Browse Research
Viewing 2601 to 2625 of 7690 results
2004
The paper overviews the application of existing actuarial techniques to operational risk. It considers how, working in conjunction with other experts, actuaries can develop a new framework to monitor/review, establish context, identify, understand and decide what to do in terms of the management and mitigation of operational risk.
2004
The International Accounting Standards Board is undertaking a project to develop an Accounting Standard for Insurance. The basis for these proposals is that assets and liabilities should be shown at fair values (market values for quoted instruments).
2004
In this paper we discuss methods of developing real estate indices, the availability of real estate data, the problems of using published real estate data and how real estate data can be used for stochastic investment modelling for actuarial purposes. In recent years there have been many developments in the collection, presentation and analysis of real estate data that have not found their way into the actuarial literature.
2004
In a recent paper (Pitrebois, Denuit & Walhin (2003)), the authors have shown how to compute analytically the Bayesian relativities for a Bonus-Malus scale superimposed on a segmented tariff. However, the percentages associated with the levels of such a scale may exhibit an abrupt rise or drop from one level to another. For commercial reasons, it is sometimes preferable that each level inflicts the same relative penalty.
2004
Prior research on the aging phenomenon has demonstrated that new business for property-liability (P-L) insurers generates high loss ratios that gradually decline as a book of business goes through successive renewal cycles. Although the experience on new business is initially unprofitable, the renewal book of business eventually becomes profitable over time.
2004
The Equity Risk Premium (ERP) is an essential building block of the market value of risk. In theory, the collective action of all investors results in an equilibrium expectation for the return on the market portfolio excess of the risk-free return, the equity risk premium.
2004
This paper outlines an objective approach to creating classification systems with maximum price differentiation while addressing concerns of credibility. The formula developed in this paper will yield a numeric score, which ranks the varying classification systems as applied to a given data set. The score is capable of ranking class plans with different numbers of classes.
2004
This paper provides an overview of the newly developing International Standards (IAS or IFRS) for Insurance, with emphasis on issues impacting property and casualty insurers and the reserving work that actuaries do to support that. Those standards will emerge in two phases, with the more challenging actuarial issues deferred to Phase II. This paper focuses on the Phase II actuarial issues but also provides a brief overview of Phase I issues.
2004
In some instances, the impacts of layoffs and plant closures on workers compensation costs have resulted in a doubling of the pure premiums whereas, in other instances there were no appreciable effects on workers compensation pure premiums. This paper discusses some of the issues surrounding estimating workers compensation losses during periods of layoffs and plant closures.
2004
The opining actuary is required by ASOP 36 and the NAIC Property/Casualty Annual Statement Instructions to reconcile the data used in his or her analysis of the loss and loss adjustment reserves with Schedule P Part 1 in the Annual Statement.
This paper reviews the importance of a reconciliation, what data to include in a reconciliation, a description of the reconciliation process (including illustrative examples), and discussions of applicable
2004
The IBNR reserve for a portfolio is usually calculated on the basis of both the run-off triangle of paid losses and the run-off triangle of incurred losses, i.e. the sum of paid losses and case reserves. Often, the problem arises that the projection based on paid losses is far different than the projection based on incurred losses.
2004
David Ruhm's paper is a welcome addition to the actuarial literature. It illustrates some difficult concepts in a refreshing way. As actuaries are increasingly faced with the need to price non-traditional risks, it is important that they understand how to do so.
2004
Generalized Linear Model (GLM) theory represents a significant advance beyond linear regression theory, specifically in expanding the choice of probability distributions from the Normal to the Natural Exponential Family. This Primer is intended for GLM users seeking a handy reference on the model’s distributional assumptions.
2004
Marine Liability underwriters – notably those at the Protection and Indemnity (P&I) Clubs – have traditionally used empirical approaches based on individual risk experiences to arrive at their pricing. But P&I is a direct class of insurance and the underwriters have at their disposal significant data volumes.
2004
Klugman and Parsa have introduced the theory underlying minimum distance estimation with parametric distributions. In this review, I develop their ideas further to provide a more complete view of the characteristics of minimum distance estimation. I conclude that minimum distance estimation can be more efficient than the authors imply but that there is little basis for using it in place of maximum likelihood estimation.
2004
The ultimate challenge for the management of an insurance company, as for any business, lies in understanding the components of the value creation process and in controlling and influencing these components in order to enhance the long-run value of the firm. The definition of value and its measurement involve important financial concepts extending beyond those traditionally employed by actuarial and accounting professionals.
2004
David Ruhm is entirely correct that risk load formulas based on transforming probability distributions of contract outcomes cannot guarantee arbitrage-free prices. This is what he illustrates by a clever and entertaining example. But the title of the paper seems to assert that no method of transforming distributions is arbitrage-free.
2004
This paper presents a "Modified Bornhuetter-Ferguson" approach to allocating IBNR. Essentially, this approach involves a credibility-weighted average of the earned premium and case-incurred loss (or loss adjustment expense) allocation bases. This combined allocation provides a more reasonable and stable result than methods based solely on either earned premium or case-incurred loss.
2004
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.
2004
Generalized linear models (GLM) appear to be a tool that has become very popular and have shown to be effective in the actuarial work over the past decade. Data mining methodologies are more recent and their popularity in the actuarial community is increasing.
2004
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 given period, given that the loss exceeds a specified value. This value is usually based on the quantile of the loss distribution, the so-called value-at-risk.
2004
A risk theoretical simulation model is here applied in order to assess the default risk for both Property and Liability multi-line insurers along a short-term time horizon.
2004
A formula for the spread of Catastrophe Bonds is derived within a risk-pricing framework that deals with both systematic and non-systematic risk. The formula is as follows:
Spread = (EL)^ (1/p)
2004
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.
Keywords: Chain Ladder, Prediction Error, Correlation of Run-offs, Segmented Portfolio
2004
This paper presents a discrete time model for the estimation of outstanding claims that comprises delay in two dimensions: reporting delay and valuation delay. This model allows a strict distinction between the cost of reported claims and the cost of unreported claims.
Keywords: Outstanding claims, Loss reserving, Credibility, IBNR, RBNS.
