Browse Research
Viewing 3426 to 3450 of 7690 results
2000
Internal rate of return (IRR) measures the level annual return over the life of an investment, whereas return on equity (ROE) measures the return over each accounting period. This paper develops the relationships between IRR and ROE by presenting and proving four algebraic theorems involving IRR and ROE. These theorems are developed using generic investment terminology that does not rely on any specific accounting basis.
2000
The classical Buhlmann credibility formula estimates the hypothetical mean of a particular insured, or risk, by a weighted average of the grand mean of the collection of risks with the sample mean of the given insured. If the insured is unfortunate enough to have had large claims in the previous policy period(s), then the estimate of future claims for that risk will also be large.
2000
Long Term Care (LTC) covers are insurance products for which it is difficult to choose proper pricing and valuation bases, since information coming from practical experiences is still scanty. Moreover, due to their lifetime duration, they are significantly affected by demographical trends.
This paper addresses the question of building technical bases for LTC covers.
2000
One of basic assumptions of the known dynamic models of the risk theory [1,2] including a sequence of actions during a fixed time interval which is a realization of a random process of occurrence of actions from individual insurance contracts (when several actions can be brought during the contract period as, for instance, in automobile insurance) is the same distribution and independence of time intervals between the moments the actions are brou
2000
A straightforward derivation of Thiele’s differential equations for the moments of present values of a payment stream governed by a discrete time Markov process is presented. Two different applications of the theory are then discussed. The first deals with the problem of rehabilitation on disability annuity claims and the second bases predictions on case estimates.
2000
It is known that, for certain probability distributions, some classical risk-indices, depending on moments on the first and the second order, may not exist. In this paper some alternative indices are presented in order to give a classification of both the most common distributions and the only heavy-tailed (or subexponential) ones.
2000
The aim of this paper is to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rata capita clause, we will study the rate on line method. For the pro rata temporis clause, we will study the use of a trivial approximation.
2000
This paper examines an integro-differential equation of the survival probability ¦Ä(u) for a class of risk processes in which claims occur as an ordinary renewal process. Specifically, according to the model proposed by Dickson, claims are assumed to occur as an Erlang process. We determine ¦Ä(u) by using an exponential claim size distribution, thus comparing the results to those obtained from the classical Cramer-Lundberg model.
2000
The article deals with robust bayesian estimates. Different statistical models are proposed which yield estimates of the posterior mean which are able to cope with very large claims, misspecified prior information and misspecified distributional assumptions. The methods developed in the paper are especially useful when dealing with catastrophe risks.
Keywords: Bayesian statistics, Robust statistics, Catastrophe risks.
2000
In the first part of the paper we shall describe a profit center (PC) system, the reasons why it is set up, its advantages and disadvantages, as well as the main issues that the general management of a large insurance company that has introduced the profit center system has to take care of on an ongoing basis.
The properties of a CRC will be described in the first part of the paper by setting up an internal fund for the PCs (the first CRC type),
2000
The balance of policy prices vs. reserves conditioned by solvency requirements is considered, aiming analysis of an insurer as subject of price competitive insurance market.
The intrinsic relationship between the policy prices and the risk reserves, and the influence of this balance on solvency of individual insurance business are formalized in the framework of the collective risk model.
Different approaches to tuning prices vs.
2000
We suggest the use of Poisson hidden Markov models (PHMMs) in non life insurance. PHMMs are an extension of the well-known mixture models and we use them to model the dynamics of overdispersed data, in particular of the claim number. PHMMs allow us to explicitly consider unobserved factors influencing the dynamics of the claim number.
2000
A simple multivariate algorithm and corresponding copula are introduced which allow varying dependency as a function of loss size. In contrast to the Gaussian copula, large losses from Pareto distributions can be correlated. For the bivariate problem, special cases give the upper Frechet bound, independence, and the lower bound.
2000
For the classical risk model, we consider the expected amount of time until the insurer makes a net profit exceeding a prescribed amount a. Since ruin may occur prior to that event, we also discuss the probability of net profit for the insurer of at least a before ruin occurs.
2000
In this paper an actuarial model to quantify and manage credit risk is presented. The model has been named M.A.R.C. (Actuarial Model for Credit Risk).
With the M.A.R.C.
2000
Finland does not yet have Long Term Care Insurance. Public health services have so far been able to take care of the elderly, although public tariffing has left some people in a very difficult financial situation. The population is ageing, and with it the old age expenses are growing. The population is also getting lonelier with more single or childless people than ever before. Thus there will be a shortage of family caretakers in the future.
2000
Keywords: Extreme Value Theory, Balkema-de-Haan Theorem, limiting distribution functions, estimator, maximum entropy principle, spacing method.
2000
The health system in Israel is a highly advanced and developed, as well as complex. It includes a broad national compulsory health coverage, complemented by a voluntary collective supplemental group health coverage, and supplemented by private insurance health policies and extensive private medical services.
2000
Generalized algebraic bounds on linear combinations of order statistics are derived. Examples include average upper order statistics, Gini’s mean difference and stop-loss statistics. For the latter, different bounds are obtained and compared.
2000
NOTE 1: LARGEST CLAIMS REINSURANCE PREMIUMS UNDER DISCRETE
CLAIMS SIZES
2000
This paper proposes bonus-malus systems for fleets of vehicles, by using the individual characteristics of both the vehicles and the carriers. Bonus-malus coefficients are computed from the history of claims or from the history of safety offences of the carriers and the drivers.
2000
One of the most frequently recurring subjects found in actuarial literature is the problem of how to assess the risk associated with a portfolio of life policies.
Almost all the studies are based on mathematical treatments which, by making various assumptions, provide solutions to the problem mentioned.
2000
A claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bomhuetter/Ferguson and Chain Ladder. In this paper, the mean squared errors of all 3 methods are calculated and compared on the basis of a very simple stochastic model.
2000
When a bonus-malus (BM) system is superimposed on an a priori rating system, the premium applicable to a risk of a particular tariff class is adjusted by multiplying a base premium by a coefficient which depends on the BM class of the risk. In this way, the premium of risks belonging to different tariff classes but to the same BM class, are updated by the same coefficient when reporting the same number of claims.
2000
The present study deals with a group of insurance policies complementary to life insurance ones, concerning Dread Disease risk in additional form as to term insurance policies or in early form as to upgraded endowment ones, provided by the Italian insurance market.
