Browse Research
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1985
Stein estimators are an alternative (non-Bayesian) explanation for credibility. Until this year, the syllabus for Part 4 of the Society’s examinations contained an article discussing Stein estimators, or James- Stein estimators, as part of the credibility readings for the exam (21. The article focuses on some examples where Stein estimators are applied to baseball players’ batting averages, among other things.
1985
We have developed a “Company Return” of operating results by division office and line. Company Return actuarially reflects loss development, retrospective rating plans, dividend plans, reinsurance, cash flow plans, and investment income. Losses are on an accident year basis. A retro accrual is deducted from the premium for retrospective returns paid or anticipated. A similar adjustment is made for dividends to policyholders.
1985
The property-casualty insurance operating environment has changed dramatically. Total return is more a function of investment results than ever before. Competition has pressured rate levels. And a greater proportion of total premiums is coming from "long tail" lines, making reserving more difficult. Reinsurance is becoming somewhat more financial oriented.
1985
Recursive credibility estimation is discussed from the viewpoint of linear filtering theory. A conjunction of geometric interpretation and the innovation approach leads to general algorithms not developed before. Moreover, covariance characterizations considered by other researchers drop our elegantly as a result of geometric considerations. Examples are presented of Kalman type filters valid for non-Gaussian measurements.
1985
This paper proposes to show that it is not possible for a property-casualty company to price on a total return basis and achieve the targeted return without the aid of a detailed flow of funds statement. It is demonstrated that, for a company to achieve a targeted total rate of return, it is imperative that a company position itself so that funds can be invested at the assumed rate.
1985
Data Management Profession (general or introductory)
1985
Reinsurance Research - Pricing/Contract Design
1985
Mr. Sherman’s paper presents a potpourri of practical applications involving the fitting of a parametric equation to loss development factor data. The particular equation utilized is called the inverse power curve.
1985
An outline is given of a proposed system for solvency control in non-life insurance that has recently been discussed within a Working Party appointed by the Norwegian supervisory authorities. According to this system the factual technical reserves must at any time be sufficient to meet, with high probability, all future liabilities stipulated by insurance contracts that have either expired or are currently in force.
1985
Data Management Profession (general or introductory)
1985
Credibility theory refers to the use of linear least-squares theory to approximate the Bayesian forecast of the mean of a future observation; families are known where the credibility formula is exact Bayesian. Second-moment forecasts are also of interest, for example, in assessing the precision of the mean estimate. For some of these same families, the second-moment forecast is exact in linear and quadratic functions of the sample mean.
1985
A major property-casualty insurance group recently created a separate profit center for personal lines, thereby signaling a new emphasis on these lines. Since the group had been a carrier with primary emphasis on commercial business, the planning process at the personal lines profit center became similar to that of an emerging company: there was little relevant history available to use in order to plan effectively for a very different future.
1985
Most insurance rating laws require consideration of "a reasonable margin for underwriting profit and contingencies" as one of the factors in establishing insurance rates. The purpose of this paper is to examine the contingency margin. A "contingency" is defined to be an uncertain, unexpected or unforeseen event. Evidence of the existence of "contingencies" can be seen by examination of industry underwriting results over the last 30 years.
1985
This paper attempts to provide the actuary with a methodology for monitoring the price and quantity of insurance for budgeting purposes. The paper discusses and defines cost accounting concepts and relates them to casualty actuarial work. The technique entitled "Analysis of Budget Variances" is applied to budgeted figures and actual results displayed on a net income statement prepared using the contribution method of allocating expenses.
1985
Effective measurement of financial performance for individual branch offices is hindered by two major problems. The first is an appropriate definition of profit; this is addressed through an economic-value accounting method which minimizes distortions due to the timing of income recognition. Return on equity is the basic profitability gauge used to compare results between profit centers.
1985
Financial reports of property/casualty insurance companies are notoriously difficult to interpret. A major reason for this difficulty is that the actuarially generated elements of those statements are usually not understood. Often they are not even identifiable. By the use of a fairly simple model, relationships between actuarial analysis and financial statement figures can be displayed. Once the sources of data in.
1985
When the assumption of constant risk premiums is relaxed, financial valuation models may be tested, and the 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 examle and then extended to models with multiple risk premiums.
1984
Ron Ferguson has performed a valuable service to the CAS by encouraging actuaries to focus one eye on the investment side of insurance operations while keeping the other eye (hopefully the good one) on familiar underwriting terrain. Bond duration is an important component of investment performance and actuaries should be familiar with this concept.
1984
This paper discusses one possible tax treatment of an insurance company acquisition and the role of the casualty actuary in this process.
1984
I would like to express appreciation to the authors for providing an informative discussion of insurance company acquisitions and related tax considerations. The authors point out that Insurance Companies have certain “identifiable intangible assets” that do not appear on their balance sheets, but which are real and have value.
