Browse Research
Viewing 51 to 75 of 7695 results
2022
The Tweedie distribution provides a variance structure that is widely used in GLM for pure premium ratemaking. This essay suggests the quasi-Negative binominal (QNB) as an alternative. Both can be interpreted as collective risk models but the QNB has a variance structure that is more commonly used in other actuarial applications.
2022
After the chain ladder and the Bornhuetter-Ferguson method, the Cape Cod reserving method is among the most popular methods used to project non-life paid or incurred triangles. For this method, Saluz (2015) developed a stochastic model allowing the estimation of the prediction error resulting from such projections. This stochastic model involves a parameterization of the Cape Cod method based on incremental triangles of incurred or paid.
2022
In building predictive models for actuarial losses, it is typical to trend the target loss variable with an actuarially-derived trend rate. This paper shows that such practice creates elusive predictive biases that are costly to an insurance book of business, and proposes more effective ways for contemplating trends in actuarial predictive models.
2022
It is often difficult to know which models to use when setting rates for auto insurance. We develop a market-based model selection procedure which incorporates the goals of the business. Additionally, it is easier to interpret the results and better understand the models and data.
2022
The frequency and impact of cybersecurity incidents increases every year, with data breaches, often caused by malicious attackers, among the most costly, damaging, and pervasive.
2022
Flood represents one of the costliest and most disruptive natural disasters in
2022
The paper develops a policy-level unreported claim frequency distribution for use in individual claim reserving models. Recently, there has been increased interest in using individual claim detail to estimate reserves and to understand variability around reserve estimates. The method we describe can aid in the estimation/simulation of pure incurred but not reported (IBNR) from individual claim and policy data.
2022
We develop Gaussian process (GP) models for incremental loss ratios in loss development triangles. Our approach brings a machine learning, spatial-based perspective to stochastic loss modeling. GP regression offers a nonparametric probabilistic distribution regarding future losses, capturing uncertainty quantification across three distinct layers—model risk, correlation risk, and extrinsic uncertainty due to randomness in observed losses.
2022
Hierarchical compartmental reserving models give a parametric framework to describe aggregate insurance claims processes using differential equations.
2022
Although available since the 1990s, cyber insurance is still a relatively new product that is ever-changing. The report uses a conceptual approach to identify and evaluate potential exposure measures for cyber insurance. In particular, the report studies the losses that can arise with each cyber insurance coverage and identifies potential exposure measures related to these losses.
2022
The phenomenon of social inflation has garnered a great deal of attention in the property and casualty (P&C) insurance industry. The term defies strict definition, though it is widely acknowledged to involve excessive growth in insurance settlements. We examine evidence for its existence in standard industrywide claims triangles through 2019.
2022
This paper serves as a basic guide to economic scenario generators (ESGs), with an emphasis on applications for the property-casualty insurance industry. An ESG is a computer-based model that provides simulated examples of possible future values of various economic and financial variables.
2021
In ratemaking, calculation of a pure premium has traditionally been based on modeling frequency and severity in an aggregated claims model. For simplicity, it has been a standard practice to assume the independence of loss frequency and loss severity. In recent years, there has been sporadic interest in the actuarial literature exploring models that depart from this independence.
2021
In this paper we will review some established properties and derive some new properties of a Pareto distribution with fixed scale whose unknown shape parameter is Gamma distributed. Namely:
2021
CAS E-Forum, Spring 2021
Table of Contents
Call Papers on COVID-19 and the P&C Insurance Industry
Interplay between Epidemiology and Actuarial Modeling
Runhuan Feng, Ph.D., FSA, CERA; Longhao Jin, MS; and Sooie-Hoe Loke, Ph.D.
Auto Insurance: Strategic Shift Required for Acquiring and Retaining the Right Customers in a Post COVID-19 World
Swarnava Ghosh and Aditya
2021
Maximum likelihood estimation has been the workhorse of statistics for decades, but alternative methods, going under the name “regularization,” are proving to have lower predictive variance. Regularization shrinks fitted values toward the overall mean, much like credibility does. There is good software available for regularization, and in particular, packages for Bayesian regularization make it easy to fit more complex models.
2021
Analysis of truncated and censored data is a familiar part of actuarial practice, and so far the product-limit methodology, with Kaplan-Meier estimator being its vanguard, has been the main statistical tool. At the same time, for the case of directly observed data, the sample mean methodology yields both efficient estimation and dramatically simpler statistical inference.
2021
The Bornhuetter-Ferguson method is among the more popular methods of projecting non-life paid or incurred triangles. For this method, Thomas Mack developed a stochastic model allowing the estimation of the prediction error resulting from such projections. Mack’s stochastic model involves a parametrization of the Bornhuetter-Ferguson method based on incremental triangles of incurred or paid.
2021
Capital allocation is an essential task for risk pricing and performance measurement of insurance business lines. This paper provides a survey of existing capital allocation methods, including common approaches based on the gradients of risk measures and economic allocation arising from counterparty risk aversion. We implement all methods in two example settings: binomial losses and loss realizations from a catastrophe reinsurer.
2021
In this paper, we propose a generalization of the individual loss reserving model introduced by Pigeon et al. (2013) considering a discrete time framework for claims development. We use a copula to model the potential dependence within the development structure of a claim, which allows a wide variety of marginal distributions. We also add a specific component to consider claims closed without payment.
2021
The concept of risk distribution, or aggregating risk to reduce the potential volatility of loss results, is a prerequisite for an insurance transaction. But how much risk distribution is enough for a transaction to qualify as insurance? This paper looks at different methods that can be used to answer that question and ascertain whether or not risk distribution has been achieved from an actuarial point of view.
