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On the 12 May the Institute of Actuaries hosted a joint seminar with the Institute of Risk Management at Staple Inn Hall. The seminar was entitled Actuarial and Risk Management Aspects of Long Tail Liability Risks. The seminar, which was attended by about 90 people, lasted for half the day, and was structured around a risk management case study.
This paper attempts to give an overview of the pricing of risks in a pure exchange economy, where trade takes place at time zero and where uncertainty is revealed at time one. An economic equilibrium model under uncertainty is formulated, where conditions characterizing a Pareto optimal exchange equilibrium are derived.
In this paper a continuous-time model of a reinsurance market is presented, which contains the principal components of uncertainty transparent in such a market: Uncertainty about the time instants at which accidents take place, and uncertainty about claim sizes given that accidents have occurred.
Reinsurance Research - Loss Distributions, Size of
Some reasons are given for paying special attention to the gross cost of catastrophe claims in planning and control. A method is then described of defining catastrophe claims and estimating their expected cost. The various steps in applying the method to real data and its performance for planning and control are discussed and illustrated in conjunction with an investigation carried out on a company portfolio.
Reinsurance Research - Outward Program Design
Risks of a catastrophic nature, such as war or earthquake, can differ, in a statistical sense, from other ordinarily insured perils only in respect of the distribution of the probability function. For example, although the probability of a loss occurring may be small, its magnitude once it occurs may be very large. One reason for the latter feature is that the sum insured may itself be heavy.
Reinsurance Research - Risk Loads/Profitability
Reinsurance Research - General/NOC
Reinsurance Research - General/NOC
Reinsurance Research - General/NOC
In a series of celebrated papers, K. Borch characterized the set of the Paretooptimal risk exchange treaties in a reinsurance market. However, the Paretooptimality and the individual rationality conditions, considered by Borch, do not preclude the possibility that a coalition of companies might be better off by seceding from the whole group.
Reinsurance Research - Market Dynamics
Reinsurance Research - General/NOC
Excess-of-loss reinsurance contracts often contain loss sharing provisions, such as aggregate deductibles, loss ratio caps or limited reinstatements, and loss corridor provisions. They also frequently contain adjustable premium or commission features, such as retrospective rating plans, profit commission plans, and sliding scale commission plans. Pro rata treaties frequently contain adjustable commission features.
Appendices A and B present practical approaches to pricing the expected impact of adjustable features and loss sharing provisions of reinsurance treaties. A simple quota share example is used to illustrate methods of estimating the impact of aggregate deductibles, loss ratio caps and loss corridor provisions. This example is then used to evaluate profit and sliding scale commission plans and a retrospective rating plan.
In the classical definition skewness is departure from symmetry. It was therefore natural to measure skewness by using a normalized third moment [see abstract]. This condensed measure, however, is not refined enough to be used as an operational instrument for studying various function which might be used to describe actual claim distributions.
In a note on the security loading of excess loss rates I am deducing a simple formula intended to replace some tedious calculations. In the beginning of that note I made the point that some authors recommend a loading proportional to the dispersion of the total claims amount of a treaty 81 while others tend to favor 812.

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