Browse Research
Viewing 2901 to 2925 of 7695 results
2003
In this paper we present a pricing application analyzing, in a contingent-claims framework, the two most common types of life policies sold in Italy during the last two decades. These policies, characterized by different premium payment styles (single and constant periodical), are endowments including both a bonus option and a surrender option.
2003
In an insurance context, consider {Xn, n¡Ý1} random claim sizes with common distribution function F and {N(t), t ¡Ý0} an integer valued stochastic process that counts the number of claims occurring during the time interval [0, t). Based on the number of near-extremes which are the observations Xi near the largest or the m-th largest observation we derive in this paper a strongly consistent estimator of upper tails of X1-.
2003
The viability of an insurance company depends critically on the size and frequency of large claims. An accurate modelling of the distribution of large claims contributes to correct pricing’s and reserving’s decisions while maintaining through reinsurance an acceptable level of the unexpected fluctuations in the results.
2003
This paper presents a model of the dependence structure of storm impact on both “motor” and “fire” insurance using copulas.
The data are taken from a French Insurance Company.
2003
Although the worldwide insurance market is used to thinking of asbestos as a “US problem”, it was used widely around the world. It is clear that European-sourced asbestos costs are now emerging as social and insurance issues.
2003
A number of actuarial risk-pricing methods calculate risk-adjusted price from the probability distribution of future outcomes. Such methods implicitly assume that the probability distribution of outcomes contains enough information to determine an economically accurate risk adjustment.
In this paper, it will be shown that distinct risks having identical distributions of outcomes generally have different arbitrage-free prices.
2003
Much has been done in recent years to quantify the impact of hurricanes and earthquakes on Homeowners loss experience, primarily through the construction of simulation models. Non-modeled catastrophes, primarily Wind, have retained the standard catastrophe ratemaking methodology. This paper examines various different ways of improving that methodology via the incorporation of other states' data.
2003
We consider optimal dividend payment under the constraint that the controlled risk process has a ruin probability which does not exceed a given bound. The underlying simple model has independent identically distributed total claims per year and a constant yearly premium, all integers. The solution to this constraint optimization problem is given in a modified Hamilton-Jacobi-Bellman (HJB) equation.
2003
A number of methods of allocating capital to business unit, e.g., line of business, profit center, etc., are discussed. Goals of capital allocation include testing the profitability of business units and determining which units could best be grown to add value to the firm. Methods of approaching these questions without allocating capital are included in the discussion.
Keywords: capital allocation, risk measures
2003
Based on the example of the Belgian Bonus-Malus scale, we will show in this article how to calculate the relative premiums associated with each level. These premiums will depend on the a priori ratemaking carried out preliminary. On the basis of a few examples we will also demonstrate how a Bonus-Malus system can be used as a marketing tool.
2003
This paper extends the credibility weighted intensity estimation ideas of Hardy and Panjer (1998) and Nielsen and Sandqvist (2000) to the proportional intensity case, where the level of each intensity is estimated from data and used to construct the credibility weighted estimator in areas of data sparsity.
2003
The well-known inflation-independent exposure rating curves from Property reinsurance (see e.g. [4] or [2]) cannot be deduced in Liability insurance in the same way because here the claims sizes cannot be assumed to be scaled by the sums insured.
2003
In the insurance and reinsurance industry, Normal and LogNormal distributions are widely used to model loss ratios. This might lead to an underestimation of the tail. To address this problem we propose a new distribution which we call Czeledin distribution. It is a combination of a LogNormal and a Pareto distribution.
2003
In this paper, a method will be illustrated which begins at the aggregate (portfolio) level for evaluating risk, and ends by producing prices for the component individual risks, effectively allocating the total portfolio risk charge. The result is an internally consistent allocation of diversification benefits.
2003
This article describes some of the ongoing regulatory initiatives in the United Kingdom and the changing role that actuaries are being asked to play in that regulatory model. Regulators in the US will see some similarities and some differences in the way in which auditors and actuaries are being asked to provide certifications.
2003
The Stanard-Bühlmann reserving method, commonly used by reinsurance actuaries, combines the stability of expected loss methods with the adherence to empirical data that is characteristic of the chain ladder method.
2003
Before discussing the effects of the attacks of 11 September 2001, we should be aware that the effects on the insurance industry, as serious as they may be, are small compared with the enormous human tragedy and the direct and indirect economic losses suffered by the City of New York.
When analysing the effects of the terrible events of September 11, it is useful to make a distinction between direct and indirect effects.
2003
This article focuses on the evolution of the Terrorism Insurance Risk Act of 2002 and uses event study methodology to measure the effect of this legislation on the market price of the common stocks of insurers.
2003
Source of earnings analysis has long been a staple of life insurance policy pricing and profitability monitoring. It has grown in importance with the advent of universal life insurance and similar contracts with non-guaranteed benefits or charges.
2003
This paper seeks to provide an understanding of the background to the search for an international standard for insurance contracts, which was initiated by the International Accounting Standards Committee (IASC) in 1997 and is still proceeding under its successor, the International Accounting Standard Board (IASB).
2003
With their paper, "Capital Allocation for Insurance Companies," Stewart Myers and James Read have added a great contribution to the finance literature relating to the property and casualty insurance industry. On its face, and taking as given that capital allocation is necessary, the Myers-Read methodology is intuitively appealing and mathematically elegant.
2003
The ideas of a former note on loss reserving are taken up again. As result a more practicable loss reserving method comes out, that is a refinement of classical procedures.
2003
This paper considers a simple context in which we can quantify the impact of the payment schedule on paid loss development. To isolate the effect of the payment schedule, we restrict to the special case when all claims have the same incurred loss.
