Browse Research
Viewing 4151 to 4175 of 7690 results
1997
The upper bound provided by Lundberg's inequality can be improved for the probability of ruin in finite horizon, as Gerber (1979) has shown. This paper studies this upper bound as a function of the retention hmH, for an excess of loss arrangement, and compares it with the probability of ruin.
1997
This note generalizes Jewell's theorem on exact credibility from the classical Buhlmann model to the (weighted) Buhlmann-Straub model.
1997
The authors examine variations in event definitions and commutation clauses which are commonly encountered in casualty catastrophe reinsurance contracts in the market today. Changes in these aspects of the contract may affect the exposures the reinsurer is asked to cover. In this article, the variations are contrasted with special emphasis given to the effects this may have on the pricing/underwriting process.
1997
Good estimates for the tails of loss severity distributions are essential for pricing or positioning high-excess loss layers m reinsurance We describe parametric curvefitting methods for modeling extreme historical losses These methods revolve around the generalized Pareto distribution and are supported by extreme value theory.
1997
To CAS Members, In the spring 1994 edition of the CAS Forum, is the paper "Accounting for Risk Margins". That paper has been read by a number of people who have identified a few areas where formulas or numbers are either in error or potentially misleading.
1997
The purpose of this paper will be to identify the important financial aspects of a workers’ compensation insurer and describe their incorporation into a dynamic financial model. The paper identifies and describes these financial aspects, one or more approaches for incorporating these aspects into a model, identifies the data elements needed to parameterize the models.
1997
Alexander McNell's (1996) study of the Damsh data on large fire insurance losses provides an excellent example of the use of extreme value theory in an important application context. We point out how several alternate statistical techniques and plotting devices can buttress McNell's conclusions and provide flexible tools for other studies.
1997
The author seeks to dispel the confusion surrounding the surplus calculation in statutory accounting. The definition of surplus is clarified and selected charges and credits to surplus are discussed. Adjustments to surplus covered in the article include changes in non-admitted assets, unrealized capital gains and losses, and statutory penalties.
KEY WORDS: Accounting, Financial Reporting, Surplus.
1997
To use Bayesian analysis to model insurance losses, one usually chooses a parametric conditional loss distribution for each risk and a parametric prior distribution to describe how the conditional distributions vary across the risks. A criticism of this method is that the prior distribution can be difficult to choose and the resulting model may not represent the loss data very well.
1997
Many authors have observed that Hachemeister's Regression Model for Credibility - if applied to simple linear regression- leads to unsatisfactory credibility matrices they typically 'mix up" the regression parameters and in particular lead to regression lines
that seem 'out of range' compared with both individual and collective regression lines.
1997
Actuaries use paid and incurred methods to predict losses. Then one method is selected, and usually the information contained in the other(s) is jettisoned. Sometimes methods are weighted together, but without statistical justification. And even when an incurred method is deemed sufficient, present valuing will require predictions of loss payments.
1997
In recent years, a virtual consensus has emerged within the casualty actuarial science community that actuaries must broaden their role in insurance organizations by developing a set of tools that will enable them to render expert opinions regarding not only loss reserves but the overall value and solvency of the firm as a whole.
1997
This paper describes the elements of a simulation system used by the authors. A “user manual” approach is used to describe the elements of the system. A practical sample scenario is used to show how the system is used in practice. It is not the authors’ intent herein to discuss in any depth the technical issues involved in selecting the many parameters involved in a simulation.
1997
An earlier paper by the same authors developed the Daykin et al. (1994) asset/liability model to examine the effects of different reinsurance programmes on the capital of a direct property/casualty insurance company.
1997
The NCCI methodology for deriving Excess Loss Factors (ELF's), based largely on research performed in 1986, is documented in "Retrospective Rating: Excess Loss Factors" by William R. Gillam. This paper updates that 1991 paper. The changes in the way ELFs are produced have been significant, if not extensive.
1997
When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate methods are needed.
1997
We find reliable evidence that both book-to-market (B M) and dividend yield track time-series variation in expected real stock returns over the period 1926 91 (in which B M is stronger) and the subperiod 1941–1991 (in which dividend yield is stronger).
1997
The most common loss reserving procedures emphasize development-based projections, which implies trends examined for reasonableness and considered on an ad-hoc basis. This paper presents relatively simple methods for reflecting development and trend simultaneously, with weights that reasonably reflect the relative accuracy of the two types of projections.
1997
This paper presents a new reinsurance product, called 'Adaptive Pivot Smoothing' (APS). It is designed to reduce the variance of the risk reinsured without affecting the mean. Investment theories have provided the idea for the product.
1997
The Black-Scholes option pricing formula from finance theory is consistent with the assumption that the market price of the underlying asset at any future date is lognormally distributed with time-dependent parameters and can be shown to be a special case of both a more general option model and a familiar actuarial function used in excess of loss applications.
1997
The objective of this paper is to make allowance for cost of claims in experience rating. We design here a bonus-malus system for the pure premium of insurance contracts, from a rating based on their individual characteristics. Empirical results are presented, that are drawn from a French data base of automobile insurance contracts.
1997
This paper describes how an actuary can use fuzzy logic to adjust insurance rates by considering both claim experience data and supplementary information. This supplementary data may be financial or marketing data or statements that reflect the philosophy of the actuary's company or client. The paper shows how to build and fine-tune a rate-making model by using workers compensation insurance data from an insurance company.
