Browse Research
Viewing 3151 to 3175 of 7690 results
2002
We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages of expected shortfall over VaR. We show that expected shortfall is easily decomposed and optimized while VaR is not. We also show that expected shortfall needs a larger size of sample than VaR for the same level of accuracy.
2002
We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studying these two aspects of risk measures. We conclude that expected shortfall is more applicable than VaR in those two aspects.
2002
This paper studies multi-line pricing and capital allocation by insurance companies when solvency matters to consumers, capital is costly to hold, and the average loss is uncertain. In this environment, product quality concerns lead firms to diversify across markets and charge high prices for risk that threatens company solvency, even if the risk is unrelated to other asset risk.
2001
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals.
2001
In this paper, a flexible framework for stochastic claims reserving is considered which includes several models proposed to date as special cases. The methodology is embedded within the generalized additive class of models (Hastie and Tibshirani [7]).
2001
Discrete time risk models under stochastic forces of interest are discussed. Based on types of payments of premiums, annuity-due and annuity-immediate risk models are introduced. Recursive and integral equations are given for the ruin probabilities in the risk models. Inequalities for the ruin probabilities are derived by martingales and recursive techniques. The inequalities can be used to evaluate the ruin probabilities as upper bounds.
2001
In this paper, the author reviews some aspects of Bayesian data analysis and discusses how a variety of actuarial models can be implemented and analyzed in accordance with the Bayesian paradigm using Markov chain Monte Carlo techniques via the BUGS (Bayesian inference Using Gibbs Sampling) suite of software packages.
2001
In this paper, a flexible framework for stochastic claims reserving is considered which includes several models proposed to date as special cases. The methodology is embedded within the generalized additive class of models (Hastie and Tibshirani [7]).
2001
Data Mining & Neural Networks (narrow topic or advanced); This paper will introduce the neural network technique of analyzing data as a generalization of more familiar linear models such as linear regression. The reader is introduced to the traditional explanation of neural networks as being modeled on the functioning of neurons in the brain.
2001
The increasing globalization of the property-casualty insurance industry has provided insurers with both opportunities and challenges. The opportunities revolve new markets with profit potential and diversification possibilities. On the other hand, companies with multinational operations and/or investments are exposed to the risk that foreign exchange rates will change, possibly adversely, in the future.
2001
With increasing pressure on firms to deliver shareholder value, there has been a renewed emphasis on devising measures of corporate financial performance and incentive compensation plans that encourage managers to increase shareholder wealth. One professedly recent innovation in the field of internal and external performance measurement is a trade-marked variant of residual income known as economic value-added (EVA).
2001
Chapter headings: Introduction Relationship to Other Mechanisms Criteria for Selecting Rating Variables Examples of Classification Systems Measures of Efficiency Estimating Class Relativities Summary References
2001
Manual ratemaking determines what rates should be charged average members of groups of entities for specified coverage and entity characteristics. Individual risk rating supplements manual rates by modifying the group rates in whole or in part to reflect an individual entity’s experience. If all entities in all rating groups were truly homogeneous, differences in experience among entities would be fortuitous.
2001
Chapter headings: Introduction Basic Terminology The Ratemaking Process Trended, Projected Ultimate Losses Expense Provisions Profit and Contingencies Overall Rate Indications Classification Rates Increased Limits Summary References Ratemaking Questions for Discussion Appendix
2001
There are more to a risk-measure than being coherent. Both the popular VaR and the coherent Tail-VaR ignore useful information in a large part of the loss distribution; As a result they lack incentive for risk-management. I propose a new coherent risk-measure that utilizes information in the whole loss distribution and provides incentive for risk-management.
2001
The various copulas in the actuarial and statistical literature differ not so much in the degree of association they allow, but rather in which part of the distributions the association is strongest. In property and casualty applications there is interest in copulas that emphasize correlation among large losses, i.e., in the right tails of the distributions. Several copulas that have this characteristic are discussed.
2001
Reinsurance is a form of insurance. A reinsurance contract is legally an insurance contract. The reinsurer agrees to indemnify the cedant insurer for a specified share of specified types of insurance claims paid by the cedant for a single insurance policy or for a specified set of policies. The terminology used is that the reinsurer assumes the liability ceded on the subject policies.
2001
Recently, Wang's premium principle (Wang 1995, 1996) has been discussed by many authors. Considerable attention has been given to the conditions under which Wang's premium principle can be reduced to the standard deviation premium principle. In this paper, we have got two results on this problem.
2001
This paper presents a model for projecting Workers Compensation losses based on the number of open claims and the average payment on open claims. In California, where the loss trend is growing and the claim closure rate appears to have slowed down, one can put different trend and claim closure assumptions into the model to study their impact on ultimate losses.
2001
With China's imminent entry into the World Trade Organization, the deregulation of the Japanese insurance market, and the liberalization of insurance regulations, Asia is poised to become a major insurance magnet over the next decade Foreign companies able to capitalize on the recent increased openness of the Asian markets stand to reap substantial profits.
2001
Catastrophic claims (defined as burn injuries, acquired head injuries, spinal cord injuries and multiple trauma injuries) account for less than 1% of all Workers Compensation claims but as much as 20% of total Workers Compensation losses. The ultimate value of a catastrophic claim can be very difficult to predict, with significant increases in case reserves many years after the injury occurred being not uncommon.
