Browse Research
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2004
This article examines the experience of Kentucky, New Jersey and Pennsylvania with the use of the "choice" type of no-fault auto insurance laws. The article discusses both the theoretical basis and the empirical evidence of the effectiveness of no-fault in those states.deregulation on firms in the Japanese non-life market.
2004
In this paper we study a bonus malus system (bms) with deductibles. A bms is characterized by its premium levels and the transition rules among them. An insured is being moved among premium levels according to his/her claim record. Thus, an insured has to find an optimal strategy of submitting claims. Here optimal is in the sense of minimizing the total expected present value (epv) costs.
2004
The optimal capital allocation of an insurance company is derived in such a way as to take into account the conflicting objectives of the owners of the company for a maximum expected return and a minimum risk. The optimal allocation between two asset classes is determined simultaneously. The implications of regulatory constraints are analyzed.
2004
This paper presents a general approach and specific aspects of the valuation of P/C Insurers. It combines corporate finance, the economics of P/C Insurers, and actuarial versus financial views.
2004
When actuaries write about an insurance pricing formula, they first identify the formula in question and then discuss the pros and cons of it. This is in stark contrast to capital markets pricing papers, which start with a list of desirable axioms and then proceed by deriving the necessary and sufficient formula that satisfies these axioms.
2004
We develop in this article a data-analytic method to forecast the severity of next record insured loss to property caused by natural catastrophic events. The method requires and employs the knowledge of an expert and accounts for uncertainty in parameter estimation. Both considerations are essential for the task at hand because the available data are typically scarce in extreme value analysis.
2004
This article presents several classroom games that help illustrate the effect of risk framing on choices under uncertainty. These games are presented in the context of Kahneman and Tversky's prospect theory that is an alternative to the traditional expected utility theory.
2004
The Missouri Department of Insurance released a study in early 2004 concerning their evaluation of the impact of credit scoring on the insurance market in that state. A condensed version of that material appeared in the Spring 2004 JIR, and there have been a number of critiques of the Missouri study published in print and on the Internet.
2004
This article describes the evolution of no-fault insurance as well as the current no-fault environment in the various states. In addition to examining the theoretical underpinnings of the no-fault system, the authors also look at some of the environmental changes that may make no-fault a more viable option.
2004
This article investigates asymmetric information problems for the automobile insurance market in Taiwan. Using panel data for the comprehensive automobile insurance coverage from 1995 to 1999, this article analyzes how types of coverage, deductible amounts, and experience ratings have affected the adverse selection and moral hazard problems in Taiwan's automobile insurance market.
2004
The basics of risk capital allocation in insurance industry are introduced: the risk measure and the allocation method: the combination of both of them represents the methodology with which risk capital is allocated to the different parts of the portfolio. The equivalence of some of those principles to the covariance principle is shown.
2004
Cookbook methods for calculating IBNR reserves may have worked in the age of slide rules and adding machines, but lack of mathematical soundness condemns them in the age of computers.
2004
While the majority of statements of actuarial opinion regarding loss reserves are relatively straightforward, occasionally the actuary is confronted with atypical situations.
2004
Property-casualty (P&C) claim reserves are financial statement liabilities that represent estimated future claims. An understanding of P&C reserves is important to both risk managers and investment analysts, since this information is crucial in assessing solvency and value. We review some basics of P&C reserves, and add some of our own thoughts, in a way that tries to be user-friendly for practitioners and students.
2004
Winter 2004, Including the 2004 Ratemaking Discussion Papers and A Report on the Risk Premium Project These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Ratemaking Discussion Papers
2004
Fall 2004, Including the 2004 Reserves Call Papers and Reports from the 2003 Membership Survey Task Force and Research Working Party on Executive-Level Decision-Making Using Dynamic Risk Modeling These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Reserves Call Papers
