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2012
For most actuarial modeling applications, model parameters are unknown and must be estimated. If the associated parameter estimation error is not recognized in the modeling, there is a good chance that a substantial portion of the adverse (and favorable) loss potential will appear to be diversified away in the aggregation process.
Keywords: modeling applications, parameters
2012
In this paper we establish an actuarial framework for loyalty rewards and gift card programs. Specifically, we present models to estimate redemption and breakage rates as well as to estimate cost and value for use in both accrued cost and deferred revenue accounting methodologies.
2012
The Maximum Likelihood Estimation (MLE) is one of the most popular methodologies used to fit a parametric distribution to an observed set of data. MLE’s popularity stems from its desirable asymptotic properties.
2012
The value of a firm derives from its future cash flows, adjusted for risk, and discounted to present value. Much of the existing literature addresses the quantitative techniques for calculating probability distributions of future cash flows, calculating values of risk adjustment factors, and calculating values of discount factors.
2012
Bayesian approach is applied to evaluate the prediction uncertainty in chain ladder reserving. First, the philosophy of the Bayesian approach to prediction uncertainty is introduced and compared with the Frequentist approach. All parameters in the model are then estimated using the Bayesian approach, with multiple types of prior distributions.
2012
CAS E-Forum, Summer 2012 2012 Summer Volume including Dynamic Risk Modeling Call Papers on “Solving Problems Using a Dynamic Risk Modeling Process,” the 2012 Reserves Call Papers, and four Additional Papers
2012
Actuaries interact with a dizzying array of programs and institutions from around the world -- and the many acronyms they use as shorthand—every day. But there are just too many acronyms for anyone to keep straight, and new ones are being added all the time. Members of the American Academy of Actuaries’ Solvency Committee have put together an acronym reference chart.
2012
The use of Other Comprehensive Income (OCI) is receiving its moment in the sun. It is being considered for housing some of the earnings volatility in the International Accounting Standards Board (IASB) current approach to measuring insurance contracts’ performance.
The American Academy of Actuaries’ Insurance Accounting Task Force recently prepared a white paper to help IASB members understand just what could belong in OCI.
2012
Despite the relatively benign behavior of the general inflation rate in many countries for the past two decades, developments since the financial crisis of 2008 have created the potential for decreased price stability. One the one hand, the risk of a recession induced period of deflation is real and the fear of this scenario has led the U. S.
2012
