Browse Research
Viewing 2876 to 2900 of 7695 results
2003
In their diversity, insurance risks often require very different types of claims reserving models to describe them and to estimate the necessary reserves. The tractability of the chain ladder has contributed to its popularity. A brief analysis is given of its statistical basis and its implied limitations, of which the most important is its propensity to underestimate the reserves.
2003
The CAS must thank Doctors Myers and Read for their intriguing article. They have developed a practical algorithm for a previously subjective problem. Regulators often require a way to measure at least the indirect cost of an insurer's Surplus in ratemaking. This article offers a well-defined solution, together with a theoretical and philosophical explanation.
2003
A technique is demonstrated for aggregating bivariate claim size distributions using a two-dimensional Fast Fourier Transform. Three insurance applications are described in detail relating to: 1) individual risk rating, 2) loss and allocated expenses, and 3) Dynamic Financial Analysis.
2003
We determine the optimal two-layers stop-loss reinsurance contracts, which minimize the total splitting risk measure under market conditions.
2003
The impact of reinsurance on the economic capital and the cost of capital is examined. The effectiveness of alternative reinsurance forms is measured by comparing the corresponding risk-adjusted returns on capital and the costs of capital associated to the retained insurance risk.
2003
We present bounds for the total variation distance between the distributions of random sums with different random summations indices. The summands are assumed to be nonzero with small probability.
Keywords: Excess of loss reinsurance, finite signed measures, random sums, total variation distance, upper bounds.
2003
Consider an insurance programs involving two dependent lives. We study the impact of several types of dependence relations on the present value of annuities, benefits and premiums.
2003
Profit Testing, an established concept in the life insurance industry, is developed and applied to self-governed (self-insured) DC pension schemes in Switzerland. The dynamics of the pension scheme’s population are modeled by Markov chains. This allows for accurately capturing the impacts of different personnel policies such as reduction or increase of staff, promotion of early retirement etc.
2003
The paper consists of two parts:
Part 1: Estimating the loading of the largest claims reinsurance covers.
2003
An upper bound of the expected excess claim is deduced depending on the following parameters: the expected number of victims per accident, the minimum number of victims, the maximum number of victims, the market share of the cedant, the expected indemnity per victim, the maximum indemnity per victim.
2003
A Model is proposed for an insurance company which allows for a simultaneous optimization of the leverage and of the asset allocation of the firm. An explicit solution is derived. The optimal gearing of the company is typically below the values observed in practice. It is shown that the optimal choice of equity to debt ratio and of asset mix is driven by the same risk willingness of the company.
2003
The brief analysis of modern state of crop insurance in Uzbekistan is made. A dynamics of a loss cost in several regions of Uzbekistan is shown. Two methods of premium rate calculations are reviewed. The mix of these methods is offered for calculation of premium rate.
Keywords: an actual production history, a loss cost, a net-premium, a premium rate.
2003
In this paper we compare a strategic reinsurance program (SRP) with life insurance covers, retrospective premium calculation methods, covers by captive companies, bank guarantees, and investment activities of clients in a bank. The comparison leads to an interesting analysis of the SRP, which is generally recognized by the authorities as a reinsurance cover. The paper confirms the validity of this assessment.
2003
Simple linear credibility formulae can be obtained when the structure distribution of the risk parameter is conjugate and where claims belong to the Exponential Dispersion Model. The paper focuses on the case when a portfolio is heterogeneous and the structure distribution is given by a mixture of conjugate distributions.
2003
In the tradition of Merton (1969, 1971) we seek to describe the optimal behaviour of an individual through his lifetime. Our model is based on Richard (1975), which includes optimal insurance and annuity demand. We extend that work by modelling labour income as a stochastic process, explicitly recognising the market incompleteness posed by salaries, as opposed to the deterministic income flows assumed in Richard.
2003
The European Commission in Brussels has set the IAS as the unique accounting standards in order to build an integrated market of financial services within the European Union would become mandatory as from 2005 in particular for insurance companies listed on the stock exchange.
For these standards, valuation of assets and liabilities in “Fair Value” is the basic principle.
2003
Families of copulas could be distinguished according to the allocation of the weight among the dependence structure: some copulas could stress more on upper tails (large claims, while other could stress more on lower tails...etc. As mentioned by Gary Venter in Tails of Copulas in property and casualty applications, there could be interest in copulas that emphasize correlation among large losses.
2003
Various sources of inconsistency are identified in usual statistical rating models. Several semiparametric methods, which are more robust with respect to specification errors, are proposed. In particular, the Pseudo Maximum Likelihood Methods, the Generalized Method of Moments and the Asymtotic Least Squares Methods are used in a new approach of a priori and a posteriori rating.
2003
We study the equilibrium in a risk exchange, where agents' preferences are characterised by generalised (rank-dependent) expected utility, i.e. by a concave utility and a convex probability distortion (Quiggin, 1993). We obtain explicit results for the equilibrium price density, thus generalising Büuhlmann's (1980, 1984) formulas.
2003
A modified Hamilton-Jacobi-Bellman (HJB) equation is derived for the problem of optimal dividend payment under a ruin constraint, for discrete time and state space. This equation has a classical solution, and a verification argument is given which shows that the solution is the value function of the problem, and that the maximizer in the HJB equation defines the optimal dividend payment strategy in feedback form.
2003
We consider the compound binomial model where the safety loading can be positive negative or zero. We give explicit expressions for the joint and marginal distributions of the deficit at ruin and the surplus prior to ruin in the case of negative and zero safety loading .Via change of measure we derive expression for positive safety loading. The expression involve the Lundberg’s coefficient.
2003
A dynamic control model of the insurance process over n successive accounting years is considered. The analytical inference about the model requires investigations of a class of kernels describing yearly insurance mechanism.
Aiming the kernels, the approximations for the distribution of the risk reserve at time t conditional on ruin within time t in the Andersen’s collective risk model are obtained.
2003
A big problem in claims reserving is the divergence of paid and incurred IBNR-estimates i.e. the estimated ultimate amounts based on paid data deviate more or less from the corresponding estimates based on incurred data. This usually happens for most accident years and is often significant. Furthermore, the type of data which shows higher ultimate amounts may change from accident year to accident year.
2003
First, the concept of multidimensional credibility is introduced and the corresponding credibility-estimators are derived. Then this methodology is applied to estimate the frequency of big claims. The multidimensional estimators are explicitly calculated and discussed. Next a simulation study is carried through and the behaviour of the multidimensional technique is studied and compared with the one-dimensional credibility estimators.
2003
Modern Integrated Risk Management (IRM) and Dynamic Financial Analysis (DFA) rely in great part on an appropriate modeling of the stochastic behavior of the various risky assets and processes that influence the performance of the company under consideration. A major challenge here is a more substantial and realistic description and modeling of the various complex dependence structures between such risks showing up on all scales.
