Browse Research
Viewing 2276 to 2300 of 7695 results
2006
The paper proposes a measure for risk transfer, the portion or percentage of risk transferred ("PRT") that varies between 0% and 100%. Such measure would provide a superior basis for a binary decision between reinsurance accounting and deposit accounting (with a likely critical value of 50%). A preferred approach would be to use PRT as the basis for continuous accounting.
2006
The RMK pricing algorithm provides a method for pricing insurance contracts or reinsurance deals. This paper discusses the incorporation of systematic, or non-diversifiable, risk into the RMK framework.
2006
There are several methods in use today for estimating tail factors. However, most of them are discussed as adjuncts to papers that primarily deal with other subjects. This paper will present a wide variety of method in an understandable format, and includes copious examples.
2006
In insurance pricing, it is convenient to split the total risk load for a policy into the market risk load and the insurer specific risk load, and calculate each separately. The market risk load represents an equilibrium price on a competitive insurance market.
2006
We present a rich, yet tractable, multivariate Bayesian model of claim count development. The model combines two conjugate families: the gamma-Poisson distribution for ultimate claim counts and the Dirichlet-multinomial distribution for emergence.
2006
Three-dimensional geometry and calculus are useful conceptual and analytical tools for working with valuations of insurance statistics. Geometry can be used to provide a pictorial representation of a database and illustrate differences between calendar, exposure/accident and policy year concepts. Calculus can be used to estimate on-level, trended and developed statistics used in ratemaking and reserving.
2006
The Bornhuetter/Ferguson loss reserving method consists of selecting a development pattern and, for each accident year, an initial ultimate loss ratio. From these, the reserve estimate is derived.
2006
In the present paper we review and extend two stochastic models for loss reserving and study their impact on extensions of the additive method and of the chain-ladder method. The first of these models is a particular linear model while the second one is a sequential model which is composed of a finite number of conditional linear models.
2006
Merton and Perold (1993) offered a framework for determining risk capital in a financial firm based on the cost of the implicit guarantee the firm provides to tis subsidiaries to make up any operating shortfall. Merton and Perold assume the price of such guarantees is observable from the market at large. For an insurer, this may not be a realistic assumption.
2006
Actuaries have relied on the Bornhuetter-Ferguson methodology in loss reserving since the "The Actuary and IBNR"[2] was published in 1972. The methodology is an intuitively appealing, credibility-weighted compromise between link ratio and expected loss ratio methods, where 'credibility' is inversely proportional to the remainder of the loss development tail.
2006
The process of loss development has been studied by casualty actuaries for many years. When an accident period is closed, the ultimate claim liabilities are unknown because many of the claims are still unreported and some that are reported remain unsettled. The difference between ultimate losses and reported losses is known as "Incurred But Not Reported" loss or IBNR.
2006
In his 2005 ASTIN paper (reprinted in the CAS 2006 Fall Forum), Donald Mango's ground-breaking work [1] in developing the concepts of insurance capital as a shared asset and Economic Value Added (EVA) are discussed with special emphasis on the purpose and calculation of the important Capital Call Costs.
2006
The accounting standards boards have adopted fair value measures for financial assets and liabilities, subject to reasonable constraints from established practice and uncertainties in the new procedures. FASB and IASB standards since 1992 have espoused a consistent fair value perspective for long-term bonds, common stocks, and derivative securities.
2006
2006 Winter Forum Including the Data Management Call Papers and Reports of CAS Research Working Parties Correlations and Dependencies Among All Risk Sources, and Risk Transfer Testing These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume
2006
Fall 2006 Forum featuring the Reserves Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume
2006
This paper is concerned with the situation that occurs in claims reserving when there are negative values in the development triangle of incremental claim amounts.
