Browse Research
Viewing 2626 to 2650 of 7690 results
2004
Wu and Yuen (2003) proposed the so-called interaction risk model for dependent classes of business. In the case of two classes of business, the interaction comes from the assumption that each main claim in one class induces a by-claim in the other class with a certain probability. In this paper we study the interaction risk model with delayed claims.
2004
We strongly believe that we should incorporate the information provided by geophysical sciences in insurance mathematics. This article is a first step in this direction. We provide a review of key results for multifractal models of rain and discuss their potential/relevance for hydro-meteorological disaster risk management.
2004
We consider the issue of modeling the latent or hidden exposure occurring through either incomplete data or an unobserved underlying risk factor. We use the celebrated EM algorithm as a convenient tool in detecting latent (unobserved) risks in finite mixture models of claim severity and in problems where data imputation is needed.
2004
In the present contribution we show how the optimal amount of economic capital can be derived such that it minimizes the economic cost of risk-bearing. The economic cost of risk-bearing takes into account the cost of the economic capital as well as the cost of the residual risk.
2004
Interest rate guarantees seem to be included in life insurance and pension products in most countries. The exact implementations of these guarantees vary from country to country and are often linked to different distribution of investment surplus mechanisms. In this paper we first attempt to model practice in Germany, the UK, Norway, and Denmark by constructing contracts intended to capture practice in each country.
2004
The purpose of this paper is to show that, for the classical risk model, explicit expressions for survival and ruin probabilities in a finite time horizon can be obtained through the inversion of the double Laplace transform of the distribution of time to ruin. To do this, we follow Gerber and Shiu (1998). Although other methods for such question do exist, we found this approach more direct and simple.
2004
The paper deals with the estimation of the probability that two dependent catastrophic events occur. Because of their nature such events are not often observed. In a two-dimensional space as in a one-dimensional space, the extreme value theory is a powerful tool to do inference in the tail of a distribution outside the range of the observations.
2004
The behavior of insurance companies investigating insurance fraud follows one of several Nash Equilibria under which companies consider the cost savings on a portion, or all, of the total claim. This behavior can reduce the effectiveness of investigations and cost reductions if the suboptimal equilibrium prevails and lead to higher insurance premiums.
2004
Credibility theory is a useful tool for the rating of multi-level factors (MLFs), i.e. categorical rating factors with a large number of levels that can not be grouped in a natural way. In practice we often have a number of ordinary rating factors besides the MLF. We extend the Bühlmann-Straub estimator to the situation with both an MLF and ordinary rating factors in a multiplicative tariff.
2004
In this paper we re-cap the discrete model and views by Gerber (1988), also re-taken by other authors. That is, we consider a discrete time risk model where the aggregate claim process is compound binomial. In each period there is a claim with probability p, or no claim with probability 1 .p and that there is an independence in claim occurrrence in different time periods. The sequence of individual claims is a sequence of i.i.d.
2004
This paper investigates price uncertainties in weather derivatives contracts through a bootstrap approach. Futures prices are computed under a periodic ARMA model in an actuarial framework for two different locations, Paris and Chicago.
2004
This paper discusses a framework for asset-liability modeling of property-liability insurers.
2004
Suppose there exist markets for yield futures contracts as well as ordinary price futures contracts. Intuitively one would think that a combined use of yield futures contracts and price futures contracts ought to provide a reasonable strategy for insuring revenue.
In the paper this is made precise. It is shown that revenue can be approximately locked in by a combined replication of these two contracts.
2004
We discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential.
2004
We choose two identically distributed dependent risks X1 and X2 with dependence structure modelled by an Archimedean copula. Then we are able to analyze diversification effects in the tails of aggregate dependent risks, i.e.
2004
The workers’ compensation tail largely consists of the medical component of permanent disability claims (MPD). Yet the nature of MPD payments is not widely understood and is counter to that presumed in common actuarial models.
This paper presents an analysis of medical payments based on 160,000 permanently disabled claimants--for accident years 1926-2002.
2004
Current debates in the insurance and public policy literatures over health care financing and cost control measures continue to focus on managed care and HMOs. The lower utilization rates found in HMOs (compared to traditional fee-for-service indemnity plans) have generally been attributed to the organization's incentive to eliminate all unnecessary medical services.
2004
The Casualty Actuarial Society (CAS) engaged PricewaterhouseCoopers LLP (PwC) to identify and consider the actuarial issues property/casualty insurance companies may encounter by presenting financial results under a fair value accounting standard. The foundation of International Accounting Standards Board (IASB) proposals is that insurance assets and liabilities should be shown in the financial statements at ‘fair values’ (i.e.
2004
We actuaries, detectives of the first order, are presented with a most intriguing case: numerous, grisly bodies of dead insurance companies and physicians' practices in public view, various signs of intrigue and foul play abound, suspects galore, an abundance of alibis, and an endless supply of opinions on how the culprit(s) must repay their debt to society.
2004
This paper explores the concepts underlying the valuation of an insurance company in the context of how other (non-insurance) companies are valued. Among actuaries, the value of an insurance company is often calculated as (i) adjusted net worth, plus (ii) the present value of future earning, less (iii) the cost of capital.
2004
Classification ratemaking is one of the most important elements in the process of a property-casualty rate calculation. It is here that the pricing actuary moves from a rate change that is appropriate for an entire portfolio of policyholders, to prices that attempt to be fair and equitable for each policyholder in the portfolio.
2004
De Vylder (1978) proposed a method of approximating the probability of ultimate ruin in the classical risk model. In this paper we show that his ideas can be extended to approximate the moments and distribution of the time to ruin.
2004
How should we value stochastic cash flows? Without a common framework our discussions generate more heat than light. The following thought experiment seeks to filter out the extraneous and to focus on the essential.
