Browse Research
Viewing 5651 to 5675 of 7695 results
1983
Reinsurance Research - Loss Distributions, Size of
1983
This paper proposes a new version of the collective risk model that allows for uncertainty in selecting the expected number of claims and the claim severity distribution. We provide two different methods of estimating the parameters of this model. It is demonstrated by computer simulation that one must combine the experience of several insureds in order to accurately quantify parameter uncertainty.
1983
An application of the previous paper on multiple regression risk models to analysis of IBNR losses.
1983
This paper starts with a risk-theoretic (frequency and severity distributions) model but allows the parameters of this model to vary. Albrecht uses maximum likelihood estimators for parameter estimation. The structure of the model allows the parameters to vary by accident year and thus introduce flavor of the adaptive models.
1983
LOB-Auto Physical Damage/Regulation
1983
Profit Factor/Rate of Return/Risk/Regulation
1983
This paper primarily discusses one quantitative excess of loss reinsurance pricing technique. European actuarial literature of the 1960’s explores mathematical utility theory in the context of insurance. Recently, Freifelder and Cozzolino have written about exponential utility’s value in pricing. This paper explores the relationship between wealth, reinsurance dollars and retention/cession.
1983
Profit Factor/Rate of Return/Risk/Regulation
1983
This paper describes a major refinement in methods of allocating general account investment income among lines of business, termed "segmentation." In a narrow sense, this is one more step in the evolution of the investment-year method; in a broader sense, segmentation provides the opportunity for major modifications in the structure and management of insurance company general accounts.
1983
Distribution functions are introduced based on power transformations of beta and gamma distributions, and properties of these distributions are discussed. The gamma, beta, F, Pareto,, Burr, Weibull and loglogistic distributions are special cases. The transformed gamma mixed with a gamma yields a transformed beta. The transformed gamma is used to model aggregate distributions by matching moments.
1983
Utility theory is discussed as a basis for premium calculation. Desirable features of utility functions are enumerated, including decreasing absolute risk aversion. Examples are given of functions meeting this requirement. Calculating premiums for simplified risk situations is advanced as a step towards selecting a specific utility function. An example of a more typical portfolio pricing problem is included.
1983
Classifications
1983
Reinsurance Research - Loss Distributions, Size of
1983
Loss reserving plays an important role in safeguarding a casualty insurance company's solvency. The specific role, however, depends upon the size of the carrier. For example, the primary threat to the surplus of most large, multiline insurers is the sudden and unanticipated development of losses from prior accident years.
1983
A series of studies by the Department of Transportation in the 1960's and early 1970's first popularized analysis of automobile insurance experience through accident proneness models. Unlike many actuarial approaches which tend to be empirical and. emphasize practical interpretations, accident proneness models tend to be heavily theoretical and often prove difficult to interpret on a non-technical level.
1983
1983
With the increased importance of utilizing quantitative analysis in risk management decision-making, Miss Wilkinson’s paper should provide our profession with a valuable use of the concept of probable maximum loss (PML), a term that has been a fixture of the insurance vernacular for decades.
