Browse Research
Viewing 4801 to 4825 of 7695 results
1993
In recent year, allocated loss adjustment expense (ALAE) reserves have grown significantly relative to loss reserves for many lines of business.
1993
Many reinsurance contracts have adjustable premium and loss limiting features that complicate the reserving practice. This session addresses such factors as swing rating, loss-ratio caps, profit commissions, aggregate deductibles, and pre-set commutation terms.
1993
Private Passenger Automobile Bodily Injury (BI) Liability Insurance, the largest subline of property-casualty insurance in the United States, has experienced during the 1980's rapidly increasing claim costs well in excess of the rate of overall inflation. The re-emergence of BI as a problem area has spotlighted traditional tort, no fault and choice systems as competing vehicles for cost containment.
1993
This paper attempts to give an overview of the pricing of risks in a pure exchange economy, where trade takes place at time zero and where uncertainty is revealed at time one. An economic equilibrium model under uncertainty is formulated, where conditions characterizing a Pareto optimal exchange equilibrium are derived.
1993
Summer 1993 These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume
1993
An important issue in applications of multifactor models of asset returns is the appropriate number of factors. Most extant tests for the number of factors are valid only for strict factor models, in which diversifiable returns are uncorrelated across assets.
1993
Mainstream research in empirical asset pricing has traditionally treated variances and covariances of asset returns as being exogenous. A number of authors have challenged this approach. In the present analysis, a vector autoregressive model is used to decompose stock and 10-year bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess stock and bond returns.
1993
In this article we break assets‘ betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns.
1993
Five common risk factors in the returns on stocks and bonds are identified. There are 3 stock market factors: an overall market factor and the factors related to firm size and book-to-market equity. There are 2 bond market factors, related to maturity and default risks. Stock returns have shared variation due to the stock market factors, and they are linked to bond returns through shared variation in the bond market factors.
1993
Insurance risk has moved to the forefront of the actuary‘s concerns. Three other papers on this topic by Fellows of the Casualty Actuarial Society, all written independently, have appeared at the same time as this one: Kreps [14], Venter [24], and Meyers (IS]. insurance risk is the foundation of the NAIC risk-bused capital requirements (Hartman, et al. [II]; Kaufman and Liebers 1121).
1993
A general framework for analyzing corporate risk management policies is developed. It is observed that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds valud to the extent that it helps ensure that a corporation has sufficient internal funds available to take advantage of attractive investment opportunities.
1993
This paper develops a concept of risk capital that can be applied to the financing, capital budgeting, and risk management decisions of financial firms. The development focuses particularly on firms that act as a principal in the ordinary course of business.
1993
Over recent decades, banks and bank regulators have devoted substantial resources to managing market risk and credit risk. More recently industry and regulatory focus has shifted to the mitigation of operational risk.
1993
Special Edition 1993, Ratemaking Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume
1992
Minutes for Meeting of August 23, 1990 including the Revisions to ISO's Increased Limits Procedure
1992
Reinsurance Research - Market Dynamics
1992
This review contains a description of how pictures were used to produce a practical solution to an insurance problem.
1992
The paper presents a theoretical framework for measuring the inherent statistical variability of the loss development process. Chain ladder loss development factors are assumed to follow a LogNormal, Log Gamma or Log Inverse Gaussian distribution. From this, the conditional distribution of ultimate losses for each accident year is developed, and its parameters are estimated.
1992
This paper addresses the problem of estimating future claim payments when two run-off triangles are available: one of the number of claims, the other of total amounts. Each single claim can have partial payments included in the total for several development periods. The method does not require additional information, such as measures of exposure and claims inflation.
1992
Appendices A and B present practical approaches to pricing the expected impact of adjustable features and loss sharing provisions of reinsurance treaties. A simple quota share example is used to illustrate methods of estimating the impact of aggregate deductibles, loss ratio caps and loss corridor provisions. This example is then used to evaluate profit and sliding scale commission plans and a retrospective rating plan.
