Browse Research
Viewing 2851 to 2875 of 7690 results
2003
This paper introduces a capital consumption methodology for the price evaluation of reinsurance in a stochastic environment.
2003
Actuaries commonly build statistical models to predict future experience. To do this a model must be chose, and parameters for that model must be calculated and selected. This paper assumes that the correct model has been chosen, but looks at the risk taken by assuming that the selected parameters accurately represent the true underlying distribution.
2003
Copulas provide a convenient way to represent joing distributions. In fact the joing distribution function can be expressed as the copula function applied to the separate individual distributions. In fact the joing distribution function can be expressed as the copula function applied to the separate individual distributions. That is [see article for formula] where C is the copula function.
2003
It is well known that diversifying the risk between independent policies reduces the total risk in the sense that less deviations around the aggregate mean loss are expected. In other words, less capital has to be allocated due to the diversification effect. The same effect can be obtained when an insurance company buys an excess of loss cover.
2003
Index-based hedging instruments such as industry loss warranties are increasingly recognized as effective hedging tools for insurance and reinsurance portfolios. However, wider adoption of these instruments is inhibited by basis risk, the difference between the index-based payoff and the buyer's actual loss.
2003
Active, uncommitted knowledge structures are described as a means of representing risks with either a stochastic history or a hypothetical value, or a mixture of the two within a single risk. These same knowledge structures are shown to contribute to an increased speed of organizational response in a dynamic environment and to the ability of a simulation model to learn from its own operation.
2003
The risk landscape that confronts financial institutions in the 21st century presents an unprecedented departure from past experience. Traditional mathematical tools based on linear statistical mathematics are failing actuarial science by not being able to deliver credible analyses in an environment characterized by issues such as multiple correlations, extreme events and cascading risks.
2003
Pricing commutations is complex; one must consider cash flows, federal income taxes, deferred tax assets, capital requirements, the cost of holding capital, the required return on invested capital, and implied equity flows. Vincent F. Conner and Richard A.
2003
This paper introduces a capital consumption methodology for the price evaluation of reinsurance in a stochastic environment.
2003
Tragic events with disastrous consequences that are happening all around the Globe made Disaster Recovery and Continuity Planning a much higher priority for every company. Scenarios, in which data centers, paper documents and even recover specialists themselves may perish, became more probable. Both, actuarial workflow and actuarial software design should be affected by disaster recover strategy.
2003
Entering a new insurance market is not a decision to be taken lightly. Market segment analysis is a lengthy process, and finding the right data is just the beginning. Being able to make meaningful comparisons of data from various sources and across insurance lines is the key to identifying profitable markets.
2003
One of the most significant developments in insurance ratemaking and underwriting in the past decades has been the use of credit history in personal lines of business. Since its introduction in the late 80's and early 90's, the predictive power of credit score and its relevance to insurance pricing and underwriting have been the subject of debate.
2003
This paper describes how the convergence of the insurance and financial markets is affecting Credit & Surety insurance. It explains why prior experience has become an unreliable measure of exposure and how this paradigm shift affects the pricing of Credit & Surety products. It proposes a new exposure based method for analyzing Credit & Surety that combines the best practices of insurance and financial market pricing theory.
2003
We recently conducted a research project for a large North American automobile insurer. This study was the most exhaustive ever undertaken by this particular insurer and lasted over an entire year. We analyzed the discriminating power of each variable used for ratemaking.
2003
A reserve point estimate is usually presented without explicit quantitative reference to the variability associated with it. The literature provides little guidance on how to go about providing such quantitative representations.
2003
Actuaries and others have long been trying to quantify the uncertainty in reserve estimates. Attempts to address this question have led to the development of stochastic reserving methods as well as the framing of some traditional reserving methods in a stochastic setting.
2003
Significant uncertainties surround the ultimate costs of asbestos liabilities. The goal of the present work is to provide the actuary with the necessary framework to perform a rigorous analysis of such liabilities. It should be noted that while there is no algorithm that guarantees success, there is a proper approach to the problem.
The keys to a rigorous analysis of asbestos liabilities can be summarized as follows:
2003
Existing actuarial literature provides guidance on the use of dollar and count-based methods for the estimation of ULAE liabilities. Traditional dollar-based methods are based on widely available, and usually audited, company financial data, while count-based methods rely on relatively detailed information regarding the number and cost of various claim-handling activities and events.
2003
This paper discusses the concept of a "range of reasonable estimates" as used in the casualty actuarial reserving context. The relationship between the range and financial condition is addressed and several methods for estimating the range are identified, with one method, the "Method of Convolutions" discussed at length.
2003
" 'Twas brilling, and the slithy toves Did gyre and gimble in the wabe; All mimsy were the borogoves, And mome raths outgrave" "Jabberwocky" Lewis Carroll (1872). Mr. Carroll's penultimate foray into language and verse that beautifully skates the thin ice between comprehensibility and nonsense had a certain relevance in my early days in the financial guaranty business.
2003
In their diversity, insurance risks often require very different types of claims reserving models to describe them and to estimate the necessary reserves. The tractability of the chain ladder has contributed to its popularity. A brief analysis is given of its statistical basis and its implied limitations, of which the most important is its propensity to underestimate the reserves.
2003
The CAS must thank Doctors Myers and Read for their intriguing article. They have developed a practical algorithm for a previously subjective problem. Regulators often require a way to measure at least the indirect cost of an insurer's Surplus in ratemaking. This article offers a well-defined solution, together with a theoretical and philosophical explanation.
2003
A technique is demonstrated for aggregating bivariate claim size distributions using a two-dimensional Fast Fourier Transform. Three insurance applications are described in detail relating to: 1) individual risk rating, 2) loss and allocated expenses, and 3) Dynamic Financial Analysis.
2003
We determine the optimal two-layers stop-loss reinsurance contracts, which minimize the total splitting risk measure under market conditions.
2003
The impact of reinsurance on the economic capital and the cost of capital is examined. The effectiveness of alternative reinsurance forms is measured by comparing the corresponding risk-adjusted returns on capital and the costs of capital associated to the retained insurance risk.
