Browse Research
Viewing 4501 to 4525 of 7695 results
1994
This paper derives several formulas for the probability of eventual ruin in a discrete-time model. In this model, the number of claims process is assumed to be binomial. The claim amounts, premium rate and initial surplus are assumed to be integer-valued.
KEYWORDS Compound binomial process; Probability of eventual ruin; Ultimate ruin probability; Infinite-time ruin probability; Risk theory; Random walk; Gambler's ruin; Lagrange series.
1994
In an earlier paper the author derived a recursion formula which permits the exact computation of the aggregate claims distribution in the individual life model. To save computing time he also proposed an approximative procedure based on the exact recursion.
In the present contribution the exact recursion formula and the related approximations are generalized to the individual risk theory model with arbitrary positive claims.
1994
Investment Income, Expenses, Regulation
1994
In 1992, the NAIC adopted the concept of the appointed actuary with respect to loss reserve opinions. Now this concept is evolving into that of the valuation actuary with the potential for broad responsibilities for opining on assets and surplus as well as insurer liabilities. This session explores the appointed actuary concept and the implications of the expanding role of actuaries in reporting on the general financial position of an insurer.
1994
Challenges foundations of financial theory (expected utility, Sharpe Diagonal Model, and variance as a satisfactory proxy for risk.)
1994
The automobile third party insurance merit-rating systems of 22 countries are simulated and compared, using as main tools the stationary average premium level, the variability of the policyholders' payments, their elasticity with respect to the claim frequency, and the magnitude of the hunger for bonus. Principal components analysis is used to define an "Index of Toughness" for all systems ~.
1994
This paper develops a discrete time model for valuing treasury bills and either forward or futures contracts written against them. It provides formulae for bill prices, forward prices, futures prices, and their conditional variances and risk premiums. The interest rate process is described by a multiplicative binomial random walk whose features conform to some principal characteristics of observed processes.
1994
For some time now, the convenient and fast calculability of collective risk models using the Panjer-algorithm has been a well-known fact, and indeed practitioners almost always make use of collective risk models in their daily numerical computations.
1994
A practical method of allowing for covariates in compound Poisson modeling distributions is discussed.
KEYWORDS Premium rating; compound Poisson distributions, generalized linear models, power variance function.
1994
In deductible pricing formulas presented in the CAS Part 9 syllabus, a "safety factor" is mentioned but not fully explained. This paper describes the purpose, scope, concepts, and applications of the safety factor in Workers Compensation deductible programs. A procedure for quantification of this factor is presented using a component approach. The authors also discuss the theory and practice of estimating each component.
1994
Reinsurance Research - Pricing/Contract Design
1994
Traditional actuarial techniques may not always produce appropriate pricing and reserving analyses for the self-insured market. In particular, potential self-insurers often have very limited historical data. The paper presents an overview of the various self-insurance mechanisms and discussions common limitations inherent in self-insures' data.
1994
The so-called "parallelogram" method is standard in actuarial practice for illustrating loss and exposure statistics as a conceptual and calculational device. Ratemaking is a prime example. In this article we propose a similar device based on three variable calculus.
Loss Development, IBNR
1994
Regulation
1994
The claims generating process for a non-life insurance portfolio is modelled as a marked Poisson process, where the mark associated with an incurred claim describes the development of that claim until final settlement. An unsettled claim is at any point in time assigned to a state in some state-space, and the transitions between different states are assumed to be governed by a Markovian law.
1994
This paper considers the application of the state space modelling to the chain ladder linear model in order to allow the run-off parameters to vary with accident year. In the usual application of the chain ladder technique, the development factors are assumed to be the same for each accident year. This implies that the run-off shape does not alter with accident year.
1994
Mean/variance methodology has been commonly used as a basis for making asset allocation decisions. Sherris (1992) demonstrated how this approach was really a special case of a more general utility maximization problem. This paper intends to carry this idea further by applying numerical techniques to obtain the optimal asset allocation strategy, as well as incorporating explicit constraints into the selection problem.
1994
This article presents a detailed analysis of asset liability management strategies.
1994
This paper explores the collective risk model as a vehicle for estimating the probability distribution for reserves. Though the basic model has been suggested in the past and it provides a direct means to estimate process uncertainty. It does not directly address the potentially more significant problem of parameter uncertainty.
1994
Aggregate loss distributions have been used in a number of different applications over the last few years. These applications have usually focused on the distribution of losses at ultimate or final values and have not studied how losses move to ultimate values over time. The approach outlined in this note models claim activity through the use of transition matrices.
1994
Uses an artificial intelligence approach to combine financial ratios into an insolvency predictor.
1994
This paper develops a three dimensional statistical approach to the estimation of the mean and the standard deviation of pure
incurred but not reported (IBNR) reserves. This means that the time of occurrence, the reporting lag, and the claim severity are separately modeled. It is assumed that, beyond any fixed time $t$, the claim number development process is Poisson and that the severity of loss depends on the length of the reporting lag.
