Browse Research
Viewing 2951 to 2975 of 7690 results
2003
In policymaking and insurance rate setting process, understanding and managing claim frequency are crucial issues. Owing to the importance attached to the dynamics of claims frequency in insurance ratemaking and in implementing workplace safety measures, we intent to walk through the basic steps in the econometric modeling and forecasting of claims frequency.
2003
The target return on capital is the cost of capital for the insurance enterprise, or the return demanded by suppliers of capital. This paper describes the major considerations in selecting the target return on capital.
2003
In the "Loss Models" readings, CAS students learn how to fit severity distributions by MLE, including the case of fitting a ground-up distribution where only losses above a deductible are available. In that case the MLE looks for the ground-up distribution parameters that provide the best fit to the known excess losses. This procedure falls apart, however, when different deductibles are used and there are different degrees of exposure to each.
2003
This article considers moral hazard in the specific context of third-party risks.
2003
Mr. Khury’s paper advocates using various reserve ratios to test the reasonableness of loss reserve estimates. This review expands upon these ideas by discussing the practitioners for whom these techniques will be most useful, the practical decisions required to apply Mr. Khury’s concepts, and a statistical technique to evaluate whether ratios derived from the loss reserve estimates are reasonable relative to other available data.
2003
Least squares credibility is usually derived from some fairly complicated looking assumptions about risk across a collective. It turns out, however, that the basic results can be developed from some standard statistical operations with weighted regression. This is outlined, and some more advanced models are tied to the same approach, in this note.
2003
This paper presents a methodology that represents a significant enhancement to current pricing practices. The goal of this methodology is to estimate the impact that a rate change will have on a company's policyholder retention and the resulting profitability of this transformed book of business.
2003
Paying premiums based solely on how much you use your car may make sense to many consumers, and to most environmentalists and energy conservationists. But will it be the wave of the future?
2003
The 24/7 economy may look profitable on paper, but not if potential profits are eaten up by lawsuits and skyrocketing insurance premiums.
2003
Winter 2003, Data Management, Quality, and Technology Call Papers and Ratemaking Discussion Papers 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 Data Management Call Papers
2003
Fall 2003, Including the 2003 Reserves Call Papers and Discussions of the 2002 ARIA Prize Paper 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 Reserving Call Papers
2003
Summer 2003, Including the 2003 Enterprise Risk Management & Dynamic Financial Analysis Modeling Call Papers 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 ERM & DFA Modeling Call Papers
2003
Spring 2003, Including the Reinsurance Discussion Papers 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 Reinsurance Papers The Valuation of Stochastic Cash Flows by Leigh J. Halliwell, FCAS, MAAA
2003
Behavioral finance argues that some financial phenomena can plausibly be understood using models in which some agents are not fully rational. The field has two building blocks: limits to arbitrage, which argues that it can be difficult for rational traders to undo the dislocations caused by less rational traders; and psychology, which catalogues the kinds of deviations from full rationality we might expect to see.
2003
This paper takes a new look at the predictability of stock market returns with risk measures. We find a significant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market return. These relations persist after we control for macroeconomic variables known to forecast the stock market.
2003
This paper examines the recent emergence of initiatives involving the reinsurance industry and the capital markets to develop mechanisms to finance the losses arising from catastrophic events. These initiatives are discussed from two perspectives. One perspective explores these financing mechanisms from the contention that catastrophic events are becoming increasingly non-insurable within contemporary risk society.
2003
We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.
