Browse Research
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1989
The subject of the effect of trend on excess of loss coverages has been addressed quite frequently in the Proceedings over the years. Several authors have made the point that with a fixed retention and uniform trend by size of loss, expected excess losses increase proportionally much more than indicated by the general rate of inflation.
1989
Reinsurance treaties defined as generalizations of the classical largest claims reinsurance covers are investigated with respect to the associated risk, defined as the variance of the insurer’s retaining total claims amount. Instead of the unhandy variance corresponding handier asymptotic expressions are used. With these an asymptotic efficiency measure for comparing two such reinsurance covers is defined.
1989
Arjas presents a stochastic model of the casualty insurance mechanism that makes use of martingales and "point processes." This differs from the collective risk approaches (frequency and severity) and also from the more ad hoc forecast models that are based solely on the development triangles. There appear to be significant practical questions regarding the underlying distributions that must be answered before this can be used in practice.
1989
The intent of this paper is to provide some basic tools for the measurement and management of interest rate risk. Interest rate risk has been present in the P/C industry since inception of the first insurance policy. Recent (1980’s) results of the P/C industry have heightened the awareness of the importance of investment income and its associated risk. Proper management of this risk is a key to the economic success of a P/C company.
1989
The purpose of the paper is to develop a method of calculating the aggregate loss distribution of excess claims based on a formula described in the book Risk Theory by Beard, Pentikainenen, and Pesonen. This formula requires that the claim frequency distribution satisfy a certain recursive relationship.
1989
It has long been recognized that property/casualty insurance companies assume risk through the underwriting process and that in the course of this subject surplus to variations in financial results. This aspect of property/casualty company insurance operations has been intensively investigated over a long period. Less attention has been paid to the risks proceeding from the management of company assets.
1989
This paper takes a stochastic approach of risk and return at the company level, addressing capital markets and rate-regulatory issues.
Abstract:
This paper attempts to analyze the capital structure of an insurance company in a way that (1) views the insurance company as an ongoing enterprise and (2) allows for the stochastic nature of insurance business. A model is developed.
1989
Little has been published to date on the determination of
outstanding liabilities for unallocated loss adjustment expenses (ULAE). The only method mentioned in the literature is the calendar year paid-paid method, and upon reflection it is apparent that this method will only give good results for very short-tailed, stable lines of business.
1989
Asset-liability matching, long known to life insurers, is currently being investigated by casualty actuaries. Several crucial differences between life and non-life insurance operations require modification of traditional immunization and duration matching techniques when applied to Property/Casualty insurers.
1989
A discussion of Harold Clark's "Recent Developments in Reserving in the London Reinsurance Market."
1989
Current accounting techniques for P&C Insurance companies do not represent the real values for assets and liabilities. Discounting is now a major issue, which has been brought more to the fore with the Tax Reform Act of 1986.
1989
A basic tenet of financial theory is the competitive market's ability to establish efficient and equitable prices for financial securities. The competitive price is a fair price because it generates a rate of return to stockholders that is adequate but not excessive. To understand how competitive markets establish prices, financial theorists have developed models that mimic competitive processes.
1989
Prior to the Tax Reform Act of 1986, federal taxes did not have significant impact in cash flow valuation models - the advent of the new law has made taxation a key factor in industry's future. Also, certain attributes of the TRA of 1986 create large tax credits or debits that should be valued in a merger or acquisition decision.
1989
Facultative casualty reinsurance certificates and working layer casualty excess of loss reinsurance treaties will often provide that the primary company and its reinsurer are to share Allocated Loss Adjustment Expense (ALAE) in proportion to their respective
amounts of the indemnity loss. This works well in most cases and can be properly priced by the reinsurer and evaluated by the primary company before entering into the reinsurance contract.
1989
Opposition to the discounting of loss reserves is based on the premise that loss reserves are uncertain and insurance companies must retain additional funds in order to reduce the change of insolvency. This paper explores the explicit calculation of a risk load for discounted loss reserves.
1989
In developing an estimated price for casualty excess of loss reinsurance contracts, it is not uncommon to adjust the expected loss component of the rate to reflect the estimated value of investment income on funds held to pay outstanding loss reserves. The discount rate is generally a function of 1) a projected payment pattern for losses and loss adjustment expenses (L&LE), and 2) a specified interest rate.
1989
A competitive market does not allow arbitrage, but some premium calculation principles one might find on a standard list would create arbitrage possibilities. Three simple constraints on calculation principles are developed which end up narrowing the list considerably. Two classes of principles that do meet the constraints are discussed.
Reinsurance Research - Market Dynamics
1989
An IBNYR event is one that occurs randomly during some fixed exposure interval and incurs a random delay before it is reported. Both the rate at which such events occur and the parameters of the delay distribution are unknown random quantities.
1989
Reinsurance Research - Market Dynamics
