Browse Research
Viewing 1476 to 1500 of 7695 results
2009
The paper considers a model with multiplicative accident period and development period effects, and derives the ML equations for parameter estimation in the case that the distribution of each cell of the claims triangle is a general member of the Tweedie family.
2009
The popular General/Property-Casualty Insurance chain ladder method was first expanded to include variance calculations by Mack [1]. As new research expands the chain ladder method’s stochastic functionality, it is as important as ever to understand the assumptions underlying this fundamental approach and evaluate their appropriateness given the data.
2009
Generalized Linear Model [GLM] theory is a commonly accepted framework for building insurance pricing and scoring models. A helpful feature of the GLM framework is the “offset” option. An offset is a model variable with a known or pre-specified coefficient. This paper presents several sample applications of offsets in property-casualty modeling applications.
2009
Motivation: GLMs are widely used in insurance modeling applications. Claim or frequency models are a key component of many GLM ratemaking models. Enhancements to the traditional GLM that are described in this paper may by able to address practical issues that arise when fitting count models to insurance claims data.
For modeling claims within the GLM framework, the Poisson distribution is a popular distribution choice.
2009
The Casualty Actuarial Society has released “Estimating Unpaid Claims Using Basic Techniques” as a comprehensive resource for practicing actuaries and actuarial candidates. Authored by Jacqueline Frank Friedland, the new text consolidates numerous papers that addressed estimating unpaid claims on the CAS basic education syllabus. As Ms.
2009
One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors.
2009
Motivation: Estimating the trend of the severity, frequency, and loss ratio rates of growth is an integral part of NCCI ratemaking. The time series from which such trend estimation has to be derived are typically short and volatile, comprising only 19 observations or, equivalently, 18 rates of growth. Thus, separating signal (i.e., trend) from (white) noise is particularly challenging.
2009
In light of current events, there have been several proposals to establish a theory of financial system risk management analogous to portfolio risk management. One important aspect of portfolio risk management is risk attribution, the process of de- composing a portfolio risk measure into components that are attributed to individual assets or activities.
2009
This paper describes a new approach to capital allocation; the catalyst for this new approach is a new formulation of the meaning of holding Value at Risk (VaR) capital. This new formulation expresses the firm’s total capital as the sum of many granular pieces of capital, or “percentile layers of capital.” As a result, one must allocate capital separately on each layer and perform the capital allocation across all layers.
2009
In this paper we define a specific measure of error in the estimation of loss ratios; specifically, we focus on the discrepancy between the original estimate of the loss ratio and the ultimate value of the loss ratio. We also investigate what publicly available data can tell us about this measure.
2009
A number of methods to measure the variability of property-liability loss reserves have been developed to meet the requirements of regulators, rating agencies, and management. These methods focus on nominal, undiscounted reserves, in line with statutory reserve requirements. Recently, though, there has been a trend to consider the fair value, or economic value, of loss reserves.
2009
Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the prediction of adequate claims reserves for a portfolio consisting of several run-off subportfolios from dependent lines of business is of great importance for every non-life insurance company.
2009
Fundamentally, estimates of claim liabilities are forecasts subject to estimation errors. The actuary responsible for making the forecast must select and apply one or more actuarial projection methods, interpret the results, and apply judgment. Performance testing of an actuarial projection method can provide empirical evidence as to the inherent level of estimation error associated with its forecasts.
2009
The heavy-tailed nature of insurance claims requires that special attention be put into the analysis of the tail behavior of a loss distribution. It has been demonstrated that the distribution of large claims of several lines of insurance have Pareto-type tails. As a result, estimating the tail index, which is a measure of the heavy-tailedness of a distribution, has received a great deal of attention.
2009
Often in non-life insurance, claim reserves are the largest position on the liability side of the balance sheet. Therefore, the estimation of adequate claim reserves for a portfolio consisting of several run-off subportfolios is relevant for every non-life insurance company.
2009
A timeline formulation of simulation is where events happen one at a time at definite times, and therefore in a definite time order. Simulation in a timeline formulation is presented in theory and practice. It is shown that all the usual simulation results can be obtained and many new forms can be expressed simply.
2009
This paper demonstrates actuarial applications of modern statistical methods that are applied to detailed, micro-level automobile insurance records. We consider 1993-2001 data consisting of policy and claims files from a major Singaporean insurance company. A hierarchical statistical model, developed in prior work (Frees and Valdez (2008)), is fit using the micro-level data.
2009
The a-level Conditional Tail Expectation (CTE) of a continuous random variable X is defined as its conditional expectation given the event {X>qa} where qa represents its a-level quantile. It is well known that the empirical CTE (the average of the n(l-a) largest order statistics in a sample of size n) is a negatively biased estimator of the CTE.
2009
A new approach to a goodness-of-fit for Pareto distributions is introduced. Based on Euclidean distances between sample elements, the family of statistics and tests is indexed by an exponent in (0,2) on Euclidean distance. The corresponding tests are statistically consistent and have excellent performance when applied to heavy-tailed distributions. The exponent can be tailored to the particular Pareto distribution.
2009
This paper considers the bootstrapping approach for measuring reserve uncertainty when applying the model of Schnieper for reserves which separate Incurred But Not Reported (IBNR) and Incurred But Not Enough Reserved (IBNER) claims. The Schnieper method has been explored in Liu and Verrall (2009), and the Mean Square Errors of Prediciton (MSEP) derived.
2009
This paper extends and develops the results of a previous paper Malinovskii (2007). Dealing with a simplistic diffusion multi-year model of insurance operations, this paper illustrates the adaptive control approach when the object of control is the balance of solvency and excellency. Compared to the previous paper, a new element is the "scenario of nature", or the incomplete knowledge of future risk, which is quite often the case in insurance.
2009
This study examines the practical application of a system for the derivation of member utility functions for the purpose of recommending investment-channel choice to members of a defined-contribution retirement fund. The utility functions of post-retirement benefits from members of a defined-contribution fund are elicited. The risk aversion of each member is measured and the results are compared with a standard risk-tolerance assessment method.
2009
We revisit the relative retention problem introduced by de Finetti using concepts recently developed in risk theory and quantative risk management. Instead of using the Variance as a risk measure we consider the Expected Shortfall (Tail-Value-at-Risk) and include capital costs and take constraints on risk capital into account.
2009
We present a model for pricing credit risk protection for a limited liability non-life insurance company. The protection is typically provided by a guarantee fund.
