Browse Research
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1997
This study further substantiates the presence of insurance underwriting cycles and analyzes their causes. A generalized least squares analysis of changes in premium levels is used to test the rational expectations/institutional intervention hypothesis across countries as well as within each country. We also examine the relation between cycle length and the market/institutional features of each country.
1997
[Author's Reply begins on page 32 of PDF.]
1997
[Author's reply is found on page 24 of PDF.]
1997
The future of the actuarial profession is a matter of modeling and putting models into practice. One change taking place in the profession is the realization that all actuarial techniques are founded on models and that it is the models, and not the techniques, that are important for the future of the profession.
1997
[Discussion begins on page 16 of PDF.]
1997
[Discussion begins on page 14 of PDF.]
1997
[Discussion begins on page 18 of PDF.]
1997
In this paper we investigate the extent to which insurance companies utilize financial derivatives contracts in the management of risks. The data set we employ allows us to observe the universe of individual insurer transactions for a class of contracts, namely, those normally thought of as off-balance-sheet (OBS).
1997
The use of financial derivatives is widespread yet controversial, so it is timely that these authors provide an analysis of what kind of insurers tend to use which instruments, and also some insights into why they use them. This is an important paper, both in cataloguing what is done and in trying to explain the relationships found.
1997
This paper begins by providing a comprehensive accounting of the level and type of financial derivatives by U.S. insurers. Information is reported for life versus property/casualty insurers, detailing the number of insurers using various types of derivatives contracts, the volume of transactions in terms of notional amounts, and the number of counterparties.
1997
[Author's Reply begins on page 36 of the PDF.]
1997
Derivatives can be used effectively as financial risk management tools, and the derivatives markets have grown and evolved considerably over the last several years in response to the complex risk profiles currently facing firms participating in today's global economy.
1997
In the classical Black-Scholes model, the logarithm of the stock price has a normal distribution, which excludes skewness. In this paper we consider models that allow for skewness. We propose an option-pricing formula that contains a linear adjustment to the Black-Scholes formula. This approximation is derived in the shifted Poisson model, which is a complete market model in which the exact option price has some undesirable features.
1997
Aggregate financial data histories are extensively used by actuaries in projecting ultimate liabilities, but the claim occurrence, reporting, and settlement process which generates these data is not perfectly understood, rarely modeled directly, and not incorporated into the structure of most popular reserving methods. This paper utilizes today’s computer applications to create an automated simulation tool.
1997
This paper studies the downward bias associated with high-low averages. The bias occurs when the high-low averages are applied to data that exhibits a long-tailed property.
1997
Actuaries deal with data sets for reserving analysis that can vary substantially in terms of the volume of underlying data. The volume of data is one of several factors that affect the degree of certainty that can be attached to reserve estimates. affecting, in turn, the breadth of a range of reserve estimates that can be considered reasonable. We believe that the “performance” of a reserving method is evaluated, in part.
1997
The need for aggregate insurance statistical data arises from two different arenas: a regulatory need for data and a business need for data. In the next section the regulatory need for data will be elaborated upon followed by the business need. The majority of the study note, though, focuses on the relationship between the IS0 Statistical Plans and various rating elements for property/casualty insurance.
1997
Special Topics (narrow topic or advanced); Actuaries are under increasing demands to provide more analysis of relevant information required for business decisions in a shorter time frame. Advances in technology offer new solutions for not only data management, but also the actuarial analysis phase of the overall process. The two main points of this paper are: 1) The actuarial process is in the midst of a broader flow of data and information.
1997
Asset/liability management (ALM) theory and practices of insurers have matured and developed from early applications to guaranteed investment contracts (GICs) to all annuity and insurance products today. An important and logical next step of inquiry is the definition of, and calculation procedures for, the market value of an insurance liability.
1997
A portfolio of different insurance policies, such as temporary, endowment, and whole life, is studied in a stochastic mortality and interest environment. The first two moments of the present value of the benefits of the portfolio are derived. The riskiness of the portfolio as measured by the variance of the present value of the benefits can be divided into an insurance risk and an investment risk in two different ways.
1997
This paper examines the lifetime portfolio-selection problem in the presence of transaction costs. Using a discrete time approach, we develop analytical expressions for the investor’s indirect utility function and also for the boundaries of the no-transactions region. The economy consists of a single risky asset and a riskless asset. Transactions in the risky asset incur proportional transaction costs.
