Assessing the Underwriting Risk of a Composite Insurance Company

Eberhard, Sperling

Non-Refereed Paper/Article
ASTIN Colloquium International Actuarial Association - Brussels, Belgium
1999: Toyko

http://www.actuaries.org/ASTIN/Colloquia/Tokyo/Eberhard.pdf

Abstract

The paper shows a practical way to assess the underwriting risk of an insurance company. This is done by deriving the distribution of the annual underwriting result and describing the implications as to the management’s decision on the risk to be taken.

Keywords: Risk, underwriting risk, log-normal distribution, total loss distribution, monte-carlo-simulation, probability of ruin.

Taxonomy Classifications

• Actuarial Applications and Methodologies > Enterprise Risk Management > Processes > Analyzing/Quantifying Risks
• Financial and Statistical Methods > Simulation > Monte Carlo Valuation
• Financial and Statistical Methods > Risk Pricing and Risk Evaluation Models > Traditional Risk Load (Profit Margin)
• Financial and Statistical Methods > Risk Measures

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