Browse Research
Viewing 5301 to 5325 of 7695 results
1988
A model for the claim number process is considered. The claim number process is assumed to be a weighted Poisson process with a three-parameter gamma distribution as the structure function. Fitting of this model to several data encountered m the literature is considered, and the model is compared with the two-parameter gamma model giving the negative binomial distribution.
1988
The estimation of reserves, established by the ceding company, for known and potential reinsures in liquidation requires a digest of reinsurance placements, a ceded claim data capture capability, an accounting of known ceded claims and the corresponding accounts receivable, methods for evaluating the expected ultimate liability in the ceded layers (including development of known direct claims and IBNR claims), and an evaluation of potential credi
1988
Standard reserving techniques of squaring the triangle are difficult or impossible to apply to a portfolio of assumed reinsurance. A portfolio of assumed reinsurance is typically comprised of very dissimilar risks. This paper outlines a method to reserve at the individual contract level as a means to develop a reserve for the entire portfolio.
1988
Recently the National Council on Compensation Insurance has significantly revised the Experience Rating Plan for Workers' Compensation. This followed a detailed actuarial study of the performance of the current plan and possible alternatives. The new plan that is the result of this study has been given the acronym SERA (Simplified Experience Rating Adjustment).
This note compares SERA to the current experience rating plan.
1988
For a general class of reinsurance treaties the author gives an upper bound for the net premium. This result can be seen as the counterpart to a premium bound for the classical stop-loss reinsurance cover (see Bowers, 1969). For some special cases some preliminary work can be found in Kremer (1983).
Reinsurance Research - Pricing/Contract Design
1988
Pricing in the global sense means the actuarial, marketing and underwriting process by which manual premiums are determined. Just as pricing is not restricted to the members of the actuarial department, so too are marketing and underwriting efforts not restricted to the employees in those departments.
1988
The mathematics of excess of loss coverages and retrospective rating involves heavy algebra, mainly because the indemnity payment under such contracts assumes different functional forms in different parts of the loss size.
1988
We consider a general credibility model for the prediction of IBNR-claims which allows for random fluctuations m the underlying delay distribution. Such fluctuations always bring about decreasing credibility It is shown that even negative credibility is achieved for more substantial fluctuations m the delay distribution. Special attention ~s paid to the mixed Poisson case for claim numbers including the discussion of parameter estimation.
1988
The mathematics of excess of loss coverages and retrospective ratings involves heavy algebra, mainly because the indemnity payment under such contracts assumes different functional forms in different parts of the loss size distribution.
1988
This paper describes the most significant provisions of the current tax code (referred to as the Internal Revenue Code of 1986) affecting property/casualty insurers, and provides an analysis of the impact which changes in certain investment, underwriting, and other operating results have on insurers’ taxes and after-tax earnings.
1988
For a company which primarily writes automobile insurance the largest and most difficult liability to estimate ordinarily is the reserve for bodily injury liability coverage. It is prudent to use a variety of methods to estimate this reserve.
Reserve projections depend upon a rhythm in the claims settlement process.
1988
By examining the underlying economic principles of insurance and finance, this paper shows how the proper interest rate for reserve discounting is a function of the degree of risk present in the outstanding reserve. When loss reserves are certain, the discounting interest rate is shown to be the market interest rate for a riskless security having a duration matching that of the loss payment.
1988
Little has been published to date on the determination of outstanding liabilities for unallocated loss adjustment expenses. The only method mentioned in the literature is the calendar year paid-paid method, and upon analysis it is apparent that this method will only give good results for very short-tailed, stable lines of business.
1988
There have been a number of past attempts aimed at using financial data of individual companies to produce predictive models of insurance company solvency. These models have come in two forms: parametric and nonparametric.
1988
Contains papers presented by Teivo Pentikainen, Gregory Tayor and Robert Buchanan at an International Conference on Insurance Solvency.
1988
The essence of an insurance policy is the promise by the insurer to pay all claims of the insured that are covered by the policy. In return for the insurer's promise, the insured pays the policy premium. The insurer can be partially described financially or economically by the set of all these policies.
1988
The Kalman filter is generalized to cover state-space models in which the variance of the observation error depends on the state vector. Derivations of the filter yielding minimum mean squared error linear estimators and associated error covariance matrices are obtained from two differing viewpoints: linear Bayes theory and Gauss-Markov theory.
1988
A class of claim frequency distributions discussed by SUNDT and JEWELL (1981) is completely enumerated. Computational techniques for the associated compound total claims distribution in the presence of policy modifications are then derived.
Keywords Panjer's recursion; deductibles; maximums; extended truncated negative binomial.
1988
The Pareto-optimal design for profit-sharing is derived under general assumptions as to the utility function of both the insured and the insurer. This generalizes the result of Jones and Gerber and explains commonly used dividend formulas m terms of risk aversion.
Keywords Profit-sharing, Pareto-optimality; optimal control theory.
1988
It is shown how the stationary distributions of a bonus-malus system can be computed recursively it is further shown that there is an intrinsic relationship between such a stationary distribution and the probability of rum in the risk- theoretical model The recursive algorithm is applied to the Swiss bonus-malus system for automobile third-party liability and can be used to evaluate ruin probabilities.
Keywords Bonus-malus, stationary distributi
1988
Principal component analysis is employed to construct a new formula defining 'sports cars', a classification variable commonly used by Belgian insurers in motor insurance. Five hundred and eighty-one different car models were used in the design of the formula.
1988
Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871-1986), a vector-autoregressive forecast of the present value of future dividends is, for each year, roughly a weighted average of moving-average earnings and current real price, with between two thirds and three fourths of the weight on the earnings measure.
1988
Statement of Principles Regarding Property and Casualty Loss and Loss Adjustment Expense Liabilities
1988
Uses the stochastic principles underlying option pricing models to develop formulas for charging insurers guaranty fund premiums commensurate with their expected default costs.
1988
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 chance of insolvency. This paper explores the explicit calculation of a risk load for discounted loss reserves.
