Browse Research
Viewing 1226 to 1250 of 7695 results
2011
Every 50 years or so a study of workers compensation mortality patterns is done, generally finding that after medical stabilization–10 or more years after injury–mortality for seriously injured workers is comparable to that of the overall population. It has been about 25 years since the latest study, so we might be half way to the next one.
2011
Motivation: Test how changes in level and distribution of exposures affect different ratemaking models. Actuaries are well aware that loss trend can be distorted by changes in exposure level and business mix. They are trained to recognize situations in which these distortions may arise, and how to adjust for them. Multivariate models are another way of handling these distortions.
2011
In developing countries such as Malaysia, the availability of reinsurance arrangements provides several advantages to primary insurers, such as keeping their risk exposures at prudent levels by having large risk exposures reinsured by another company, meeting client requests for larger insurance coverage by having their limited financial sources supported by another company, and acquiring another company’s underwriting skills,experience and compl
2011
GAP (Guaranteed Asset Protection) insurance is an insurance product that insures the difference (if any) between the loan balance and the actual value of the underlying asset. Typically, this insurance is sold in conjunction with a traditional insurance product and guarantees that an insurable event will be sufficient to satisfy any lien upon the asset.
2011
2011 Spring CAS E-Forum Including the 2011 Reinsurance Research Call Papers
2011
Property-casualty insurance companies tend to focus on avoiding and controlling their exposure to reinsurance credit risk. This paper advocates switching from this risk avoidance and compliance mentality to a probabilistic and market based view in which one seeks to measure, hedge, exploit, and optimize risk.
Keywords: Reinsurance Credit Risk; Credit Default Swap; CDS.
2011
Abstract: The CAS Loss Simulation Model Working Party (LSMWP) has been charged by the Committee on Dynamic Risk Modeling Committee with creating a simulation model of the processes of loss emergence and settlement, commonly known as loss development, that underlie the loss “triangles” and other statistics used to estimate loss reserves.
2011
"One of the major new features of Solvency II is that insurance companies must now devote a portion of their equity to covering their exposure to operational risks. The regulator has proposed two approaches to calculating this capital requirement: a standard and a more advanced approach. The standard approach is a simplified calculation of a percentage of premiums or reserves.
2011
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps.
2011
In this paper we assess the impact of the financial crisis on insurance markets and the role of the insurance industry in the crisis itself. We examine some previous “insurance crises” and consider the effect of the crisis on insurance risk—the liabilities arising from contracts that insurers underwrite.
2011
Unlike studies that estimate managerial bias, we utilize a direct measure of managerial bias in the U.S. insurance industry to investigate the effects of executive compensation and corporate governance on firms’ earnings management behaviors. We find managers receiving larger bonuses and stock awards tend to make reserving decisions that serve to decrease firm earnings.
2011
The 2007–2009 financial crisis resulted in failures of many large financial institutions and among the G8 countries, only Canada did not have to provide financial support to distressed financial institutions. We first examine the existing Canadian regulatory architecture in relationship to underlying principles arising from the public theory of regulation.
2011
The Solvency II directive requires that insurance liabilities are valued using a best estimate plus a risk margin. The risk margin should be estimated using the cost of capital approach, that is the cost of the solvency capital requirement—which is computed through a value at risk measure—needed to support the insurance obligation until settlement. The unitary cost of capital applied to the future capital requirement should be fixed.
2011
The recent financial crisis and its cascading effects on the global economy have drawn increased attention to the regulation of financial institutions including insurance companies.
2011
A simple and commonly used method to approximate the total claim distribution of a (possibly weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk measure.
2011
We study asymptotic behavior of the empirical conditional value-at-risk (CVaR). In particular, the Berry–Essen bound, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR are obtained. We also give some numerical examples.
2011
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the guaranteed level, a third party will refund the investor up to the guarantee.
2011
This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal probability distributions, generating the worst case scenarios, are also identified.
2011
For the purpose of risk management, the study of tail behavior of multiple risks is more relevant than the study of their overall distributions. Asymptotic study assuming that each marginal risk goes to infinity is more mathematically tractable and has also uncovered some interesting performance of risk measures and relationships between risk measures by their first order approximations.
2011
The present work studies the optimal insurance policy offered by an insurer adopting a proportional premium principle to an insured whose decision-making behavior is modeled by Kahneman and Tversky’s Cumulative Prospect Theory with convex probability distortions. We show that, under a fixed premium rate, the optimal insurance policy is a generalized insurance layer (that is, either an insurance layer or a stop–loss insurance).
2011
This paper empirically studies the impact of consumer reaction to default risk on an insurer's optimal solvency level. Using experimentally obtained data, we derive a price-default risk-demand-curve that serves as an input variable for the insurer's risk strategy. We show that an insurer should choose to be default-free rather than having even a very small default probability.
2011
An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure.
2011
The Euler (or gradient) allocation technique defines a financial institution’s marginal cost of a risk exposure via calculation of the gradient of a risk measure evaluated at the institution’s current portfolio position. The technique, however, relies on an arbitrary selection of a risk measure.
