Browse Research
Viewing 5576 to 5600 of 7695 results
1984
Econometric multiple regression models are now commonplace aids to understanding variables affecting the insurance industry. For actuaries and other corporate management personnel to utilize these models to fullest advantage, it is necessary to be familiar with important regression statistics and to be able to critically evaluate model structure. This paper discusses statistics for determining the strength or validity of a model.
1984
The paper presents an extension of the classical Cramer-Lundberg ruin theory: the famous upper bound for the ruin probability with an infinite time horizon can be extended In a certain sense to the short and middle term case. Furthermore, a relation between the average values of lifetime and ruin amount is given.
Keywords: Ruin theory, middle term horizon, lifetime, ruin amount.
1984
We give an extension of the Economic Premium Principle treated in ASTIN Bulletin, Volume 11 where only exponential utility functions were admitted. The case of arbitrary risk averse utility functions leads to similar quantitative results. The role of risk aversion in the treatment is essential. It also permits an easy proof for the existence of equilibrium.
Keywords: Mathematical economics, equilibrium theory, premium principles.
1984
Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.
1984
The allocation of operating costs among the lines of an insurance company is one of the toughest problems of accounting; it is first shown that most of the methods used by the accountants fail to satisfy some natural requirements.
1984
In non-life insurance, it is nearly always assumed that the expense loading is a fraction of the risk premium. This may deeply affect the fairness of a tariff, as illustrated in the case of the Belgian bonus-malus system.
Keywords: Rate making, Expense loadings.
1984
This paper presents an approach to measuring the trade-off between two contrasting goals of an insurance company: surplus growth based on profitability vs. competitiveness based on a reduced price. The traditional surplus-to-written premium ratio is used to measure financial strength, while competitiveness is measured by the percentage of profit (or loss) present in the rates.
1984
Mr. Niswanders' paper attempts to measure the trade-off between greater underwriting profits (a less competitive position) and surplus growth and thereby address the question as to whether a company's profit goals and competitive goals are consistent. The question is an important one to understand and, if possible, to answer. Unfortunately, the model as developed does not answer the question due to design flaws.
1984
The following pages reproduce the exhibits associated with the paper "The Calculation of Aggregate Loss Distributions from Claim Severity and Claim Count Distributions" by Philip E. Heckman and Glenn G. Meyers (PCAS LXX, 1983). These exhibits were omitted from the original printing of the paper.
1984
This review will be divided into four sections. First, there are general comments about the paper: next, there are more specific comments and suggestions regarding standardized notation; third, there is a discussion of the Bickerstaff formula; and finally, the notation is extended to other actuarial concepts.
1984
Reinsurance Research - Reserving
1984
This paper presents an auto regressive (adaptive) method to estimate ultimate losses. The method uses auto regression to forecast future losses for an accident year with interrelations among accident years.
1984
Keywords: Compound distributions, aggregate claim distributions
1984
The cited chapters of this book introduce interest theory not standard in actuarial texts. Of particular interest are the definitions spot and forward yields and the explanation of how they differ from yields to maturity. These concepts expand on traditional ideas and help explain movements in credit markets unexplained by traditional theory.
1984
One of the most important problems in collective risk theory has been the computation of the distribution of aggregate losses given individual frequency and severity distributions. Various approaches have been tried since the subject was first introduced by Filip Lundberg more than seventy-five years ago (Cramer [I]). These include approximation, simulation, and actual computation using numerical techniques.
1984
Reinsurance Research
1984
Paul Otteson has presented a paper on investments and their implications in Property/Casualty insurance decision making. These investments also affect the "real" net worth of a company and a stock investor's decision to buy, sell or hold insurance equities. Paul covered a lot of territory and I would have hoped that some specific subjects would have been covered in more detail.
1984
We consider a risk model in which the claim inter-arrivals and amounts depend on a markovian environment process. Semi-Markov risk models are so introduced in a quite natural way. We derive some quantities of interest for the risk process and obtain a necessary and sufficient condition for the fairness of the risk (positive asymptotic non-ruin probabilities).
