Browse Research
Viewing 501 to 525 of 7695 results
2014
EY was retained by the Casualty Actuarial Society (CAS) to write a new text on financial reporting and taxation as it affects reserving and statutory reporting for use in the CAS basic education process. The CAS had two key objectives for this text:
1. Replace a number of readings that existed on the CAS Syllabus of Basic Education as of 2011 with a single educational publication.
2014
More casualty actuaries would employ the discrete Fourier transform (DFT) if they understood it better. In addition to the many fine papers on the DFT, this paper might be regarded as just one more introduction. However, the topic uniquely explained herein is how the DFT treats the probability of amounts that overflow its upper bound, a topic that others either have not noticed or have deemed of little importance.
2014
Actuaries quite often have to interpolate data to obtain quantities such as loss development factors (LDFs) for maturities in between the maturities included in a loss development triangle, or increased limits factors for limits between the data points used in the increased limits analysis.
2014
In the present paper we consider the claims reserving problem in a multivariate context. More precisely, we apply the multivariate generalization of the well-known credibility model proposed by Bühlmann and Straub (1970) to claims reserving.
2014
Copula models have been popular in risk management. Due to the properties of asymptotic dependence and easy simulation, the t-copula has often been employed in practice. A computationally simple estimation procedure for the t-copula is to first estimate the linear correlation via Kendall’s tau estimator and then to estimate the parameter of the number of degrees of freedom by maximizing the pseudo likelihood function.
2014
Retention is an important factor that impacts both profit and growth of insurance companies. Conventional retention analysis, such as logistic regression, does not distinguish between two types of attrition: mid-term cancellation and end-term nonrenewal. In this paper, the authors propose to use survival analysis to estimate attrition and retention.
2014
When estimating loss reserves, actuaries usually give varying weights to multiple indications to arrive at their final selected indication. The common practice is to give weight to indications that have been developed to their ultimate expected amount.
2014
A firm will replace a physical asset at the end of its useful life. This fact demonstrates that there is a notion of mortality implicit in the way an enterprise manages its physical assets. We propose a theory that there is also an efficient time to replace a physical asset that is random and observable.
2014
This paper back-tests the popular over-dispersed Poisson bootstrap of the paid chain-ladder model from England and Verrall(2002), using data from hundreds of U.S. companies, spanning three decades. The results show that the modeled distributions underestimate reserve risk. We investigate why this may occur, and propose two methods to increase the variability of the distribution to pass the back-test.
2014
A major problem facing livestock producers is animal mortality risk. Livestock mortality insurance is still at the initial stages, and premium computation approaches are still relatively new and will require more research.
2014
Welfare economics uses Lorenz curves to display skewed income distributions and Gini indices to summarize the skewness. This article extends the Lorenz curve and Gini index by ordering insurance risks; the ordering variable is a risk-based score relative to price, known as a relativity. The new relativity-based measures can cope with adverse selection and quantify potential profit.
2014
The problem of combining two or more estimates into a single estimate appears in many applications, such as combining estimates based on paid losses and estimates based on incurred losses, or combining estimates for several accident years or lines of business into a single estimate. A methodology for performing such combinations which allows for correlation is described. An accompanying Excel spreadsheet illustrates the procedure.
2014
Motivation. Some data sources, such as the NAIC Annual Statement Schedule P as an example, contain a row of all-prior data within the triangle. While the CAS literature has a wealth of papers that have developed various methods for estimating tail factors, and the CAS Tail Factor Working Party recently published a report on tail factor methods, tail factors are not directly applicable to all-prior data.
2014
In estimating ultimate claim and claim expense amounts, actuaries often rely on estimates developed using multiple actuarial methods. Combining these estimates is often left to the actuary's professional judgment.
2014
The modeling of insurance company enterprise risks requires correlated forecasts of the future values of various economic variables. These forecasts, especially as they pertain to interest rates, inflation, stock market performance and other economic variables needed for asset modeling, are typically obtained from an economic scenario generator (ESG).
2014
The paper examines the extent to which indicated Premium Risk Factors (PRFs) and Reserve Risk Factors (RRFs) are related to ceded reinsurance usage. Prior DCWP work found that company insurance impairment probabilities generally increase as ceded reinsurance usage increases.
2014
CAS E-Forum, Winter 2014 Including Report 7 of the RBC Dependencies and Calibration Working Party, the VFIC-commissioned report on Actuarial Values of Housing Markets, Essays on the Impact of Climate Change on the Insurance Industry and three Independent Research Papers
2014
This article proposes using credibility theory in the context of stochastic claims reserving. We consider the situation where an insurer has access to the claims experience of its peer competitors and has the potential to improve prediction of outstanding liabilities by incorporating information from other insurers.
2014
The Unearned Premium Reserve (UPR) is the largest liability on the balance sheet of most writers of Warranty Insurance. Despite the specialized nature and small size of the line, the NAIC has seen fit in recent years to discuss the UPR for Warranty Insurance in its Regulatory Guidance on Property and Casualty Statutory Statements of Actuarial Opinion.
2014
For insurance and reinsurance companies primarily involved in the Catastrophe business, the dependence between losses from catastrophe events and the returns on their asset portfolio can significantly impact their risk capital calculation. This dependence is also of relevance to capital market investors involved in Insurance Linked Securities (ILS) funds.
