Browse Research
Viewing 5526 to 5550 of 7695 results
1985
Contains fully described simulation models.
Abstract:
This paper uses a computer simulation model to measure the expected value and variance of prediction errors of four simple methods of estimating loss reserves. Two of these methods are new to the Proceedings.
1985
The author provides variability estimates for development factor projections under the assumption that the age-to-age factors are lognormally distributed. Keywords: Confidence Estimates
Abstract
This paper explores some properties of the lognormal distribution.
1985
A deterministic treatment of profit models, including taxation, cited here as an encyclopedic reference.
Abstract
This paper will provide an introduction to the subject of underwriting profit models in order to provide actuaries with a basic framework for further study.
1985
Insurers paid $1.9 billion on property claims arising from catastrophes in 1983. Researchers have estimated that annual insured catastrophe losses could exceed $14 billion. Certainly, the financial implications for the insurance industry of losses of this magnitude would be severe; even industry losses much smaller in magnitude could cause financial difficulties for insurers who are heavily exposed to the risk of catastrophic losses.
1985
We improve on some results of Sundt (1982) on the asymptotic behavior of compound negative binomial distributions.
Keywords: Compound negative binomial distributions, renewal theory, asymptotic estimates.
1985
One of my hopes in writing a paper on development factor analysis was that it would help to stimulate others in their research in this area. The subject is so important that if Charles Darwin were alive today. his contribution to link ratio analysis might be the discovery of the long-awaited missing link. In the absence of a re-vitalized Darwin. we are fortunate to have the review of Stephen P. Lowe and David F.
1985
The purpose of this paper is to illustrate the need for development of unique applications of general corporate planning concepts to insurance companies.
1985
This paper presents a model for the retrospective analysis of experience on long-tail coverages. The model chosen is a "bank account" model which considers separately the profitability of each exposure period. The model treats premium income and interest earnings as bank account deposits, and loss payments, expense payments and interest charges as withdrawals.
1985
The purpose of this presentation is to provide an understanding of the basic techniques and considerations in establishing reserves for those claim related expenses that are classified as Unallocated Loss Adjustment Expenses (ULE). Standard ULE reserving methods are discussed, and examples illustrating the workings of the various approaches are presented.
1985
How can risk be measured and quantified? --Practical application of cash-flow analysis. Cash-flow-based surplus (CFS) -- A new concept of financial strength. Factors that affect benchmark surplus--Illustrations using C-3 risk single premium deferred annuity (SPDA) and guaranteed investment contract (GIC) products. How should multiple risks be combined for benchmark surplus? Benchmark surplus and the valuation actuary.
1985
The unbayesed credibility procedure proposed by Gerber is revisited. Its performance is discussed, connections are drawn to earlier literature, and some possible ideas of generalizations are investigated (and found fruitless).
Keywords: Unbayesed credibility, principles of statistical decisions.
1985
When the assumption of constant risk premiums is relaxed, financial valuation models may be tested, and risk measures estimated without specifying a market index or state variables. This is accomplished by examining the behavior of conditional expected returns. The approach is developed using a single risk premium asset pricing model as an example and then extended to models with multiple risk premiums.
1985
This paper is intended to show how premiums are related to the stability criterion imposed on a portfolio of risks and to the dividend requirements for the capital invested into the insurance operation. The point is that premium calculation should be seen as a consequence of the strategic concepts adopted by the insurance carrier.
1985
Mr. Steeneck has presented the basic principles of applying utility theory in reinsurance pricing in an admirable fashion. His article is straightforward and comprehensive. The footnotes provide an excellent bibliography of the current literature on the subject.
The interested reader is particularly directed to the monograph by Leonard Freifelder (Freifelder (1976).
1985
Reinsurance Research - Outward Program Design
1985
Reinsurance Research - Outward Program Design
1985
A simple recursion for the n-fold convolution of an arithmetic distribution with itself is developed and its relation to Panjer's algorithm for compound distributions is shown.
Keywords: Recursion, convolution, arithmetic distribution.
1985
The paper presents a specific modeling approach to the projection of surplus. The model uses assumptions on growth, underwriting results, underwriting cash flow, interest and tax to simulate the operating results of an insurance company. Invisible assets are incremented by cash flow at-d surplus by after tax income on an iterative basis for the years of the projection.
1985
Periodically, our reinsurance company does a time consuming, in-depth reserves study of each of its underwriting areas. These studies generate detailed information on exposure, market factors, report delay patterns, ultimate expected locus ratios, et cetera, f or each homogeneous group of contracts in the underwriting area.
1985
The paper discusses current approaches to financial planning, and argues that planning and monitoring of results can be improved by integrating them with the pricing process. Traditional insurance accounting information is rejected as not being meaningful. In its stead the author argues that products should be priced, planned and monitored either on an issue year or an exposure year basis.
1985
We consider particular semi-Markov risk models M/SM and I~/SM for which the interarrival distributions are exponential with parameters depending of the risk type. We obtain theoretical expressions for the ruin probabilities on an infinite horizon. In the special case of exponential distributions for the claim amounts, rum probabilities are to both models solutions of linear differential systems.
1985
Having worked on Empirical Bayes credibility for a combined total of over ten years, we share Mr. Buck’s frustration at the slow acceptance in practice of Empirical Bayes techniques. Part of the reason, we believe, is the inherent conservatism of the insurance business. Considering the sums at stake, practicing actuaries are reluctant to adopt new methods until they have been thoroughly researched and tested.
