Analysis of the Capital Structure of an Insurance Company; An

Meyers, Glenn G.

Refereed Paper/Article
Proceedings of the Casualty Actuarial Society Casualty Actuarial Society - Arlington, Virginia
1989: LXXVI
147-171
http://www.casact.org/pubs/proceed/proceed89/89147.pdf

Abstract

This paper takes a stochastic approach of risk and return at the company level, addressing capital markets and rate-regulatory issues. Abstract: This paper attempts to analyze the capital structure of an insurance company in a way that (1) views the insurance company as an ongoing enterprise and (2) allows for the stochastic nature of insurance business. A model is developed. This model is used to analyze the effect of uncertainty in the loss reserves, the underwriting cycle and the cost of insurance regulation to the consumer. The paper considers both the investor's and the regulator's points of view.

Prizes: Dorweiler Prize 1990

Taxonomy Classifications

• Actuarial Applications and Methodologies > Enterprise Risk Management > Processes > Assessing/Prioritizing Risks
• Actuarial Applications and Methodologies > Capital Management > Capital Requirements
• Financial and Statistical Methods > Risk Pricing and Risk Evaluation Models > Capital Theory
• Actuarial Applications and Methodologies > Reserving > Uncertainty and Ranges
• Financial and Statistical Methods > Risk Pricing and Risk Evaluation Models > Utility Theory

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