Browse Research
Viewing 101 to 125 of 7691 results
2020
CAS E-Forum, Winter 2020 Featuring four Essays on Communications to Senior Management and four Independent Research Papers
2020
Motivatio This paper was written in response to a ‘Call for Papers’ on Communication of Technical Results to Senior Management
Method This essay relies on personal experience which has worked for me.
Conclusions Structured and brief communications are key to communicate with senior leadership as time may be limited.
Keywords Communication, Structured Thinking
2019
Motivation: Provide guidance with respect to the creation, testing, documentation, and evaluation of predictive models, in particular Generalized Linear Models.
Approach: Compact summary of data organization & preparation, variable usage & selection, model evaluation, and algorithm building.
2019
Motivation Distributions of unpaid claims are gaining importance within the actuarial community as management, regulators, and others look to the actuarial profession for a quantitative approach to evaluating risk. Actuaries have historically applied their judgment to determine if a best estimate is reasonable, but how do we know if the models used to produce distributions are reasonable?
2019
Split credibility has been used in practice for several decades, though its foundational theory has been investigated only recently. This paper studies the properties of the primary loss and the excess loss in the split experience plan of the National Council on Compensation Insurance (NCCI). We first revisit the claim that the excess loss is more volatile than the total loss.
2019
Very similar modeling is done for actuarial models in loss reserving and mortality projection. Both start with incomplete data rectangles, traditionally called triangles, and model the data by year of origin, year of observation, and lag from origin to observation.
2019
In volume 8, no. 2 of Variance, a technique using actuarial present value was applied to infrastructure service contracts (ISCs) as a way to manage obsolescence in portfolios of fixed, physical capital assets. The theory put forth in that paper was purely deductive and used basic financial mathematics to posit some untested hypotheses.
2019
This paper presents closed-form formulas in order to estimate, based on the historical triangle of ultimate estimates, both the one-year and the total run-off reserve risk.
2019
A Bayesian Markov chain Monte Carlo (MCMC) stochastic loss reserve model provides an arbitrarily large number of equally likely parameter sets that enable one to simulate future cash flows of the liability. Using these parameter sets to represent all future outcomes, it is possible to describe any future state in the model’s time horizon including those states necessary to calculate a cost-of-capital risk margin.
2019
The betting industry has grown significantly but there have been no developments in creating a regulatory framework akin to the EU Solvency and Capital Requirement Directives in the Financial Services. This work derives a modular method to calculate the profit and variance of a portfolio of wagers placed with a bookmaker by subdividing these into bundles according to their likelihood size.
2019
In this paper we consider the problem of stochastic claims reserving in the framework of development factor models (DFM). More precisely, we provide the generalized Mack chain-ladder (GMCL) model that expands the approaches of Mack (1993; 1994; 1999), Saito (2009) and Murphy, Bardis, and Majidi (2012).
2019
We present an attribution analysis of residential insurance losses due to noncatastrophic weather events and propose a comprehensive statistical methodology for assessment of future claim dynamics in the face of climate change. We also provide valuable insight into uncertainties of the developed forecasts for claim severities with respect to various climate model projections and greenhouse emission scenarios.
2019
This paper provides a framework actuaries can use to think about cyber risk. We propose a differentiated view of cyber versus conventional risk by separating the nature of risk arrival from the target exposed to risk. Our review synthesizes the literature on cyber risk analysis from various disciplines, including computer and network engineering, economics, and actuarial sciences.
2019
Abstract: In this paper we describe a method of calibrating the Investment Income Offset element of the RBC Formula. Our key calibration decisions are the following: 1. We select the Present Value Approach rather than the Nominal Value Approach2. We convert the current combination of interest rate safety margins and UW risk safety targets to an equivalent UW risk safety target with no interest rate safety margin.
2019
In this paper we analyze the Line of Business (LOB) diversification elements of the RBC Formula.We compare the diversification credit produced by the NAIC Property/Casualty RBC Formula to the indicated diversification credit, i.e., the observed reduction in risk1 with increasing diversification.
2019
It is a well-known result that when an Euler allocation is used to allocate capital by line the overall expected return on capital can be increased by writing more business in lines where the expected return on allocated capital is greater than the overall company wide expected return. If the cost of equity capital varies by line, however, writing more business in these lines may not be the best choice for the company.
2019
The New Zealand Earthquake Commission (EQC) started using DFA (Dynamic Financial Analysis)1 in 1994 and has used DFA commercially ever since. EQC was one of the pioneers in the application of DFA to the insurance industry. Other pioneering users at the same time are described in four papers in the Casualty Actuarial Society Forum, Spring, 1996.
2019
In this paper we apply a simple regression model to link performance of a D&O insurance line of business to the S&P 500 economic variable from an economic scenario generator (ESG). The regression structure is incorporated into an existing economic capital model. The distribution of the error term is constrained so that the final distribution of the D&O line is equivalent to the distribution previously used.
