author(s):  
Wee Meng Yeo ◽  
Xue Ming Yuan
Keyword(s):  
Average Cost ◽  
Manufacturing System ◽  
Probability Generating Function ◽  
Compound Poisson Process ◽  
System Size ◽  
Production Facility ◽  
Manufacturing Facility ◽  
Multiple Vacation ◽  
Long Run ◽  
Supplementary Variables

We consider a manufacturing system which takes vacation and subjects to breakdown. Items arrive to the production facility according to a compound Poisson process. Using supplementary variables we determine the probability generating function (p.g.f) of the system size. Under the Long Run Average Cost formulation, we show that the optimal vacation policy is either single or multiple vacation policy.

Investment Portfolio Performances of Public Sector General Insurance Firms in India: An Empirical Approach

2017 ◽  
Vol 6 (1) ◽  
pp. 61-75
Author(s):  
Joy Chakraborty ◽  
Sankarshan Basu
Keyword(s):  
Public Sector ◽  
Multiple Linear Regression Model ◽  
Insurance Companies ◽  
The Public ◽  
Insurance Sector ◽  
General Insurance ◽  
Long Run ◽  
Insurance Firms ◽  
Investment Portfolios ◽  
The Impact

Deregulation of the Indian insurance sector has witnessed the rise of private players in the Indian general insurance sector post-1999. Though the four major public sector general insurers still continue to dominate the Indian general insurance market, an abrupt rise in the number of private players has raised concerns upon the solvency position of the public sector general insurance companies in safeguarding their policyholders’ interests. The major reason for this concern could be attributed to the existing investment portfolios of the general insurance firms, the impact of which has been felt upon their solvency position. The present study investigated the investment portfolios of the four major public sector general insurance firms in India involved in multiline businesses, and its subsequent impact upon their solvency position. The application of the multiple linear regression model has been employed to investigate the solvency determinants of the public sector general insurance firms in view of their short-term and long-term investment portfolios, covering the study period from 2005–2006 to 2014–2015. The findings of the study have pointed out the necessity for the four public sector general insurers to focus on certain key investment variables in their investment portfolios in ensuring a sound solvency position in the long run.

scholarly journals Technical Efficiency and Super-efficiency of the Insurance Sector in Slovakia

2015 ◽  
Vol 63 (6) ◽  
pp. 2205-2211 ◽  
Author(s):  
Emília Zimková
Keyword(s):  
Technical Efficiency ◽  
Insurance Companies ◽  
Regulatory Body ◽  
Insurance Company ◽  
Super Efficiency ◽  
Insurance Sector ◽  
Incentive Policy ◽  
Long Run ◽  
Dea Models ◽  
Radial Model

In this paper, the technical efficiency and the super-efficiency of a representative sample of insurance institutions in Slovakia is analyzed with the aid of data envelopment analysis (DEA). This paper differs from the so far published literature, as it extends the application of radial DEA models (the CCR model of Charnes, Cooper and Rodes; the BCC model of Banker, Charnes and Cooper) by a non-radial model (the SBM model of Tone) and a super-efficiency model. The supper-efficiency can be used either to rank efficient units or to indicate outliers in the analyzed group of decision making units. Achieved results also reveal that in the year 2013, among 13 Slovak insurance companies under evaluation, the AXA poisťovňa, a. s. was the super-efficient insurance company. The implications of gained results are then drawn for managerial and regulatory purposes. Firstly, it is shown how the management of the insurance institutions with the poorest performances should change their managerial procedures and adopt enhanced-incentive policy. Secondly, the regulatory body of the insurance institutions should utilize the gained technical efficiency of the analyzed institutions for the prediction of their competitiveness in the long run.

scholarly journals IMPACT OF CAPITAL STRUCTURE ON THE PERFORMANCE OF QUOTED INSURANCE FIRMS IN NIGERIA

2021 ◽  
Vol 9 (07) ◽  
pp. 324-334
Author(s):  
Oluwaleye, Taiwo Olarinre ◽  
◽  
Kolapo, Funso Tajudeen (PhD) ◽  
Ajayi, Foluso Isaac ◽  
◽  
...  
Keyword(s):  
Firm Performance ◽  
Capital Structure ◽  
Granger Causality ◽  
Life Insurance ◽  
Panel Cointegration ◽  
Insurance Companies ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Impact

Evidence from the past studies revealed that capital structure has an impact on the firm performance. This research appraises the impact of capital structure on the performance of quoted life insurance companies in Nigeria from 2010 to 2019. The researchers used the panel cointegration model, autoregressive dynamic lag error correction model and pair wise granger causality test to measure the relationship among the variables. The study revealed that capital structure and firm performance has a long-run relationshipand 81% long run disequilibrium is corrected within a year. It was also apparent that there is a significant short run relationship between liquidity of life insurance and return on asset. The Granger causality outcome also shows that bidirectional causality exists between firm size (SIZE) and profitability (ROA) in the short run. We conclude that a large size of life insurance firm has more scope to make more profit in Nigeria context within the study period. The study recommended that to maximize firm’s performance managers must endeavor to obtain and maintain an optimum capital structure level among others.

Combining Life and Health Insurance*

2019 ◽  
Vol 135 (2) ◽  
pp. 913-958 ◽  
Author(s):  
Ralph S J Koijen ◽  
Stijn Van Nieuwerburgh
Keyword(s):  
Health Insurance ◽  
Life Insurance ◽  
Survival Rates ◽  
Insurance Companies ◽  
Insurance Markets ◽  
Free Access ◽  
Access To Treatment ◽  
Term Care ◽  
Long Run ◽  
Premium Income

Abstract We estimate the benefit of life-extending medical treatments to life insurance companies. Our main insight is that life insurance companies have a direct benefit from such treatments because they lower the insurer’s liabilities by pushing the death benefit further into the future and raising future premium income. We apply this insight to immunotherapy, treatments associated with durable gains in survival rates for a growing number of cancer patients. We estimate that the life insurance sector’s aggregate benefit from FDA-approved immunotherapies is $9.8 billion a year. Such life-extending treatments are often prohibitively expensive for patients and governments alike. Exploiting this value creation, we explore various ways life insurers could improve stress-free access to treatment. We discuss potential barriers to integration and the long-run implications for the industrial organization of life and health insurance markets, as well as the broader implications for medical innovation and long-term care insurance markets.

Imaging lidar prototype with homography and deep learning ranging methods

2022 ◽  
Author(s):  
Sehyeon Kim ◽  
Zhaowei Chen ◽  
Hossein Alisafaee
Keyword(s):  
Deep Learning ◽  
Autonomous Vehicles ◽  
Optical Element ◽  
Driver Assistance ◽  
Driver Assistance Systems ◽  
Lidar System ◽  
Time Performance ◽  
Potential Applications ◽  
Assistance Systems ◽  
Final System

Abstract We report on developing a non-scanning laser-based imaging lidar system based on a diffractive optical element with potential applications in advanced driver assistance systems, autonomous vehicles, drone navigation, and mobile devices. Our proposed lidar utilizes image processing, homography, and deep learning. Our emphasis in the design approach is on the compactness and cost of the final system for it to be deployable both as standalone and complementary to existing lidar sensors, enabling fusion sensing in the applications. This work describes the basic elements of the proposed lidar system and presents two potential ranging mechanisms, along with their experimental results demonstrating the real-time performance of our first prototype.

Life Insurance Companies' Performance and Intellectual Capital: A long-term perspective

2014 ◽  
Vol 13 (04) ◽  
pp. 755-777 ◽  
Author(s):  
Qian Long Kweh ◽  
Wen-Min Lu ◽  
Wei-Kang Wang ◽  
Meng-Hsu Su
Keyword(s):  
Intellectual Capital ◽  
Life Insurance ◽  
Operating Performance ◽  
Insurance Companies ◽  
Structural Capital ◽  
Panel Data Regression ◽  
Potential Applications ◽  
Dynamic Data Envelopment Analysis ◽  
The Impact ◽  
Better Than

This study used dynamic data envelopment analysis (dynamic DEA) to evaluate the operating performance of life insurance companies in Taiwan and China. In addition, this study adopted panel data regression, which employs the cross-section and time-series approaches, to investigate the impact of intellectual capital (IC) on operating performance. The results indicated that the overall performance of life insurance companies in China was better than that of life insurance companies in Taiwan. Furthermore, in both countries, the performance of life insurance companies with local capital was better than that of companies with foreign capital. The results also showed that human capital (HC) and structural capital (SC) had impacts on the operating performance of life insurance companies. The potential applications and strengths of DEA in assessing the life insurance industries in Taiwan and China are highlighted.

scholarly journals A dynamic contagion process

2011 ◽  
Vol 43 (3) ◽  
pp. 814-846 ◽  
Author(s):  
Angelos Dassios ◽  
Hongbiao Zhao
Keyword(s):  
Point Process ◽  
Probability Generating Function ◽  
Dependence Structure ◽  
Mathematical Framework ◽  
Exponential Distributions ◽  
Piecewise Deterministic Markov Process ◽  
The Laplace Transform ◽  
Analytic Expressions ◽  
Exogenous Factors ◽  
Contagion Process

We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and exogenous factors of the underlying system. We have systematically analysed the theoretical distributional properties of this new process, based on the piecewise-deterministic Markov process theory developed in Davis (1984), and the extension of the martingale methodology used in Dassios and Jang (2003). The analytic expressions of the Laplace transform of the intensity process and the probability generating function of the point process have been derived. An explicit example of specified jumps with exponential distributions is also given. The object of this study is to produce a general mathematical framework for modelling the dependence structure of arriving events with dynamic contagion, which has the potential to be applicable to a variety of problems in economics, finance, and insurance. We provide an application of this process to credit risk, and a simulation algorithm for further industrial implementation and statistical analysis.

scholarly journals The Absolute Ruin Insurance Risk Model with a Threshold Dividend Strategy

Symmetry ◽  
2018 ◽  
Vol 10 (9) ◽  
pp. 377 ◽  
Author(s):  
Wenguang Yu ◽  
Yujuan Huang ◽  
Chaoran Cui
Keyword(s):  
Risk Model ◽  
Insurance Companies ◽  
Insurance Company ◽  
Insurance Risk ◽  
Threshold Dividend Strategy ◽  
Dividend Payments ◽  
Absolute Ruin ◽  
The Absolute ◽  
Debit Interest ◽  
Insurance Risk Model

The absolute ruin insurance risk model is modified by including some valuable market economic information factors, such as credit interest, debit interest and dividend payments. Such information is especially important for insurance companies to control risks. We further assume that the insurance company is able to finance and continue to operate when its reserve is negative. We investigate the integro-differential equations for some interest actuarial diagnostics. We also provide numerical examples to explain the effects of relevant parameters on actuarial diagnostics.

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