Browse Research
Viewing 951 to 975 of 7695 results
2012
In this paper, we introduce two families of loss reserving methods – the Actual vs. Expected family and the Mean-Reverting family. The Actual vs. Expected family can be used to credibly adjust prior expectations, either in terms of a fixed initial estimate or just a prior period’s estimate, for deviations between actual and expected experience in the same direction as the deviation.
2012
Motivation: Among other services in the assigned risk market, NCCI provides actuarial services for the National Workers Compensation Reinsurance Pooling Mechanism (NWCRP), the Massachusetts Workers’ Compensation Assigned Risk Pool, the Michigan Workers’ Compensation Placement Facility, and the New Mexico Workers’ Compensation Assigned Risk Pool.
2012
The advent of Solvency II has sparked interest in methods for estimating one-year reserve risk. This paper provides a discussion of the one-year view of reserve risk and some of the methods that have been proposed for quantifying it. It then presents a new method that uses ultimate reserve risk estimates, payment patterns, and reporting patterns to derive one-year reserve risk values in a systematic fashion.
2012
This paper will back-test the popular over-dispersed Poisson (ODP) bootstrap of the paid chain-ladder model, as detailed in England and Verrall (2002), using real data from hundreds of U.S. companies, spanning three decades. The results show that this model produces distributions that underestimate reserve risk. Therefore, we propose two methods to increase the variability of the distribution so that it passes the back-test.
2012
Thirty actuarial reserving methods are evaluated empirically against an extensive database of Schedule P data. The metric of method skill is used to evaluate the historical performance of the methods. Results are provided by company size and line of business. The effect of correlation on the usefulness of additional methods is considered.
2012
For insurers to be successful in the long run, they need to put forward an attractive value proposition for insureds and price (sufficiently) for it. To facilitate this, it is best that insurers deepen their understanding of consumer behavior in situations that involve risk. This paper is intended as a survey of the developing economic literature concerning how individuals make choices in the face of risk.
2012
Motivation: Usage-based auto insurance has received considerable publicity, but the driving behavior data that fuels these programs has been the subject of limited academic scrutiny.
2012
The use of social media has grown significantly in recent years. With the growth in its use, there has also been a
substantial growth in the amount of information generated by users of social media.
2012
At the request of the American Academy of Actuaries, the CAS formed the Risk Based Capital (RBC) Dependencies and Calibration Working Party (DCWP) to research how to handle dependencies and calibration in the NAIC P&C RBC formula (RBC or RBC formula), including the extent to which risk diversification should be reflected in the P&C formula.
The research identified a number of gaps in the current RBC formula.
2012
Speculative efficiency often requires that future changes in a series cannot be forecast. In contrast, series with a cyclical component would seem to be forecastable with decreases, possibly relative to a trend, during the upper part of the cycle and increases during the lower part.
2012
In this paper, we formulate a noncooperative game to model a non-life insurance market. The aim is to analyze the effects of competition between insurers through different indicators: the market premium, the solvency level, the market share and the underwriting results. Resulting premium Nash equilibria are discussed and numerically illustrated.
Keywords: Non-life insurance; Market model; Game theory; Nash equilibrium
2012
This paper proposes multivariate versions of the continuous Lindley mixture of Poisson distributions considered by Sankaran (1970). This new class of distributions can be used for modelling multivariate dependent count data when marginal overdispersion is present. After discussing some of its properties, a general multivariate model with Poisson-Lindley marginals and with a flexible covariance structure is proposed.
2012
For the classical model of risk theory, we consider the covariance between the surplus prior to and at ruin, given that ruin occurs.
2012
Tail comonotonicity, or asymptotic full dependence, is proposed as a reasonable conservative dependence structure for modeling dependent risks. Some sufficient conditions have been obtained to justify the conservativity of tail comonotonicity. Simulation studies also suggest that, by using tail comonotonicity, one does not lose too much accuracy but gain reasonable conservative risk measures, especially when considering high scenario risks.
2012
In the present work, we study the optimal reinsurance decision problem in which the Average Value-at-Risk of the retained loss is minimized under Wang’s premium principle and is also subject to either (1) a budget constraint on reinsurance premium, or (2) a reinsurer’s probabilistic benchmark constraint of his potential loss.
2012
A variable annuity VA) is a deferred annuity that allows an annuitant to invest his/her contributions into a range of mutual funds. A separate account termed as sub-account is set up for the investment. Unlike a mutual fund, a VA offers a guaranteed minimum death benefit or GMDB and often offers a guaranteed minimum living benefit or GMLB during the accumulation phase of the VA contract.
2012
In this paper, we investigate the problem of purchasing a reinsurance policy that minimizes the risk-adjusted value of an insurer’s liability, where the valuation is carried out using a cost-of-capital approach. In order to exclude the moral hazard, we assume that both the insurer and reinsurer are obligated to pay more for larger loss in a typical reinsurance treaty.
2012
Regression techniques are applied to an unbalanced panel data that includes 68 countries observed over a ten-year period, to explore the factors that affect non-life insurance demand across nations. While previous literature has discovered several significant economic, demographic, and institutional variables, little attention has been devoted to cultural dimensions.
2012
Within the European Union, risk-based funding requirements for insurance companies are currently being revised as part of the Solvency II project.
2012
When hedging longevity risk with standardized contracts, the hedger needs to calibrate the hedge carefully so that it can effectively reduce the risk. In this article, we present a calibration method that is based on matching mortality rate sensitivities. Specifically, we introduce a measure called key q-duration, which allows us to estimate the price sensitivity of a life-contingent liability to each portion of the underlying mortality curve.
2012
We build and describe an agent-based model: the Surprise Game. The game comprises a “world” of 30 firms, each of which has to survive (and, if possible, prosper) in its environment, which is nothing more than the other 29 firms. Each firm has to latch onto one or other of the four strategies that are predicted by the theory of plural rationality but has to relinquish that strategy and latch onto one of the others if it finds itself surprised.
2012
The claims development result (CDR) is one of the major risk drivers in the profit and loss statement of a general insurance company. Therefore, the CDR has become a central object of interest under new solvency regulation. In current practice, simple methods based on the first two moments of the CDR are implemented to find a proxy for the distribution of the CDR.
2012
The optimal quantization theory is applied for approximating law-invariant comonotonic coherent risk measures. Simple Lp-norm estimates for the risk measures provide the rate of convergence of that approximation as the number of quantization points goes to infinity.
Keywords: Coherent risk measures, optimal quantization, average value-at-risk, comonotonicity.
2012
In this paper we calculate premiums which are based on the minimization of the Expected Tail Loss or Conditional Tail Expectation (CTE) of absolute loss functions. The methodology generalizes well known premium calculation procedures and gives sensible results in practical applications. The choice of the absolute loss becomes advisable in this context since its CTE is easy to calculate and to understand in intuitive terms.
2012
The bootstrap method BICH is given for estimating mean square prediction errors and predictive distributions of non-life claim reserves under weak conditions. The dates of claim occurrence, reporting and finalization and the payment dates and amounts of individual finalized historic claims form a claim set from which samples with replacement are drawn.
