Browse Research
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2004
A certain volume of risks is insured and there is a reinsurance contract, according to which claims and total premium income are shared between a direct insurer and a reinsurer in such a way, that the finite horizon probability of their joint survival is maximized.
2004
A certain volume of risks is insured and there is a reinsurance contract, according to which claims and total premium income are shared between a direct insurer and a reinsurer in such a way, that the finite horizon probability of their joint survival is maximized.
2004
In the present paper we study optimal quota reinsurance for a heterogeneous portfolio with possibly dependent lines of business. More precisely, we determine quotas which maximize the expected return when the variance of the retention is fixed or minimize the variance of the retention when the expected return is fixed. The results require only that the variance of the vector of losses of the different lines of business is regular.
2004
We consider a risk process modeled as a compound Poisson process. We find the optimal dynamic reinsurance strategy to minimize infinite time ruin probability in a general setup. A closer look on special types of reinsurance: Proportional, unlimited and limited excess of loss reinsurance shows different features of optimal reinsurance strategies.
2004
New, comparably simple results on the variance of the ECOMOR-treaty are derived.
2004
We consider the distribution of the deficit at ruin in the Sparre Andersen renewal risk model given that ruin occurs. We show that if the individual claim amounts have a phase-type distribution, then there is a simple phase-type representation for the distribution of the deficit.
2004
This article tests economies of scale and economies of scope for the property-casualty insurance companies in Japan. We fit a composite cost function to a set of Japanese firms over the period from 1980 to 1995 and employ an error components model. Our main findings are as follows. First, statistically significant economies of scale are observed in both Japanese firms and foreign firms operating in Japan.
2004
Recursive formulae are derived for the evaluation of the t-th order cumulative distribution function and the t-th order tail probability of compound mixed Poisson distributions in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. Also, some general results are derived for the evaluation of the t-th order moments of stop-loss transforms.
2004
Non-homogenous Poisson processes with periodic claim intensity rate are proposed as the claim counting process of risk theory. We introduce a doubly periodic Poisson model with short and long term trends, illustrated by a double-beta intensity function. Here periodicity does not repeat the exact same short term pattern every year, but lets its peak intensity vary over a longer period.
2004
This paper studies an insurance model where the risk process can be controlled by reinsurance and by investment in a financial market. The performance criterion is either the expected exponential utility of the terminal surplus or the ruin probability. It is shown that the problems can be imbedded in the framework of discrete-time stochastic dynamic programming but with some special features.
2004
In response to criticism concerning the current solvency system, the European Commission is developing new rules for insurance companies operating in the member states of the European Union (EU). Under this so-called Solvency II concept, an insurer is allowed to verify its solvency by using an internal risk management model previously approved by the regulatory authority.
2004
We estimate the demand for homeowners insurance in Florida and New York with indicated loss costs as our proxy for the quantity of real insurance services demanded. We decompose the demand into the demand for coverage of catastrophe perils and the demand for noncatastrophe coverage and estimate theses demand functions separately.
2004
Today, the insurance and reinsurance industries find themselves exposed to an unprecedented degree of scrutiny from core stakeholders: policyholders, employees, investors and supervisory authorities. This increased interest is a reaction to the fundamental changes that have recently been taking place in the industry's operating environment.
2004
This paper examines price monitoring techniques for the commercial lines of property/liability insurance. Section 1 discusses the rationale for commercial lines price monitoring. Next, Sections 2 and 3 cover the two major categories of price monitoring reports: renewal rate change reports and overall rate level change reports. Section 4 considers the subtle relationship between manual rate changes and experience rating factors.
2004
There is an extensive body of literature dealing with the welfare loss associated with generous levels of health insurance as a function of the tax subsidy.
2004
This article is excerpted from a larger study of proposed revisions to the New Jersey automobile insurance market. The authors examine the effects of proposed changes to the legal requirements of New Jersey's no-fault system and calculated the economic impact on claims costs and on premiums. The methodology as well as the results of this study should interest policymakers in other states as well.
2004
The average insurer typically utilizes some form of territory ratemaking in its algorithm; thus, in constructing a GLM, one of the major issues revolves around how to reflect location in the statistical solution. The problem arises because there are too many territory categories to directly include in the statistical model.
2004
Generalized linear modeling (GLM) is becoming a regular tool for insurance ratemaking. Actuaries and underwriters have begun to realize that classes may not simply interact, whether additively or multiplicatively. Some class combinations may synergize, or more than simply interact; others may counteract, or less than simply interact.
2004
In recent years, financial methods have emerged as the dominant approach for establishing insurance profit loadings. Financial theory suggests that prices should reflect systematic risk only, with no reward for diversifiable risk. This principle is applied to the pricing of insurance exposures actively traded in a secondary market.
2004
Not only is corporate risk management more complex than ever these days, it’s hard to get there without a map.
2004
Recent problems with multiple employer welfare arrangements led the federal government to increase the reporting requirements for these entities. This unique study of these new reporting requirements not only provides information on reporting problems, it also suggests improvements in the reporting system that will enable state regulators to better protect employers and employees that have to deal with these entities.
2004
Professors Cooper and Dorfman provide some insights into the European method of financial services regulation and make suggestions to include some aspects of the European Union model into the emerging U.S. regulatory paradigm.
2004
We examine the Laplace transform of the distribution of the shot noise process using the martingale. Applying the piecewise deterministic Markov processes theory and using the relationship between the shot noise process and the accumulated/discounted aggregate claims process, the Laplace transform of the distribution of the accumulated aggregate claims is obtained.
2004
Reinsurance reduces the risk but it also reduces the potential profit. The aim of the paper is to derive optimal, from the cedent's point of view, reinsurance arrangements balancing the risk measured by variance and expected profits under various mean-variance premium principles of the reinsurer.
2004
In January 2004, the Missouri Department of Insurance released a report on the impact of credit scores on minority and low-income populations. This article is condensed from that study which examines whether, and to what extent, those credit scores are correlated with specific demographic characteristics by ZIP Code.
