Browse Research
Viewing 2551 to 2575 of 7690 results
2005
The theory and practice of risk measurement provides a point of intersection between risk management, economic theories of choice under risk, financial economics, and actuarial pricing theory.
2005
In this paper we consider different approximations for computing the distribution function or risk measures related to a discrete sum of nonindependent lognormal random variables. Comonotonic upper bound and lower bound approximations for such sums have been proposed in Dhaene et al. (2002a,b). We introduce the comonotonic “maximal variance” lower bound approximation.
2005
Value-at-Risk (VaR) has become a standard risk measure for financial risk management. However, many authors claim that there are several conceptual problems with VaR. Among these problems, an important one is that VaR disregards any loss beyond the VaR level. We call this problem the "tail risk".
2005
As empirical studies show, the policyholders' willingness to pay depends on the security level of the insurance cover. The choice of the security level determines the capital budgeting decisions and therefore the cost of capital, as well as th attainable insurance premiums. We call this cost of capital-effect and premium-effect. Hence, the choice of the security level seems to be an important aspect of value based management.
2005
This paper studies the issue of sub-additivity of Value-at-Risk (VaR) for heavy tailed asset returns. Using the notion of “regular variation” to define heavy tailed distribution, we establish that for heavy tailed asset return distributions with well defined mean, VaR is sub-additive in the tail region, the most relevant region for risk management.
2005
This volume is the eighth of a series devoted to major policy issues in insurance, and sets out the proceedings of a conference, held in Paris in November 2004, to discuss options for dealing with losses caused by large-scale disasters.
2005
This publication is primarily concerned with risks to arable and horticultural crops, and the applicability of insurance to managing these risks. It begins by defining the boundaries for these types of insurance products in order to assist those interested in exploring and exploiting this financial mechanism. It then outlines how to proceed with planning for crop insurance within the established boundaries.
2005
Edited by Ellen Leander Davis, the editor of Operational Risk magazine, this book collates the work of the leading experts in the field. There is no more up-to-date and authoritative title on this subject and anyone charged with implementing or understanding an operational risk management programme at a financial firm will find it essential reading.
2005
"Catastrophe Modeling: A New Approach to Managing Risk" is the first book that systematically analyzes how catastrophe models can be used for assessing and managing risks of extreme events. It focuses on natural disaster risk, but also discusses the management of terrorism risk.
2004
In May 2001, the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA) jointly issued a request for proposals on the research topic "Modeling of Economic Series Coordinated with Interest Rate Scenarios."
2004
We discuss the existence of a pooling equilibrium in a two-period model of an insurance market with asymmetric information. We solve the model numerically. We pay particular attention to the reasons for non-existence in cases where no pooling equilibrium exists.
2004
The insurance industry has numerous areas with potential applications for fuzzy logic (FL). These include classification, underwriting, projected liabilities, fuzzy future and present values, pricing, asset allocations and cash flows, and investment. Given this potential and the impetus on FL during the last decade, it is not surprising that a number of FL studies have focused on insurance applications.
2004
It has been twenty-five years since DeWit(1982) first applied fuzzy logic (FL) to insurance. That article sought to quantify the fuzziness in underwriting. Since then, the universe of discourse has expanded considerably and now also includes FL applications involving classification, projected liabilities, future and present values, pricing, asset allocations and cash flows, and investments. This article presents an overview of these studies.
2004
Managing interest rate risk for property-liability insurers requires appropriate measurement of the sensitivity of liabilities to movements in interest rates. Most prior studies have assumed that interest rates shift in a parallel fashion and that the cash flows from liabilities are unaffected by interest rate changes.
2004
The purpose of this paper is to derive bounds on the marginal distributions of a discrete-time claim process S with correlated claims. These bounds are based on stochastic comparison in convex order and in Laplace transform order of the process S with two corresponding processes Sˆ and S˜ having, respectively, uncorrelated and weakly correlated claims.
2004
In this paper we extend the class of multifactor term-structure models proposed by Cairns (2004) to incorporate a more explicit form of stochastic volatility. The models are built up within the framework proposed by Flesaker & Hughston (1996). Our general aim is to work with models in which zero-coupon bond prices can be expressed in the form
[see paper for equation]
2004
The Practitioner’s Guide to Generalized Linear Models is written for the practicing actuary who would like to understand generalized linear models (GLMs) and use them to analyze insurance data. The guide is divided into three sections.
Section 1 provides a foundation for the statistical theory and gives illustrative examples and intuitive explanations which clarify the theory.
2004
Insurance claim costs have been found in numerous studies to be positive and usually positively skewed with variance often proportional to the mean squared. In practice, the gamma and lognormal distributions are the ones with those desired properties most widely used. Most actuarial research in GLMs also report results from normal distributions as a comparison.
2004
The goal of this paper is to demonstrate how generalized linear modeling (GLM) can be applied in non-traditional ways in property and casualty insurance. Specifically, we will use a property and casualty closed claims database to aid in estimating ultimate claim settlement amounts, evaluating claim trends, and assisting in improving claims handling procedures.
2004
A multi-level factor (MLF) is a rating factor with a large number of levels, each of which we want to rate separately even though many of them do not have a sufficient amount of data. Examples include Car model, Geographic Zone and Company (in experience rating).
Rating of MLFs is a standard situation for employing credibility theory.
2004
This paper provides a case study in the application of generalised linear models (“GLMs”) to loss reserving. The study is motivated by approaching the exercise from the viewpoint of an actuary with a predisposition to the application of the chain ladder (“CL”).
The data set under study is seen to violate the conditions for application of the CL in a number of ways.
2004
The insurance market has long been subject to pricing cycles. During the so-called ‘soft market’ pricing may produce breakeven profitability results or even operating losses for some companies. This is then followed by a ‘hard market’ where insurance prices are relatively high. Then pricing falls and a soft market slowly erodes profits, continuing the cycle.
2004
In this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of nonindependent random variables and propose approximations based on the concept of comonotonicity.
2004
The Casualty Actuarial Society (CAS) is proud
to present the results of two commissioned
analyses showing the impact of fair value concepts applied to property/casualty insurance
companies. Last fall, the CAS sent out a request for proposal (RFP) to selected consulting
firms, seeking research on the impact of the following fair value concepts on
property/casualty insurance company financial statements:
