Browse Research
Viewing 1576 to 1600 of 7695 results
2009
The modeling skills of actuaries and academicians have developed to the point of their seeking joint models for paid and incurred losses, i.e., models in which paid and incurred losses will inform each other so that their confidence intervals will narrow and the two sets of ultimate losses will be equal. The key to such models is covariance; heteroskedastic models cannot serve the purpose.
2009
Property/casualty reserves are estimates of losses and loss development and as such will not match the ultimate results. Sources of error include model error (the methodology used does not accurately reflect the development process), parameter error (model parameters are calibrated from the data), and process error (future development is random).
2009
2009 Summer CAS E-Forum Including the Report of the 2008 CAS Quinquennial Membership Survey Task Force 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.
2009
Historic actuarial literature, general insurance literature, and legislative histories reveal “unfairly discriminatory rates” to be a cost-based concept. A rate structure is unfairly discriminatory if the insurance premium differences between insureds do not reasonably correspond to differences in expected insurance costs.
2009
The objective of this study is to compare the methods of minimum bias and maximum likelihood by using a weighted equation on claim severity data. The advantage of using the weighted equation is that the fitting procedure provides a faster convergence compared to the classical procedure introduced by Bailey and Simon [1] and Bailey [2].
2009
In this paper, we study the issue of whether a price discount for renewal business is warranted for property and casualty insurance. The discount is motivated by the fact that new business with insurance coverage lapse, or new business in general, may perform worse than renewal business. The study is based on a total of 25 books of insurance business with a total amount of almost $29 billion of premium.
2009
Enterprise Risk Management is both new and old. Actuaries have always been highly involved in risk management and they have much to learn about the new field of Enterprise Risk Management. These seemingly contradictory statements are the subject of this paper.
2009
2009 Spring 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.
2009
This paper presents a discussion of the key issues facing the financial regulation of insurance companies in the post-crisis era. While the moral hazard created in the financial sector by provision of financial guarantee insurance is difficult to overstate, we focus on the issues concerning insurers’ excessive provision of insurance, under-capitalization, and related systemic risks.
2009
Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited liability of banks and the presence of a negative externality of one bank’s failure on the health of other banks give rise to a systemic risk-shifting incentive where all banks undertake correlated investments, thereby increasing economy-wide aggregate risk.
2009
We argue that financial regulation be focused on limiting systemic risk, that is, the risk of a crisis in the financial sector and its spillover to the economy at large. To this end, we provide a simple and intuitive way to measure systemic risk in the financial sector and suggest novel regulations to limit it. Current financial regulations seek to limit each institution’s risk.
2009
We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally "learn" the long-run level of factor loadings from the observation of realized returns. As a consequence of this assumption, we model conditional betas using the Kalman filter. Because of its focus on low-frequency variation in betas, our approach circumvents recent criticisms of the conditional CAPM.
2009
This article features a panel discussion on sustainability risk management organized by Dan R. Anderson for the American Risk and Insurance Association 2007 annual meeting. The moderator, Mr. Dan Anderson, is the Leslie P. Schulz Professor of Risk Management and Insurance at the University of Wisconsin-Madison School of Business and author of Corporate Survival: The Critical Importance of Sustainability Risk Management.
2009
The current literature does not reach a consensus on which risk measures should be used in practice. Our objective is to give at least a partial solution to this problem. We study properties that a risk measure must satisfy to avoid inadequate portfolio selections. The properties that we propose for risk measures can help avoid the problems observed with popular measures, like Value at Risk (VaRα) or Conditional VaRα (CVaRα).
2009
We consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns.
2009
Because of regulation projects from control organisations such as the European solvency II reform and recent economic events, insurance companies need to consolidate their capital reserve with coherent amounts allocated to the whole company and to each line of business.
2009
Natural catastrophes attract regularly the media attention and have become a source of public concern. From a financial viewpoint, they represent idiosyncratic risks, diversifiable at the world level. But for various reasons, reinsurance markets are unable to cope with this risk completely.
2009
Given the use of premium growth as a risk measure in regulatory and private risk assessment models, the impact of growth on underwriting profitability is an important question. Our results show a negative relationship between premium growth and changes in loss ratios, suggesting that premium growth alone does not necessarily result in higher underwriting risk.
2009
In this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Lévy copula as in Böcker and Klüppelberg (2006) and Böcker and Klüppelberg, C. (2008).
2009
Climate change is projected to increase flood risks in certain regions due to an increase in both precipitation and sea level rise. In addition, socio-economic scenarios project an increase in urbanization in flood prone areas, which results in a higher damage potential. The combined effect of climate and land use change on flood risks requires innovative adaptation policies to cope with rising risks.
2009
Microinsurance institutions and instruments have developed rapidly over the last decade, with policies covering tens of millions in the base of the economic pyramid for markets in Africa, Asia, and Latin America. Ranging from simple policies providing life or health insurance to complex policies covering catastrophic risks for small landholders, it is a market with proven potential which demands closer attention.
