Browse Research
Viewing 1 to 25 of 7690 results
2024
This paper evaluates the potential for telematics or usage-based insurance rating variables to reduce insurers reliance on protected information, (e.g. sex, age), or sensitive information, (e.g. marital status, territory, credit).
2024
This joint report from the CAS and Society of Actuaries offers a comprehensive overview of the latest and emerging regulatory activities in China, the U.S., Canada, and Europe, focusing on the prevention of discriminatory practices in the use of artificial intelligence (AI) within the insurance industry. It has a particular relevance to our international audiences.
2024
This paper aims to create a framework to help insurers develop models that are more likely to comply with evolving regulations on unfair discrimination and bias.
2024
This paper aims to explore regulatory perspectives on algorithmic bias, including U.S. state regulator concerns with current insurance pricing practices, perceptions of fairness testing approaches and plans for future activities.
2023
This paper proposes maximum likelihood inference for predictive analytics models of misrepresentation in insurance underwriting. The models allow for multiple risk factors in both the ratemaking models and latent models on misrepresentation. Such latent variable approach enables learning of misrepresentation risk at the policy level without requiring labelled fraud data.
2023
Multivariate loss distributions have been a staple of actuarial work. This paper aims to put forth a versatile class of multivariate mixtures of gamma distributions tailored for actuarial applications.
2023
Model-based decisions are highly sensitive to model risk that arises from the inadequacy of the adopted model. This paper reviews the existing literature on model risk assessment and shows how to use the theoretical results to develop a corresponding best practice. Specifically, we develop tools to assess the contribution to model risk of each of the assumptions that underpin the adopted model.
2023
We show a catastrophe bond’s economically meaningful cash flows are the same as a fully continuous term life insurance policy. As a result we obtain a simple catastrophe bond pricing formula expressed in standard actuarial notation. Catastrophe bonds covering seasonal perils have a periodic event intensity and so their issue price varies with effective date during the year. We quantify this variation.
2023
Agricultural production is highly vulnerable to both short-term extreme weather events and long-term climate variability and change. These impacts propagate further and result in socioeconomic changes affecting farmers, insurers, and other stakeholders across agricultural supply chains.
2023
The American Academy of Actuaries defines credibility as a measure of the predictive value that the actuary attaches to a particular set of data in a given application.
2023
Best in class actuarial departments not only provide quality actuarial work products, they are also able to communicate useful information to business leaders to enable better business decisions. It is essential to communicate so that the business leaders understand the information conveyed and are able to take action based upon it.
2023
People tend to express strong dislike for default risk in their insurance coverage. Survey participants demand premium reductions of over 20% for a 1% risk of default.
2023
Machine learning applications for actuarial science is an increasingly popular subject. Notably, in the field of actuarial pricing, machine learning has been an avenue to higher predictive power for anticipating future claims. Insurers are now experimenting with these algorithms but are coming up against issues of model explainability and implementation costs.
2023
Autonomous driving technology has made significant progress in the U.S. in recent years. Several companies have rolled out robotaxi and driverless delivery in many cities. Autonomous driving has created a unique and interesting challenge for actuaries to assess and estimate potential on-road liability exposure for insurance pricing and other purposes.
2023
This paper analyzes the existing car insurance ratemaking system in Saudi Arabia, with the goal of assessing its readiness for novice women drivers allowed to drive only four years ago (starting June 2018). Saudi Arabia has an a posteriori ratemaking system to set the premium for the next contract period based on the policyholder’s claim history.
2023
This article presents several actuarial applications of categorical embedding in the context of nonlife insurance risk classification. In nonlife insurance, many rating factors are naturally categorical and often the categorical variables have a large number of levels. The high cardinality of categorical rating variables presents challenges in the implementation of traditional actuarial methods.
2023
In this paper we will describe a Bayesian model for excess of loss reinsurance pricing which has many advantages over existing methods. The model is currently used in production for multiple lines of business at one of the world’s largest reinsurers. This model treats frequency and severity separately.
2023
This paper presents a new conceptual framework for measuring insurance profitability. The idea is to model the sequence of results that would be obtained by writing the business under consideration year after year. Each year premium stays the same, but losses are randomly sampled from a fixed loss distribution. Central to the framework is a capital management structure.
2023
Method
We use foundational actuarial concepts to build a full stochastic model of casualty catastrophe (cat) risk.
Results
Casualty cat modeling is achievable within the actuarial community.
Conclusions
An actuarial approach can be used to build a forward-looking stochastic casualty cat model.
2023
P&C insurers who provide coverages subject to premium audit are exposed to elevated uncertainty in the amount and timing of future revenue and cash flow. Audit premiums can vary significantly from expectations when the path of the economy is uncertain or rapidly changing.
2023
In this paper, excess severity behaviors of Pareto-Exponential and Pareto-Gamma mixture are examined. Mathematical derivations are used to prove certain properties, while numerical integral computations are used to illustrate results.
2023
Generalized Linear Models (GLM) have become an insurance industry standard for classification ratemaking. However, some of the technical language used in explaining what a GLM is doing in its calculation can be obscure and intimidating to those not familiar with the tool. This paper will describe the central concept of GLM in terms of the estimating equations being solved; allowing the model to be interpreted as a set of weighted averages.
2023
The CAS has made a number of statements about DE&I and systemic racism in insurance, including the series on race and insurance. This paper argues that the the CAS papers do not make a compelling case and that the differentation in pricing today is appropriate and reflects real differences in risk.
