Browse Research
Viewing 1801 to 1825 of 7695 results
2008
Recent developments and the change in the global business environment have brought great urgency to enterprise risk management (ERM) issues, and insurers have been searching for the best ERM solutions for their practice. Stress testing has long been used as an essential risk management tool for insurers. This paper discusses both the theoretical and the application aspects of stress testing in managing enterprise risks.
2008
The increasing complexity and range of risks force organizations to recognize their importance in order to achieve the established objectives.
2008
The Strategic Risk Register System (SRRS) is proposed by the authors as a new approach to modeling and visualizing the interconnectivity of risks in an ERM context. SRRS has been successfully applied in practice, and a case study is deployed to demonstrate the methodology. The process provides a rich understanding of real risk exposure by considering the connectivity and hence the potency of individual risks within the overall ERM system.
2008
Risk is inherent to all functions of a business. Enterprise risk management (ERM) is for the measurement and the management of all significant risks of the business holistically irrespective of types and sources. Consequently, the portfolio of enterprise risk includes both objective and subjective elements. Two key benefits of ERM—i.e., shareholder value creation and securing competitive advantage—have been derived from the empirical study.
2008
Property and casualty insurers face risks in many key areas, such as operations, natural catastrophes and underwriting. Among the underwriting risks is the potential financial impact of adverse loss reserves development.
While multiple standard actuarial methods exist for evaluating the adequacy of reserves, little information exists on how deficiencies evolve over time.
2008
Greene [14] and Weining [33] provide an excellent introduction to government insurance including the five main reasons for government insurance, which are summarized in this study note.
Both the federal and state governments are involved in insurance as regulators of insurance companies and as insurers.
2008
This practice note was prepared by the Committee on Property and Liability Financial Reporting (COPLFR) of the American Academy of Actuaries. It is not an Actuarial Standard of Practice.
2008
Motivation: Legislative reforms affect loss development patterns in various ways. Some legislative innovations may affect new policy (or accident) years only, while others have diagonal effects as they affect both new and existing claims.
2008
Motivation: The new solvency regimes now emerging, insist that capital requirements align with the underlying (insurance) risks.
2008
Motivation: Non-insurance companies are offering ever greater enhancements to their warranty programs, many times as a competitive tool to strengthen market position. Yet, oftentimes very little analysis is performed to understand the cost of these changes.
2008
Motivation: Most standard loss reserving techniques do not explicitly consider the rate at which claims will close, or the expected amount of time that a claim will remain open. Consideration of the time until closure allows one to calculate the amount of time until a block of claims will run-off.
2008
This paper outlines a reserving method that allows the actuary to use exposure information, such as onlevel premium, even if that information is only available for a limited number of years. The method is a simple blending of methods already in wide use, but can be shown to be based on a common underlying statistical model.
2008
Together with the Chain Ladder (CL) method, the Bornhuetter/Ferguson (BF) method is one of the most popular claims reserving methods. Whereas a formula for the prediction error of the CL method has been published already in 1993, there is still nothing equivalent available for the BF method. On the basis of the BF reserve formula, this paper develops a stochastic model for the BF method.
2008
There is a general consensus that, in the absence of a trading market for loss reserves, a reasonable estimate of the “fair value” of unpaid losses is the risk-free present value of an unbiased estimate of those losses plus a market-based risk margin.
2008
Motivation: This paper takes a multi-faceted approach to quantifying the significance of data quality issues for property/casualty actuaries, addressing both the prevalence of data quality issues across areas of practice and the significance of those issues. The conclusion gives some guidance to improve data quality.
Method:
This paper:
2008
Since the implementation at year-end 2004 of requirements under the Sarbanes-Oxley Act of 2002, many publicly traded property/casualty insurance companies have benefited from improved corporate governance surrounding the loss reserving process. However, the degree of improvement and resultant benefit has varied widely by company.
2008
We assume that the claims liability process satisfies the distribution-free chain-ladder model assumptions. For claims reserving at time I we predict the total ultimate claim with the information available at time I and, similarly, at time I +1 we predict the same total ultimate claim with the (updated) information available at time I +1.
2008
There has been significant discussion recently regarding the roles of “models” and “methods” in actuarial practice. I believe that much of this discussion is misguided as it is based on an imprecise and arbitrary distinction. I believe that “methods” are more appropriately considered to be a subclass of “models,” rather than a wholly different class of estimation procedures.
2008
Abstract: Together with the Chain Ladder (CL) method, the Bornhuetter-Ferguson (BF) method is one of the most popular claims reserving methods. Whereas a formula for the prediction error of the CL method has been published already in 1993, there is still nothing equivalent available for the BF method. On the basis of the BF reserve formula, this paper develops a stochastic model for the BF method.
2008
Hierarchical or multilevel modeling extends traditional GLM or non-linear models by giving certain of the model parameters their own probability sub-models. Hierarchical modeling can be viewed as an extension of Bayesian credibility theory that allows one to build models for data that are grouped along a dimension containing multiple levels.
2008
This three part paper addresses the task of modeling the right hand tail of a severity distribution. In Part I the excess ratio function is used to define a discrete sequence of loss distributions with related moments and similar tail behavior. Part II extends this to continuous one-parameter families and provides some examples.
2008
This three part paper addresses the task of modeling the right hand tail of a severity distribution. In Part I the excess ratio function is used to define a discrete sequence of loss distributions with related moments and similar tail behavior. Part II extends this to continuous one-parameter families and provides some examples.
2008
This three part paper addresses the task of modeling the right hand tail of a severity distribution. In Part I the excess ratio function is used to define a discrete sequence of loss distributions with related moments and similar tail behavior. Part II extends this to continuous one-parameter families and provides some examples.
2008
The chain ladder method is very popular in General/Property-Casualty Insurance actuarial circles. Mack [1] expanded the deterministic algorithm to include calculations for the variance of the chain ladder projections. The assumptions underlying the chain ladder method are important in regards to the appropriateness of the deterministic projections; they are even more important in regards to the appropriateness of the stochastic results.
2008
In recent years several commentators have noted evidence for a “reserving cycle” linked to the underwriting cycle. It seems that in many classes of non-life insurance, when premium rates are relatively low, claim development patterns tend to be longer-tailed than when premium rates are high.
