Arne Sandstrom - Academia.edu (original) (raw)
Papers by Arne Sandstrom
Scandinavian Actuarial Journal, 2007
The standard formula for the calculation of the capital requirement within the EU's Solvency II p... more The standard formula for the calculation of the capital requirement within the EU's Solvency II project will be modular based. Each capital charge from the modules will be calculated consistent with the overall capital charge, i.e. with the same risk measure, the same confidence level and time horizon. If any of the underlying probability distributions are skewed, then the model must be calibrated for that to retain the consistency. This paper proposes and discusses one way of calibrating for skewness. The main objective of the paper is to show, by two simple examples, the effect of not calibrating for skewness if some of the underlying distributions are skew.
Encyclopedia of Actuarial Science, 2004
This article has no abstract. Keywords: Swedish Society of Actuaries; history; education; authori... more This article has no abstract. Keywords: Swedish Society of Actuaries; history; education; authorization; members
EAA Series, 2014
Founded in 1914, the Svenska Aktuarieföreningens Tidskrift (the Journal of the Swedish Society of... more Founded in 1914, the Svenska Aktuarieföreningens Tidskrift (the Journal of the Swedish Society of Actuaries) celebrates its 100 years anniversary in 2014. Today it is, under the name Scandinavian Actuarial Journal (SAJ), a leading international journal of actuarial sciences, and many famous actuaries and mathematicians have been involved in its publications as authors, reviewers or editors.
Encyclopedia of Actuarial Science, 2004
In multiplicative pricing of non-life insurance, we report a simulation study of mean square erro... more In multiplicative pricing of non-life insurance, we report a simulation study of mean square errors (MSEs) of point estimates by 1) the marginal totals method, and 2) the Standard GLM method of Poisson claim numbers and gamma distributed claim severities with constant coefficient of variation. MSEs per tariff cell are summed with insurance exposures as weights to give a total MSE. This is smallest for Standard GLM under the multiplicative assumption. But with moderate deviations from parameter multiplicativity, the study indicates that the marginal totals method is typically better in the MSE sense when there are many arguments and many claims, i. e. for mass consumer insurance. A method called MVW for confidence intervals, using only the Compound Poisson model, is given for the marginal totals method. These confidence intervals are compared with the ones of Standard GLM and the Tweedie method for risk premiums in a simulation study and are found to be mostly the best. The study reports both cover probabilities, which should be close to 0.95 for 95 % confidence intervals, and interval lengths, which should be small. The Tweedie method is found to be never better than Standard GLM.
Metrika, 1987
... The present address is Dr. Arne Sandstr6m, FSAB/Statistics, S-11587 Stockholm, Sweden. ... Th... more ... The present address is Dr. Arne Sandstr6m, FSAB/Statistics, S-11587 Stockholm, Sweden. ... The sample fraction,ft, 0 <ft < 1, is assumed to converge to a constant, ie lim ft =f, 0 <f< 1. t --~ oo For a fixed t, the inclusion probability of first order of unit i is defined as 1tit = nt P(i E st). ...
Journal of the American Statistical Association, 1983
Journal of Econometrics, 1989
By relating the Gini coefficient to a general family of inequality measures, the Gini family, met... more By relating the Gini coefficient to a general family of inequality measures, the Gini family, methods of estimating inequality parameters from samples are reviewed. Three approaches to making inferences about unknown inequality parameters are discussed and some large-sample results are presented. Alternative variance estimates are presented and compared in the case of the Gini coefficient.
Journal of Business & Economic Statistics, 1988
... Page 3. Sandstr6m, Wretman, and Walden: Variance Estimators of the Gini Coefficient 3.3 Comme... more ... Page 3. Sandstr6m, Wretman, and Walden: Variance Estimators of the Gini Coefficient 3.3 Comments on the Inferential Approach ... r..... 0 II II I. I .II oOO IE IOoo ~ - - - - Uo~o =o~o o~o OOoooooo=o0.. ...
Insurance: Mathematics and Economics, 1993
Scandinavian Actuarial Journal, 2007
The standard formula for the calculation of the capital requirement within the EU's Solvency II p... more The standard formula for the calculation of the capital requirement within the EU's Solvency II project will be modular based. Each capital charge from the modules will be calculated consistent with the overall capital charge, i.e. with the same risk measure, the same confidence level and time horizon. If any of the underlying probability distributions are skewed, then the model must be calibrated for that to retain the consistency. This paper proposes and discusses one way of calibrating for skewness. The main objective of the paper is to show, by two simple examples, the effect of not calibrating for skewness if some of the underlying distributions are skew.
Encyclopedia of Actuarial Science, 2004
This article has no abstract. Keywords: Swedish Society of Actuaries; history; education; authori... more This article has no abstract. Keywords: Swedish Society of Actuaries; history; education; authorization; members
EAA Series, 2014
Founded in 1914, the Svenska Aktuarieföreningens Tidskrift (the Journal of the Swedish Society of... more Founded in 1914, the Svenska Aktuarieföreningens Tidskrift (the Journal of the Swedish Society of Actuaries) celebrates its 100 years anniversary in 2014. Today it is, under the name Scandinavian Actuarial Journal (SAJ), a leading international journal of actuarial sciences, and many famous actuaries and mathematicians have been involved in its publications as authors, reviewers or editors.
Encyclopedia of Actuarial Science, 2004
In multiplicative pricing of non-life insurance, we report a simulation study of mean square erro... more In multiplicative pricing of non-life insurance, we report a simulation study of mean square errors (MSEs) of point estimates by 1) the marginal totals method, and 2) the Standard GLM method of Poisson claim numbers and gamma distributed claim severities with constant coefficient of variation. MSEs per tariff cell are summed with insurance exposures as weights to give a total MSE. This is smallest for Standard GLM under the multiplicative assumption. But with moderate deviations from parameter multiplicativity, the study indicates that the marginal totals method is typically better in the MSE sense when there are many arguments and many claims, i. e. for mass consumer insurance. A method called MVW for confidence intervals, using only the Compound Poisson model, is given for the marginal totals method. These confidence intervals are compared with the ones of Standard GLM and the Tweedie method for risk premiums in a simulation study and are found to be mostly the best. The study reports both cover probabilities, which should be close to 0.95 for 95 % confidence intervals, and interval lengths, which should be small. The Tweedie method is found to be never better than Standard GLM.
Metrika, 1987
... The present address is Dr. Arne Sandstr6m, FSAB/Statistics, S-11587 Stockholm, Sweden. ... Th... more ... The present address is Dr. Arne Sandstr6m, FSAB/Statistics, S-11587 Stockholm, Sweden. ... The sample fraction,ft, 0 <ft < 1, is assumed to converge to a constant, ie lim ft =f, 0 <f< 1. t --~ oo For a fixed t, the inclusion probability of first order of unit i is defined as 1tit = nt P(i E st). ...
Journal of the American Statistical Association, 1983
Journal of Econometrics, 1989
By relating the Gini coefficient to a general family of inequality measures, the Gini family, met... more By relating the Gini coefficient to a general family of inequality measures, the Gini family, methods of estimating inequality parameters from samples are reviewed. Three approaches to making inferences about unknown inequality parameters are discussed and some large-sample results are presented. Alternative variance estimates are presented and compared in the case of the Gini coefficient.
Journal of Business & Economic Statistics, 1988
... Page 3. Sandstr6m, Wretman, and Walden: Variance Estimators of the Gini Coefficient 3.3 Comme... more ... Page 3. Sandstr6m, Wretman, and Walden: Variance Estimators of the Gini Coefficient 3.3 Comments on the Inferential Approach ... r..... 0 II II I. I .II oOO IE IOoo ~ - - - - Uo~o =o~o o~o OOoooooo=o0.. ...
Insurance: Mathematics and Economics, 1993