Browse Research
Viewing 3676 to 3700 of 7690 results
1999
When applying the collective risk model to an analysis of insurer capital needs, it is crucial to consider the effect of correlation between lines of insurance. Recent work sponsored by the Committee on the Theory of Risk has sparked the development of methods that include correlation in the collective risk model.
1999
Traditionally, workers compensation insurance rate-making in California assumed that the utilization of benefits was independent of changes in statutory benefit levels. This assumption was retained for many years in the face of growing evidence that changes in statutory benefits indirectly affected the utilization of those benefits.
1999
Data Quality (narrow topic or advanced); Everyone has heard or read about the Year 2000 (Y2K) problem that refers to the potential for date-reliant electronic systems to fail because they were not designed to read four digits. In the insurance industry, the importance is particularly acute because the contracted product is delivered in the future, crossing date lines.
1999
Workers' Compensation insurers have instituted significant managed care initiatives over the last 3 to 5 years. Savings can be significant. Due to the potential savings from managed care initiatives, it is important to reflect managed care in pricing workers' compensation products.
The impact of managed care on insurer loss costs may vary dramatically depending on the type of product and the layer of coverage.
1999
The increased emphasis on solvency monitoring of insurance companies, along with the American Academy of Actuaries’ vision of an expanded role for the Appointed Actuary, have stimulated reserving specialists to quantify the uncertainty in their estimates.
1999
For the construction of bonus-malus systems, we propose to show how to apply, thanks to simple mathematics, a parametric method encompassing those encountered in the literature.
1999
This paper provides an introduction to concepts and methods for developing estimates of uncollectible reinsurance reserves. Such reserves may be required if an insurance or reinsurance company has ceded reinsurance losses recoverable that have become uncollectible.
1999
This paper presents a simple procedure for quantifying the effect of the historically limited meteorological record on insurance losses calculated by hurricane catastrophe simulation models.
1999
Given a random variable of interest, a historical sample of its realized values, and the desire to model its possible future values, actuarial training provides many methods for selecting a family of probability models (distributions) and determining specific parameter values that best represent it. But how should one take parameter uncertainty (parameter risk) into account?
1999
Theory and evidence from the past two decades demonstrate that price deregulation increases efficiency and lowers costs and prices. The impact of deregulation on profit, however, is ambiguous and depends in part on the industry's market structure. Theory predicts that, in competitive industries, price deregulation tends to reduce prices by about as much as costs, producing little change in profit.
1999
This paper presents an approach to the allocation of surplus and profit loads to different product lines or policies within a single insurance company. The method presented calculates the allocation for each line based on the expected value conditional on the full surplus being exhausted.
1999
In this paper, we find explicit expressions for the moments of the fund level and the value of the total contribution when arithmetic or geometric rates of return are modeled by a moving average process of order q and when a proportional control is applied to the contributions.
1999
We derive some decision rules to select best predictive regression models in a credibility context, that is, in a 'random effects' linear regression model with replicates.
1999
One of the biggest challenges facing the securitization of insurance risk is the translation of pricing techniques between the insurance and capital market worlds. At their heart the two worlds share similar purposes: assigning prices to uncertain future cash flow patterns. While the purposes are similar, historically the techniques and terminology have been somewhat disjoint.
1999
Residual market plans often review their rates based on the experience of the plans themselves. The typical result is an indication for a large increase, which the regulator then judgmentally reduces. To the extent that equilibrium exists between voluntary and residual markets, it results from ignoring the indications.
Plans’ experience can call for rate decreases as well as increases, especially with no allowance for profit.
1999
Many insurers and reinsurers have significant accruals for loss sensitive premium items. Examples of contract features which may require an accrual are:
1. Retrospective rated policies and dividend policies for primary insurers; and
2.
1999
Data Collection & Statistical Reporting (narrow topic or advanced); The Allstate Insurance Company has implemented a process for indexing and archiving large volumes of remittance items (checks and payment coupons) via electronic
image.
1999
In this paper we consider compound distributions where the counting distribution is a bivariate distribution with the probability function
(function not available) that satisfies a recursion in the form (not available) We present an algorithm for recursive evaluation of the corresponding compound distributions and some examples of distributions in this class.
1999
Random uniform numbers in the range [0, 1) are used to invert the distributions of DFA variables and generate realized values. They are also perhaps the most often overlooked “parameters” of a DFA model. As the number of variables to simulate goes up, the number of iterations needed to reach satisfactory convergence increases as well.
1999
The definition and application of random effects linear models as a better alternative to empirical Bayesian credibility will be presented. A short review of Buhlmann-Straub credibility is contained in section 2. The author presents tractable formulas for quantifying the variability of credibility estimates. The variability of credibility estimates is produced without having to make distribution assumptions.
1999
We propose a new framework for pricing assets, derived in part from the traditional consumption-based approach, but which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect risky choice. Consistent with prospect theory, the investor in our model derives utility not only from consumption levels but also from changes in the value of his financial wealth.
1999
This paper presents a comprehensive framework for property/liability insurance risk management and securitization. Section 2 presents a rationale for P/L insurance risk management.
