Browse Research
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1992
Messrs. Pinto and Gogol have made a valuable contribution to actuarial literature through their analyses of industry excess loss development patterns. Based upon application of a theoretical model to industry data, the authors have convincingly demonstrated that paid and incurred loss and ALAE development patterns increase significantly as the retention increases.
1992
This paper estimates and compares a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments. The paper finds that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of the interest rate changes to be highly sensitive to the level of the riskless rate.
1992
Insurers accept and manage risk. The insurance market has long sought to measure the operating leverage and risk of various insurers. The premium to surplus ratio and the reserve to surplus rat o are traditional measures of this leverage and risk. This paper examines both the sources of risk to an insurer and how the insurer can reduce that risk. It also examines the effectiveness of various leverage indices.
1992
The allocation of policyholder's surplus is a common element of financial analysis models, including models used in solvency regulation, risk-based capital determinations, profitability calculations and ratemaking. Because the allocation method can significantly affect financial estimates by insurance line, it is important that the selected allocation method be reasonable.
Four allocation methods are tested.
1992
The estimation of outstanding claims is one of the important aspects in the management of the insurance business. Various methods have been widely dealt with in the actuarial literature. Exploration of the inaccuracies involved is traditionally based on a post-facto comparison of the estimates against the actual outcomes of the settled claims.
1992
This article elaborates upon the intuition underlying Doherty and Garven's (1986) option pricing model and extends its basic results to a further consideration of the implications of limited liability and asymmetric taxes for pricing and risk incentives in property-liability insurance. When compared with CAPM-based models of the insurer, a number of important insights emerge.
1992
Outlines Scandinavian solvency models.
1992
The purpose of this Standard is to define the issues and considerations that an actuary should take into account in determining discounted loss and loss adjustment expense reserves. The Standard applies to practices that relate to the Casualty Actuarial Society’s Statement of Principles Regarding Property and Casualty Loss and Loss Adjustment Expense Reserves. The Standard does not address the appropriateness of discounting.
1992
The purpose of this study note is to consolidate the basic actuarial concepts of individual risk rating into a single source and, in so doing, to provide standard notation for the formulation and solution of problems. It is intended that the elementary ideas will be identified and explained in a straightforward manner, with sufficient detail so the student can easily follow all steps in the development.
1992
In the simplest case, the Standard Premium for an insured is the manual premium adjusted by its experience rating modification. This is the best prospective estimate of the correct individual risk premium, but with expenses at a flat proportion of premium, appropriate for a small risk. As risk premium sizes increase, there is a gradation of expenses, so that expense becomes a lower proportion of the larger risk premiums.
1992
This paper is a presentation of methods used for computing the provision for underwriting profit in property and casualty insurance rates. The provision for underwriting profit is one component of an actuarially derived premium rate. Adding the provision for underwriting profit to the sum of provisions for losses and expenses yields the total premium rate.
1992
This study not describes the algebraic development of the 1940 and 1961 Workers Compensation rating plans. The revised plan introduced by the National Council on Compensation Insurance in 1989, generally effective 1991, is included, but covered more thoroughly elsewhere.
1992
Workers Compensation experience rating affects the distribution of billions of dollars of insurance premium. It is a large-scale application of actuarial science, one which has evolved since the very first days of the Casualty Actuarial Society. A Fair amount of material exists on the theory of underlying the plan, and some of that material is required reading for actuarial students.
1992
Financial models, which consider the time value of money, surplus commitments, and investment income, are increasingly being used in insurance rate making. This reading shows how an internal rate of return model can be used to price insurance policies.
1992
Modern risk theory has shown that the optimum risk-based surplus, once determined, can not be subdivided by line by state. It also follows that ratios of premiums to surplus (leverage ratios) do not exist which can by applied generally to property/casualty insurers in order to impute a surplus by line by state.
1992
Any actuary preparing a formal report on the reserves or on the financial soundness of a general insurance undertaking, including a Lloyd’s syndicate, whether as a consultant or as an employee. This Guidance Note does not cover other aspects of general insurance, such as rate-making.
1992
This paper describes the development of the revised Workers Compensation Experience Rating Plan. This is based on sound statistical theory, certain modeling assumptions, and thorough empirical testing.
1992
The most dramatic new requirement adopted by the NAIC with respect to loss reserve opinions for 1992 is the concept of the Appointed Actuary. What does “appointed” mean? What are the qualifications, responsibilities and job descriptions? How did the position come to be and how it is likely to evolve? How do actuarial standards apply to the responsibilities of an appointed actuary? This session will explore these questions and more.
1992
In his 1986 paper, "The Cost of Mixing Reinsurance," Ron Wiser analyzed the consequences of mixing pro rata and excess of loss reinsurance. He concluded that such mixed reinsurance situations were always unfavorable to the ceding company, both in terms of financial cost and loss ratio stability.
1992
In recent years, allocated loss adjustment expense reserves have grown significantly relative to loss reserves for many lines of business. This panel will review several methods for reserving allocated loss expense. The merits of establishing individual case reserves for allocated loss expense will also be discussed, including the impact on a company’s claim system.
1992
Credibility
1992
The NCCI Workers Compensation Experience Rating Plan is probably the best documented experience rating plan in widespread use. This paper is the current CAS syllabus reading on Experience Rating.
Abstract:
Workers compensation experience rating affects the distribution of billions of dollars of insurance premium.
1992
The concept of a valuation actuary (more recently referred to as an appointed actuary) has evolved more quickly for life insurance companies in the United States, Canada and Great Britain and, to a lesser extent, for property-casualty insurance companies in Canada than for property-casualty insurance companies in the United States.
1992
In this paper, we will cover the Bonus-malus system m automobile insurance. Bonus-malus systems are based on the distribution of the number of car accidents Therefore, the modelling and fitting of that distribution are considered.
1992
A panel of U.K. actuaries will provide their perspective on a number of issues currently of interest in the U.K., many of which are also current topics in North America. Likely topics include asset/liability modeling, financial reinsurance and risk based capital.
