Browse Research
Viewing 2926 to 2950 of 7690 results
2003
Both the public and the private sectors have responsibilities for managing the risks associated with new technologies. This article is about the interplay between three key concepts: the insurability of risk; innovation; and the broader framework of sustainable development.
2003
This paper deals with the development of International Financial Reporting Standards on the insurance industry particularly the impact of "fair value" accounting as encompassed in "International Accounting Standard 39: Financial Instruments; recognition and measurement" and in the current insurance project of the International Accounting Standards Board.
2003
Generalized regression models provide a flexible framework for analyzing insurance claims data. Most applications are still based on generalized linear models, assuming that covariate effects can be modeled by a parametric linear predictor. In many cases, however, the data contain detailed information on metrical and geographical covariates.
2003
This paper analyzes the relationship between the reserve valuation rate and the indicated premium rate. The reserve valuation rate affects the capital embedded in the reserves. Full value loss reserves contain much embedded capital, whereas fair value reserves contain little embedded capital. The amount of embedded capital in the reported loss reserves affects the return on capital.
2003
This paper and its companion papers present the use of return on capital financial models to price property-casualty insurance products. This paper focuses on the cash flow and equity flow modeling that underlies the financial models. The companion papers complete the description of return on capital pricing models.
2003
The investment yield used in a financial pricing model greatly affects the indicated premium. The proper investment yield depends on the target return on capital.
2003
A financial pricing model determines premium rates that provide an adequate return on invested capital. The pricing of the policy depends on cash flows and capital requirements, both of which are external constraints. They do not depend on the accounting system used for performance measurement. Prospective pricing is not necessarily concerned with the patter of profit recognition, which is an internal accounting construct.
2003
This paper deals with implementation of a return on capital pricing model and with the presentation of pricing indications to insurance practitioners. The pricing model itself is documented in the companion papers in this series.
2003
The valuation of options awarded to senior executives of listed companies is a high profile and contentious issue. The following paper is concerned with the valuation of executive options - particularly those involving performance hurdles. Given the complexity of the underlying benefit designs, valuation of these options will frequently require simulation techniques.
2003
One of the key problems for insurance company management is evaluating the profitability of individual units, such as lines of business, states, departments, and even contracts. Capital allocation, pricing theory, and other approaches have been proposed to do this. An alternative proposal is explored here, based on the units' contributions to a measure of company value.
2003
The transformed beta distribution was introduced to the insurance literature in Venter (1983) and independently to the economics literature in McDonald (1984). The parameterization discussed here was introduced by Rodney Kreps in order to make the parameters more independent of each other in the estimation process.
2003
Economic valuation involves the application of economic assumptions and an economic model to derive the value of an asset or set of cashflows or the price of a commodity or service. This paper discusses the theory underlying economic valuation models of interest to actuaries and reviews their application to insurance and energy markets.
2003
With asset liability studies on the rise, more and more new drivers are jumping into the asset liability forecasting car and starting down the road. There's more to consider than just smoothed contribution and expense.
2003
Feldblum's paper "Risk Loads for Insurers" discusses various methodologies for estimating the insurance risk load. According to this paper, traditional methods are inadequate.
2003
This paper is a discussion of Bruce Ollodart's 1997 Winter Forum paper on using S-Curves to model environmental and mass tort liabilities. To start, there is a brief summary of Ollodart's paper. Then I introduce a type of S-Curve known as the logistic curve. The logistic curve assumes a maximum number of claims so it eliminates at least one of the problems Ollodart mentions with the curves he discusses.
2003
Discussion of "Capital Allocation for Insurance Companies" by Stewart C. Myers and James R. Read Jr.
"Capital Allocation for Insurance Companies" is a useful and insightful paper for casualty actuaries. However it does not provide the denominator for a return-on-capital ranking of business units that many actuaries have sought. It does provide the basis for an alternative framework for evaluating business unit profitability.
2003
Credibility modeling is a rate making process which allows actuaries to adjust future premiums according to the past experience of a risk or group of risks. Current methods in credibility theory often rely on parametric models. Buhlmann developed an approach based on the best linear approximation, which leads to an estimator that is a linear combination of current observations and past records.
2003
Actuaries frequently are called upon to estimate sums of random variables. Such sums arise in a variety of contexts, as aggregate loss distributions, as losses including loss adjustment expense, as losses to a particular layer in stop loss reinsurance. If the quantities being summed were independent, things would be easy, however this is seldom the case.
2003
Climate change poses a major risk to the global economy. The increasing frequency of severe climatic events, coupled with the unwise nature of economic development, has the potential to create unsustainable levels of damage for the commercial and public financial sectors. The greenhouse gases that create this problem are long lived, so action is urgently needed. The Kyoto Protocol is an important step, but it does not go far enough.
2003
A number of methods of allocating capital to business unit, e.g., line of business, profit center, etc., are discussed. Goals of capital allocation include testing the profitability of business units and determining which units could best be grown to add value to the firm. Methods of approaching these questions without allocating capital are included in the discussion.
2003
This paper addresses the issues and techniques for Property/Casualty actuaries using data mining techniques. Data mining means the efficient discovery process that includes data acquisition, data integration, data exploration, model building, and model validation.
2003
This paper considers the task of modeling "pension" claims whose durations may vary, but whose payment pattern is uniform and flat. We derive the aggregate payout pattern from the duration density and discuss and provide examples to show how this idea can be applied to calculating tail development factors.
2003
This paper discusses the type of dependence induced by the Generalized Additive Mixed Model (GAMM) approach to regression analysis with correlated data. In this framework, random effects are added on the same scale as the fixed effects. Dependence between outcomes in thus generated by their sharing of common/correlated latent variables. In many cases, this results in strong positive association.
2003
The largest claims reinsurance treaty is combined with an excess-of-loss cover. An exact premium formula and a premium bound is given for the combined treaty under general conditions. Both are also specialized to more special, ideal model assumptions.
2003
The well-known inflation-independent exposure rating curves from Property reinsurance (see e.g. Mack (1980) or Bernegger (1997)) cannot be deduced in Liability insurance in the same way because here the claims sizes cannot be assumed to be scaled by the sums insured.
