Browse Research
Viewing 1801 to 1825 of 7690 results
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.
2008
This article investigates the role of private insurance in the prevention and mitigation of natural disasters. We characterize the equity-efficiency trade-off faced by the policymakers under imperfect information about individual prevention costs.
2008
The impact that capital structure and capital asset allocation have on financial services firm economic capital and risk adjusted performance is considered. A stochastic modelling approach is used in conjunction with banking and insurance examples. It is demonstrated that gearing up Tier 1 capital with Tier 2 capital can be in the interests of bank Tier 1 capital providers, but may not always be so for insurance Tier 1 capital providers.
2008
Enterprise risk management has become a major focus for insurers and reinsurers. Capitalization and pricing decisions are recognized as critical to firm value maximization. Market imperfections including frictional costs of capital such as taxes, agency costs, and financial distress costs are an important motivation for enterprise risk management.
2008
The collective risk model for the insurance claims is considered. The objective is to estimate a premium which is defined as a functional H specified up to an unknown parameter ? (the expected number of claims). Four principles of calculating a premium are applied. The Bayesian methodology, which combines the prior knowledge about a parameter ? with the knowledge in the form of a random sample is adopted.
2008
This paper presents a Bayesian approach using Markov chain Monte Carlo methods and the generalized-t (GT) distribution to predict loss reserves for the insurance companies. Existing models and methods cannot cope with irregular and extreme claims and hence do not offer an accurate prediction of loss reserves.
