Browse Research
Viewing 4426 to 4450 of 7690 results
1995
The authors discuss assumptions of the CAPM
1995
The paper extends earlier results by demonstrating that there is an optimal range of values for the period for amortizing valuation surpluses or deficiencies, in the case when there is a one year time delay between fixing a contribution rate and the accounting information about current fund levels. The optimal range is compared for the cases where there is no time delay and there is a one year time delay.
1995
Reinsurance Research - Loss Distributions, Size of
1995
In practical applications of Credibility Theory the structure parameters usually have to be estimated from the data. This leads to an estimator of the a posteriori mean which is often biased and where the credibility factor depends on the data. A more coherent approach to the problem would be to also treat the unknown parameters as random variables and to simultaneously estimate the a posteriori mean and the structure parameters.
1995
In this paper we study a transform introduced by De Pril (1989) for recursive evaluation of convolutions of counting distributions with a positive probability in zero. We discuss some cases where the evaluation of this transform is simplified and relate the transform to infinitely divisible distributions.
1995
It is often the case that a company writing a new product will not be able to precisely estimate the cost of the product and will not fully understand some of the characteristics of the product. These aspects of a new product entail risks not found in a mature well understood insurance coverage. One purpose of this paper is to explore the risks in a practical manner and to measure the extent of the risk.
1995
A number of studies have presented evidence rejecting the validity of the Sharpe-Lintner capital asset pricing model (CAPM). Possible alternatives include risk-based models, such as multifactor asset pricing models, or nonrisk-based models which address biases in empirical methodology, the existence of market frictions, or the presence of irrational investors.
1995
We investigate the usual method of discretizing loss reserving data by calendar year and show how this procedure may introduce fluctuations in the delay probabilities. These fluctuations, when treated as random fluctuations, possess a special correlation structure and we present a simple credibility method accounting for these fluctuations.
1995
This paper gives a basic introduction to the standard framework behind catastrophe modeling and explores the output of catastrophe modeling via modernized "pin maps" and loss likelihood curves. This paper also briefly discusses some of the uses of catastrophe modeling in addition to traditional probable maximum loss estimation and comments not he use of modeling for reinsures.
1995
Harry W. Markowitz in the 1950’s developed mean-variance analysis, the theory of combining risky assets so as to minimize the variance of return (i.e., risk) at any desired mean return. The locus of optimal mean-variance combinations is called the efficient frontier, on which all rational investors desire to be positioned. Actuaries see diagrams of efficient frontiers in their finance readings.
1995
The catastrophic losses caused by Hurricane Andrew and the Northridge Earthquake are leading many actuaries to reconsider their pricing formulas for insurance with a catastrophe exposure. Many of these formulas incorporate the results of computer simulation models for catastrophes. In a related development, many insurers are using a geographic information system to monitor their concentration of business in areas prone to catastrophic losses.
1995
This paper probes and re-analyzes the work of the 1993 paper, “Accident Benefits Long-Term Disability Losses: First Three Years’ OMPP Experience,” by Jason K. Machtinger and Robert L. Brown. The current paper takes a more statistical approach to modeling the first three years of OMPP LTD experience. It was found that the duration of disability for the first three years follows an Inverse Gaussian distribution.
1995
Reinsurance Research - General/NOC
1995
This paper proposes a new premium principle, where risk loadings are imposed by a proportional decrease in the hazard rates. This premium principle is scale invariant and additive for layers. It is shown that this principle will generate stop-loss contracts as optimal reinsurance arrangements in a competitive market when the reinsurer is less risk-averse than the direct insurer.
1995
Produces an arbitrage-free risk load by transforming the distribution function. The transformation used is to raise the tail probabilities to a power less than unity. Many desirable properties result. The application to increased limits ratemaking is discussed. Reinsurance Research - Pricing/Contract Design
1995
The predictability of an asset's return will affect the process of options on that asset. The authors construct an adjustment for predictability to the Black-Scholes formula.
