Browse Research
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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.
2005
Due to the growth in the international nature of the reinsurance market, there has been increasing pressure in the United States (U.S.) for a system that would permit alien reinsurers, those assuming business from U.S. domiciled ceding companies, a reduced level of collateral, provided certain conditions were met.
2005
Differences in the portfolios of depositories and insurance and reinsurance firms are important for the design of efficient capital regulations. Using a simple contingent claims model which focuses on credit risk and in which intermediaries issue liabilities under conditions of moral hazard, we illustrate three effects of risk-based capital regulations on institutional solvency risk, liquidity and economic efficiency.
2005
The present paper extends the 'Erlangization' idea introduced by Asmussen, Avram and Usabel (2002) to the Sparre-Andersen and stationary renewal risk models. Erangization yields an asymptotically-exact method for calculating finite time ruin probabilities with phase-type claim amounts. The method is based on finding the probability of ruin prior to a phase-type random horizon, independent of the risk process.
2005
We consider a risk model with two independent classes of insurace risks. We assume that the two independent claim counting processes are, respectively, Poisson and Sparre Andersen processes with generalized Erlang claim inter-arrival times. The Laplace transform of the non-ruin probability is derived from a system of integro-differential equations.
2005
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For an institution faced with a random loss, the tail conditional expectation represents the conditional average amount of loss that can be incurred in a fixed period, given that the loss exceeds a specified value. This value is typically based on the quantile of the loss distribution, the so-called value-at-risk.
2005
In this paper we study the ruin probability at a given time for liabilities of diffusion type, driven by fractional Brownian motion with Hurst exponent in the range (0.5, 1). Using fractional Itô calculus we derive a partial differential equation the solution of which provides the ruin probability.
2005
This article is reasoning why risk and capital management in insurance companies malfunctioned partially during the recent capital market crises and what measures insurers and regulators have to adopt to ameliorate thoroughly their control and steering systems.
2005
The development of an international standard for the accounting of insurance contracts is a challenging project. The goal of this standard is to accomplish high transparency and decision usefulness for participants in the capital markets. The paper gives an overview on the actual development status of this accounting standard for insurance contracts.
2005
This paper focuses on the new international accounting standards and their impact on the insurance industry.
Keywords: accounting; solvency; Europe; insurance; asset-liability management
2005
In 1998, rate regulation in the Japanese auto insurance industry shifted from a tightly controlled tariff regime to that of a less regulated (theoretically) prior approval system. While actual rate regulation is generally not directly observable, Danzon (1983) contends that the "true" character of regulation is indirectly observable in the pricing strategies of insurers.
2005
In this paper we present an approach to market based evaluatio, of life insurance policies, in the spirit of the NUMAT proposed by Hans Bühlmann (2002) in an editorial in the ASTIN bulletin.
2005
Asset and liability management (ALM) is extremely important for the management of financial institutions. Institutional investors typically have medium to long-term liabilities (e.g. pensions are times for future retirement), and the duration and return of assets held will have to match these. This exercise typically involves the use of projection models and assumptions.
Climate change (CC) has an impact on world climate today.
2005
A general framework for a Bonus–Malus system (BMS) based on the number and the size of the claims is presented, the set of the bonus classes being an interval [a,?b], say 01
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 givig bonus in life insurance with profit: reversionary, cash or terminal.
2005
This paper focuses on the relevance of the insurance sector for the overall stability of the financial system by outlining the sources of risk and vulnerability facing the industry. The growing interlinkage between insurers and banks is analysed. The paper concludes by identifying some key challenges for the insurance sector.
Keywords: financial stability; insurance and banking; European Central Bank
2005
A convolution representation is derived for the equilibrium or integrated tail distribution associated with a compound distribution. This result allows for the derivation of reliability properties of compound distributions, as well as an explicit analytic representation for the stop-loss premium, of interest in connection with insurance claims modelling.
2005
Mixed Poisson distributions are widely used in various disciplines including actuarial applications. The family of mixed Poisson distributions contains several members according to the choice of the mixing distribution for the parameter of the Poisson distribution. Very few of them have been studied in depth, mainly because of algebraic intractability.
2005
One of the most significant economic developments of the past decade has been the convergence of the previously separate segments of the financial services industry - particularly the banking and insurance sectors. Convergence has been driven by increasing globalization of the financial services sector, the deregulation of financial markets, and advances in computer and modelling technologies.
2005
The classical evaluation of pure premiums for excess of loss reinsurance with reinstatements requires the knowledge of the claim size distribution of the insurance risk.
2005
This paper deals with market exit issues in the insurance industry. It examines theoretical and practical aspects of exit regulation in insurance as well as internal and external factors that firms may use to select a market exit strategy. From comparing regulatory stringency and permitted forms of market exit in selected countries in Asia, Europe, and North America, the authors find several commonalities.
2005
Bonus-malus systems typically lead to high maluses when claims at fault are reported. Such penalties are often difficult to implement in prctice. 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
Fall 2005 CAS Research Working Party 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 2005 CAS Research Working Party Papers Elicitation and Elucidation of Risk Preferences CAS Working Party on the Elicitation and Elucidation of Risk Preferences
