Browse Research
Viewing 2426 to 2450 of 7690 results
2005
This paper deals with two of the most common disadvantages of standard excess of loss experience rating methods: lack of complete individual claim history and significant changes in the underlying book of business due to shifts in limit profile during the experience period. We develop a methodology to estimate an trend factor by layer of loss based on the unlimited trend factor, the severity distribution and the limit profile.
2005
This paper summarizes the research project on Modeling of Economic Series Coordinated with Interest Rate Scenarios initiated by the joint request for proposals by the Casualty Actuarial Society and the Society of Actuaries. The project involved the construction of a financial scenario model that simulates a variety of economic variables over a 50-year period.
2005
In distinction to the Borch’s model of a reinsurance market, this paper treats the problem of optimal risk exchange in an insurance market where treaties are allowed between the insurer and each insured only, not among insureds themselves. A characterization of the Pareto-optimal contract is found. It is shown that the indemnity function in the contract is of a coinsurance kind.
2005
A very simple method is shown for the estimation of the catastrophe loss exceedance curve of a sub-portfolio, when information available is limited to a total portfolio catastrophe loss exceedance curve, and just enough information about the sub-portfolio to make reasonable selections for two parameters: relative frequency and relative severity.
2005
Recent work by Ruhm, Mango, and Kreps, known as the RMK Framework, has proven to be a great advance in the theory of risk. The RMK Framework is a way of viewing an allocation problem that focuses on the scenarios of greatest concern and the probability that those scenarios take place.
2005
Casualty excess reinsurance terms are typically stated in fixed attachment and limit amounts. Unless a lump sum settlement or commutation is made ultimate recoveries are settled years later as total payments penetrate the excess layer.
2005
In classification ratemaking, the multiplicative and additive models derived by actuaries are based on two common methods; minimum bias and maximum likelihood. Tese models are already considered as established and standard, particularly in automobile and general liability insurance. This paper aims to identify the relationship between both methods by rewriting the equations of both minimum bias and maximum likelihood as a weighted equation.
2005
Although much has been written on how to properly determine a reinsurance premium, relatively little literature exists on how a primary insurer, once it pays that premium, should incorporate the cost of reinsurance into its rate level indication.
2005
This paper addresses the issue of parameter uncertainty in loss ratio distributions and its implications for primary and reinsurance ratemaking, underwriting downside risk assessment and analysis of sliding scale commission arrangements. It is in some respects a prequel to Van Kampen's 2003 CAS Forum paper [1], which described a Monte Carlo method for quantifying the effect of parameter uncertainty on expected loss ratios.
2005
The insurance-charge function is defined as the excess ratio (the ratio of expected loss excess of an attachment point to the expected total loss) and is expressed as a function of the entry ratio (the ratio of the attachment to the total loss expectation). Actuaries use insurance-charge algorithms to price retrospective rating maximums and excess of aggregate coverages.
2005
When setting rates, actuaries must include all of the costs of doing business, including underwriting expenses. Actuaries generally divide the underwriting expenses into two groups: fixed and variable. This paper addresses the incorporation of fixed expenses in the calculation of the actuarial indication.
2005
This paper introduces a new method for estimating loss reserves. The method is fundamentally different from other loss reserving methods because it explicitly assumes that the evolution of the incremental incurred loss for an accident year is the result of a random split of the ultimate loss for that accident year into separate pieces that are observed in each development year over the claim settlement period.
2005
The relative significance of research published in eight actuarial journals is evaluated by examining the frequency
of citations in 16 risk, insurance, and actuarial journals during the years 1996 through 2000. First, the frequency with which each sample journal cites itself and the other journals is provided so as to communicate the degree to which each journal’s published research has had an influence on the other sample journals.
2005
Fu and Wu have presented three generalizations of the minimum bias model iterations and demonstrated the impact these generalizations have on fitted parameters. This discussion explains how their generalized minimum bias models correspond to generaliezd linear models.
2005
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 its 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.
2005
In this paper we model the life-history of LTC-patients using a Markovian multi-state model in order to calculate premiums for a given LTC-plan. Instead of estimating the transition intensities in this model we use the approach suggested by Andresen et al. (2003) for a direct estimation of the transition probabilities.
2005
Insurance premiums are calculated using optimal control theory by maximising the terminal wealth of an insurer under a demand law. If the insurer sets a low premium to generate exposure then profits are reduced, whereas a high premium leads to reduced demand. A continuous stochastic model is developed, which generalises the deterministic descrete model of Taylor (1986).
2005
In this paper we discuss the application of the proportional hazard premium calculation principle.
In Section 2 we propose a method to calculate the proportional hazard premium of a compound risk when the severity distribution is subexponential.
In Section 3 we use the empirical distribution to calculate the premium when the proportional hazard principle is applied, which leads to a systematic underestimation of the premium.
2005
Multivariate stochastic processes with Poisson marginals are of interest in insurance and finance; they can be used to model the joint behaviour of several claim arrival processes, for example. We discuss various methods for the construction of such models, with particular emphasis on the use of copulas.
2005
In this paper, we consider a Markov-modulated risk model (also called Markovian regime switching insurance risk model). Follow Asmussen (2000, 2003), by using the theory of Markov additive process, an exponential martingale is constructed and Lundberg-type upper bounds for the joint distribution of surplus immediately before and at ruin are obtained. As a natural corollary, bounds for the distribution of the deficit at ruin are obtained.
2005
We consider several one-period reinsurance models and derive a rule which minimizes the ruin probability of the cedent for a fixed reinsurance risk premium. The premium is calculated according to the economic principle, generalized zero-utility principle, Esscher principle of mean-variance principles. It turns out that a truncated stop loss is an optimal treaty in the class of all reinsurance contracts.
2005
In a deregulated insurance market, insurance carriers have an incentive to be innovative in their pricing decisions by segmenting their portfolios and designing new bonus-malus systems (BMS). This paper examines the evolution of market shares and claim frequencies in a two-company market, when one insurer breaks off the existing stability by introducing a super-discount class in its BMS.
2005
Fair valuation is becoming a major concern for actuaries, especially in the perspective of IAS norms. One of the key aspects in this context is the simultaneous analysis of assets and liabilities in any sound actuarial valuation. The aim of this paper is to illustrate these concepts, by comparing three common ways of giving bonus in life insurance with profit: reversionary, cash or terminal.
2005
Bonus-malus systems typically lead to high maluses when claims at fault are reported. Such penalties are often difficult to implement in practice. It is shown in this paper that this drawback may be avoided by combining a posteriori premium corrections with a deductible varying according to the level occupied in the scale.
2005
This paper extends the continuous credibility weighting introduced to hazard estimation in hardy and Panjer (1998) and Nielsen and Sandqvist (2000) to the more general case, where the common basis is a proportional hazard model.
