Browse Research
Viewing 3176 to 3200 of 7690 results
2001
This paper uses Dynamic Financial Analysis (DFA), to attack one of the longest-running problems in actuarial s c i e n c e -- that of determining the appropriate profit loading for a line of insurance. For an insurance company, the cost of financing insurance is its (dollar) cost of capital plus the net cost of its reinsurance. The profit loading for a line of insurance is the cost of financing allocated to the line of insurance.
2001
Effective January 1, 1998, the NAIC adopted a change in how loss adjustment expense (LAE) is split into categories within Schedule P of the property and casualty statutory Annual Statement. The purpose of the Survey of Loss Reserving Actuaries was to solicit input from loss reserve practitioners on how these changes impacted loss reserving since 1998, and how they may
impact future years and other aspects of actuarial work.
2001
With increasing frequency, casualty actuaries are using their skills to perform analyses that extend beyond the traditional actuarial functions associated with ratemaking and loss reserving.
2001
This study shows how option pricing methods can be used to allocate required capital (surplus) across lines of insurance. The capital allocations depend on the uncertainty about each line's losses and also on correlations with other lines' losses and with asset returns. The allocations depend on the "marginal" contribution of each line to default value - that is, to the present value of the insurance company's option to default.
2001
Strategic business management is concerned with both the level of financial performance and the uncertainty that surrounds it. Typically companies focus their strategic analysis on those core operations driving their basic business. However other components, such as investment and insurance, also may have the potential to introduce significant variability in financial results.
2001
During the course of reinsurance coverage negotiations, the prospective reinsured is often presented with a myriad of coverage options. In this situation, two questions naturally arise: - From the reinsured's perspective, which coverage option will yield the optimal long-run economic outcome?
- From the reinsurer's perspective, are the options consistently priced?
2001
Reinsurance produces value by producing stability. This can translate into higher earnings through reduced financing costs, improved access to markets, stronger product pricing and better employee job security. It can lead to a higher earnings multiple through reduction in the market price of possible bankruptcy and fewer misreadings of downwards earnings hits.
2001
In this paper, we examine case studies from three different areas of insurance practice: health care, workers’ compensation, and group term life. These different case studies illustrate how the broad class of panel data models can be applied to different functional areas and to data that have different features.
2001
This paper presents a Gaussian multivariate factor model of the term structure of interest rates. It shows that there exists a martingale valuation law of the factors so that the price function of a zero-coupon bond is an exponential spline. The model’s linear and Gaussian structure yields a simple model where estimation and calibration are relatively easy to do.
2001
This paper proposes a method for valuing American options using a Monte Carlo simulation approach. Our approach can be used to price the reset feature found in some equity-linked insurance contracts. We model this feature as a multiple shout option and give examples based on certain equity-linked insurance products that are very popular in Canada.
2001
Special Topics (narrow topic or advanced); Public and regulatory acceptance of catastrophe models has been hampered by the complexity and proprietary nature of the models. The outside user is generally dependent on the modeler to demonstrate the validity and reasonableness of model results.
2001
Special Topics (narrow topic or advanced); Multifractals are mathematical generalizations of fractals, objects displaying "fractional dimension," "scale invariance," and "self-similarity." Many natural phenomena, including some of considerable interest to the casualty actuary (meteorological conditions, population distribution, financial time series), have been found to be well-represented by (random) multifractals.
2001
Special Topics (narrow topic or advanced); Multifractals are mathematical generalizations of fractals, objects displaying "fractional dimension," "scale invariance," and "self-similarity.'" Many natural phenomena, including some of considerable interest to the casualty actuary (meteorological conditions, population distribution, financial time series), have been found to be well-represented by (random) multifractals.
2001
Data Administration Including Warehousing & Design (general or introductory); Special Topics (general or introductory); The Actuarial Process, like every analytical process, consists of three major stages: •Data Collection, Cleanup and Transformation
•Application of Algorithms and Methods •Representation of Results.
2001
As a result of published papers, shared research and call paper programs such as this one, the technical specifications behind Dynamic Financial Analysis (DFA) have been well developed. This has led to a high level of convergence among many of the different concepts, models and processes behind DFA.
2001
This paper describes the use of a Dynamic Financial Analysis (DFA) model to answer questions on capitalization, business and asset strategy in the case of a US P&C insurer, in the framework of maximizing stockholder wealth.
We measure this wealth by applying a risk measure on the individual stochastic cash flows from the DFA model, in preference to more conventional approaches based, for example, on historic betas The risk translates into va
2001
The reserving methodology described in this paper produces minimum sufficiency levels for reserves that are risk adjusted both for uncertainty in claims payments and uncertainty in investments. The minimum sufficiency level is derived from measurements of
correlation and other statistical properties of link ratios. These statistics are found using bootstrap methods.
2001
This paper describes loss reserving techniques that may be used in situations where changes have occurred that render past
years" loss development patterns inappropriate for use in estimating loss reserves for more recent years. The loss reserving issues addressed by this paper are generally the same as those covered by James R, Berquist and Richard E.
2001
Recent insurance industry emphasis on claims "best-practices" requires the reserving actuary to identify and measure the emerging effects of Claims Department initiatives. Several of these initiatives will be reviewed from both an actuarial and claims personnel perspective. Adjustments to generally accepted actuarial methodologies as well as potential metrics to measure the impact of these initiatives will be presented.
2001
Traditional loss development techniques focus on estimating the expected ultimate loss but do not generally indicate the magnitude of possible deviation from this estimate. In a variety of circumstances, however, point reserve estimates are not sufficient. In particular, loss portfolio transfers, commutations, innovations, and reserve margin securitization all typically require an estimate of the range of possible loss outcomes.
2001
Traditionally, properly and casualty products have been thought of as "short duration contracts", while life insurance products have been thought of as "long duration contracts". Many modern property and casualty products have risk profiles and cash flow characteristics that are more akin to life insurance than to traditional property and casualty lines.
2001
The paper defines plausible ways to measure sampling error within efficient frontiers, particularly when they are derived using dynamic financial analysis (DFA). The properties of an efficient surface are measured both using historical segments of data and using bootstrap samples. The surface was found to be diverse, and the composition of asset portfolios for points on the efficient surface was highly variable.
2001
In this paper we study a class of Mixed Bivariate Poisson Distributions by extending the Hofmann Distribution from the univariate case to the bivariate case. We show how to evaluate the bivariate aggregate claims distribution and we fit some insurance portfolios given in the literature.
2001
INTRODUCTION: In this chapter we will prove the point wise convergence of the Bayesian point estimates under conjugate priors belonging to the 'linear exponential families'. The result below demonstrates that if E[X q] =q , then the Bayesian Point estimates (i) Have a generic formula that also provides the empirical Bayes point estimate of q .
2001
Since the middle of the 1990s, Dynamic Financial Analysis (DFA) has become a popular method for insurance companies to compare alternative corporate level strategies (e.g. investment policies, reinsurance structures). Most of the work in this area has focused on determining which strategies maximize reward for a given level of risk.
