Browse Research
Viewing 1201 to 1225 of 7695 results
2011
Non-financial businesses face a variety of financial risks to their cash flow in good times, but in times of extreme economic volatility, proper risk management can mean the difference between survival and bankruptcy. This paper will review a risk management theory that deals with correlated, non-normally distributed factors, and then apply risk management techniques to the U.S.
2011
In this paper, a multivariate quasi-negative binomial distribution is proposed to model frequency dependence among different risk types.
2011
Today’s complex, interconnected global environment has created borderless risk capable of rapidly spreading across geographic, societal and organizational boundaries. In this environment, extreme events compel greater attention due to their potential for generating expansive and catastrophic harm. One source of extreme events is emerging risk, which, as defined in this paper, is new (novel) risk that has not existed previously.
2011
The following paper starts by defining and discussing the nature of risk and its primary relationship to capital preservation. The paper then continues with a guide for implementing a company’s risk appetite statement for a variable annuity product. A company’s unique risk profile changes at the level of individual transactions.
2011
This paper addresses the contradiction between the financial theory of hedging and management practice. The theory has identified a series of legitimate reasons for companies to hedge and create shareholder value. When these conditions are present, companies are supposed to implement a consistent level of hedging over a period of time.
2011
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.
2011
Sinkholes have emerged as a significant cost for homeowners and dwelling insurance in Florida. The conditions contributing to the formation of a sinkhole are generally similar over a local area. Thus the observation of known sinkholes and their proximity to a particular area
provides a Bayesian predictor of the probability of a future insured claim.
2011
2011 Winter CAS E-Forum Volume 2 The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2011
2011 Winter CAS E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2011
CAS Fall 2011 E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2011
The following paper presents and uses a simplified framework to explore the impact of inflation across various
aspects of loss reserving, pricing, and capital management.
2011
The Collective Risk Model (CRM) constructs aggregate losses from a claim count distribution
and a claim size distribution. The aggregate losses are Z = X1 + ::: +XN, where the Xi are
independent and identically distributed as well as independent from the claim counts N.
Simulating individual claims can be a lengthy process when the expected number of claims
is large.
2011
U.S. medical spending is high by measures including the level of spending, level of spending per capita, and
level of spending as a share of GDP. U.S. medical spending growth is average by measures including the
annual growth rate, annual growth rate per capita, and annual growth in spending as a percent of GDP. The
volatility of U.S. medical spending growth is low by measures including the standard deviation, skew, and
excess kurtosis.
2011
This paper describes how a data mining technique known as Association Rules can be applied in the analysis of insurance data to gain useful and actionable business insights. The technique is illustrated via its application to Workers Compensation (WC) insurance data. This case study shows how the Association Rules technique can be used to potentially reduce claim costs, manage claims, and help prevent injuries at workplace.
2011
2011 Summer CAS E-Forum Including the CAS Call Paper on “Testing Loss Reserving Methods, Models and Data Using the Loss Simulation Model”
2011
Abstract. One of the most powerful and profound tools of casualty actuarial science is the collective
risk model S = X +K+ X N 1 . It is widely used by casualty actuaries, especially by those in the field
of reinsurance. Nearly one hundred pages of one standard textbook (Klugman, [1998], Chapter 4)
hardly suffice to survey the ingenuity with which actuaries and scholars have analyzed it.
2011
Index clauses currently in place in the market do not specify how Annual Aggregate Deductibles (AAD)
and Annual Aggregate Limits (AAL) should be indexed, which result in inconsistency when indexed
deductibles and limits are in place.
In this paper, concepts of indexed deductible and limit will be revisited for developing indexing
methods for AAD and AAL. Formal mathematical proofs and numerical examples will be presented.
2011
Abstract: The constellation of the initiatives of ERM, Solvency II, and International Accounting traces back
through capital management to modern finance and portfolio theory. These supposedly dynamic and marketoriented
initiatives will eventually disappoint the (re)insurance industry, if they uncritically endorse risk-adjusted
discounting. One’s job is rendered more difficult, if not impossible, without the right tools.
