Browse Research
Viewing 3301 to 3325 of 7690 results
2001
The paper contains a brief review of the bonus/malus ratemaking methodology found within the European community. It proceeds to explain how, under such systems, a priori and a posteriori ratemaking have to be integrated into a continuous risk evaluation mechanism.
2001
The warranty business is a relatively new line of insurance in the property-casualty market. For the most part insurance coverage for warranties, extended warranties and service contract reimbursement policies has been introduced over the last thirty years. There is great opportunity in this line of business for the pricing actuary.
2001
The paper addresses certain complications regarding the process of fitting and measuring the fit of loss distributions. These
complications result from policy limits and deductibles that render the loss distributions incomplete. A numerical example illustrates the concepts. A new methodology is introduced by the author for incorporating rating factors into the curve fitting process.
2001
The paper addresses certain complications regarding the process of fitting and measuring the fit of loss distributions. These complications result from policy limits and deductibles that render the loss distributions incomplete. A numerical example illustrates the concepts.
A new methodology is introduced by the author for incorporating rating factors into the curve fitting process.
2001
This paper focuses on issues and methodologies for fitting alternative statistical models--probability distributions--to samples of insurance loss data. The interaction of parametric loss distributions, deductibles, policy limits and rating variables in the context of fitting distributions to losses are discussed. Fitted loss distributions serve an important function for the purpose of pricing insurance products.
2001
The Casualty Actuarial Society's (CAS) Valuation, Finance, and Investments Committee (VFIC) has prepared the attached note entitled "Materiality and ASOP No. 36: Considerations for the Practicing Actuary". Actuarial Standard of Practice No. 36, Statements of Actuarial Opinion Regarding Property Casualty Loss and Loss Adjustment Expense Reserves, became effective on October 15, 2000.
2001
In this call paper program, participants were presented with a specific actuarial situation, including a company description and financial statements, and were asked to write a paper describing their approach and solution to the situation.
2001
How do you play with the weather and win? If you're an insurance company, very, very carefully.
2001
2001 Winter Forum, Ratemaking Discussion Papers and Data Management/Data Quality/Data Technology Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Ratemaking Discussion Papers
2001
Fall 2001, Including the Reserves Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Reserves Call Papers
2001
Summer 2001, Including the Reinsurance Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Reinsurance Call Papers
2001
Spring 2001, Including the Dynamic Financial Analysis Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Introduction and Background Information
2001
This article presents a valuation theory of futures contracts and derivatives on such contracts when the underlying delivery value follows a stochastic process containing jumps of random claim sizes at random time points of catastrophe occurrence. Applications of the theory are made on insurance futures and options, new instruments for risk management launched by the Chicago Board of Trade.
2001
We study a space of coherent risk measures M_phi obtained as certain expansions of coherent elementary basis measures. In this space, the concept of "Risk Aversion Function'' phi naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on phi for M_phi to be a coherent measure.
2001
This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently incur larger losses when losses occur.
2001
The fluctuations of the foreign exchange (FX) rates are a source of additional risk, but also an opportunity for further profits for internationally operating reinsurers. A DFA model that includes FX rates can be a means for measuring the potential impact of FX rate fluctuations on portfolios of ceded reinsurance and internationally invested assets.
2001
This paper considers flexible conditional (regression) measures of market risk. Value-at-Risk modeling is cast in terms of the quantile regression function – the inverse of the conditional distribution function. A basic specification analysis relates its functional forms to the benchmark models of returns and asset pricing. We stress important aspects of measuring the extremal and intermediate conditional risk.
