Browse Research
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1975
In order to motivate the series of Monte Carlo simulations we have carried out in the following article we would like readers to imagine that a small rural casualty insurance company, the Farm Fire and Flood Damage Ins. Co. (FFFDIC), is to be bought by an entrepreneur (whom we shall designate by EP) provided his consulting actuary (the author of this article) can satisfy his requirements which are as follow
1975
Reinsurance Research
1975
For the 4th ASTIN colloquium in Trieste (I963) Robert E. Beard [11 had initiated the topic of extreme value theory and its application to actuarial problems. The impetus came from Gumbel's book [2], published in 1958, and the idea of applying extreme value theory ran about as follows:
1975
The concept of utility is twofold. One may think of utility:
I) as a tool to describe a "fair game"
2) as a quantity that ought to be maximized.
The first line of thought was initiated by Daniel Bernoulli in connection with the St. Petersburg Paradox.
1975
Reinsurance Research - Risk Loads/Profitability
1975
Essentially, this paper describes a model for using repression analysis in the forecasting of Workers’ Compensation underwriting results and in evaluating past underwriting results.
In my line of work, which is in the research department of an insurance-oriented stock brokerage firm, we are continually forecasting results for property and casualty insurance companies.
1975
The multiplicative ratemaking, model we have in mind is the following one. Within a certain branch of insurance we have, say for simplicity, two tariff arguments U and V. For example, in motor insurance we could think of U and V as being make of car and geographical district respectively. In fire insurance U could be class of construction for buildings and V could relate to fire defense capacities.
1975
In the past the subject of optimal reinsurance has been dealt with by various authors such as Botch (I), Kahn (2) and Verbeek (3)- Borch tries to look at the problem from the point of view of a company which acts as both Insurer and Reinsurer whereas the viewpoint of Kahn and Verbeek is that of a Ceding Company.
1975
Determining accurate loss reserves is one of the most challenging tasks facing the actuary, and through the years numerous approaches have been devised to assist in developing reasonable estimates. Many of these are outlined in Skurnick's "A Survey of Loss Reserving Methods."
1975
Mr. Skurnick's thoughtful and thought provoking paper is destined to become required reading for actuarial students and practicing actuaries alike. Growing out of the need to solve a specific, local problem, this fine article accomplishes much more. Clear and compact, it can serve by example as a miniature manual of style for those of us who many feel inclined, in the future, to submit our own ideas for publication.
Ex/Ind. Risk Rating Plans
1975
This is both a review of and an alternative to the program described by Mr. Skurnick in "The California Table L" as a generalization of Table M. Table M focuses attention upon risks of a given expected loss size. The aggregate losses of each risk are ordered with the risks producing the least amount of such losses appearing first, the next lowest amount appearing second, etc.
1975
The two reviews suggest alternative approaches to three problems, the incompatibility of California Tables L and M for certain entry values, the multitude of Table L’s required for countrywide use, and the difficulty of measuring the incremental charge. Mr. Snader suggests a pragmatic method of graduation to produce a consistent set of tables while maintaining the assumption that the loss elimination ratio is independent of premium size. Mr.
1975
Provides the conditions necessary before a contingent loss or gain can/must to recognized in a companies’ GAAP financial statements. The conditions are essentially that it is probable that the loss(/gain) was incurred and that it can be reasonably estimated. Specifically prohibits setting up catastrophe reserves for future catastrophes.
1975
Extends credibility to a regression context. A cult classic among European academic actuaries.
1975
A simple risky situation is studied in the framework of consumption theory. Saving is shown to be a substitute to insurance. Two new concepts, riskbearing budget and effective risk coverage, are introduced in order to give a more accurate insight into the optimal risk-bearing decision. The effect of a variation in current consumption and in wealth upon tile optimal insurance coverage is analyzed.
1975
It is likely that in tile future applications of actuarial methods to the decision making in non-life companies will more and more relate to the utility concept as was proposed by K. Borch [i] about fifteen years ago. In this connection it will be important to have workable numerical methods. The calculation of the distribution function of the profit is an unavoidable problem from a practical point of view.
1975
When an insurance company accepts new insurances or when the premiums of earlier accepted insurances have to be changed on renewal the company has to
- search for the factors that influence the premium and
- calculate the premium according to the values of these factors.
In order to calculate the premiums the company gathers data consisting of factors eventually influencing the amount of claims.
1975
This paper was inspired by comments by H. L. Seal in a series of lectures given to the Actuaries Club in New York and by a paper of his recently published in the Swiss Actuarial Journal (Seal, 1972 [6]).
