Browse Research
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2001
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2001
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2001
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2001
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2001
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2001
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2001
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2001
Bayesian ideas were introduced into actuarial science in the late 1960s in the form of empirical credibility methods for premium setting. The advance of the Bayesian methodology was slow due to its subjective nature and to the computational difficulties associated with the full Bayesian analysis. This paper offers a brief survey of Bayesian solutions to some actuarial problems and discusses the current state of research.
2001
The state price density is modeled as an exponential function of the underlying state variables, and the Esscher transform is used to specify the forward-risk-adjusted measure. With the aid of state price densities, Esscher transforms, and characteristic functions, this paper provides a consistent framework for pricing options on stocks, interest rates, and foreign exchange rates.
2001
In this paper we consider a compound Poisson risk model with a constant interest force. We investigate the joint distribution of the surplus immediately before and after ruin. By adapting the techniques in Sundt and Teugels (1995), we obtain integral equations satisfied by the joint
distribution function and a Lundberg-type inequality.
2001
Offered to almost everyone who receives employment-based health care benefits, managed care has become the predominant framework for health care plan design. Plan options that emphasize managed care have been added to Medicare and Medicaid programs, making managed care the primary model for health financing and delivery in many parts of the United States. This analysis provides an overview of the functional components of the managed care system.
2001
Dynamic fund protection provides an investor with a floor level of protection during the investment period. This feature generalizes the concept of a put option, which provides only a floor value at a particular time. The dynamic protection feature ensures that the fund value is upgraded if it ever falls below a certain threshold level.
2001
This paper proposes a model for measuring risks for derivatives that is easy to implement and satisfies a set of four coherent properties introduced in Artzner et al. (1999). We construct our model within the context of Gerber-Shiu’s option-pricing framework. A new concept, namely Bayesian Esscher scenarios, which extends the concept of generalized scenarios, is introduced via a random Esscher transform.
2001
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2001
This paper presents some stochastic models of mutual fund returns to explain the risks associated with the net incremental return over a benchmark due to active investment management practices. This model can describe the stochastic behavior of the returns on established funds, but, more importantly, it also models the uncertainty or risk associated with new funds or funds with no track record.
2001
In this paper I first define the regime-switching lognormal model. Monthly data from the Standard and Poor’s 500 and the Toronto Stock Exchange 300 indices are used to fit the model parameters, using maximum likelihood estimation. The fit of the regime-switching model to the data is compared with other common econometric models, including the generalized autoregressive conditionally heteroskedastic model.
2001
The runoff triangle is viewed as an incompletely observed rectangular array which also may comprise future loss years. Together with multivariate normality, a parametric structure for the means and covariances completes the stochastic specification. The payment pattern is a core aspect. After maximum likelihood estimation and incorporation of estimation uncertainty, the predictive distribution of the unobserved entities is derived.
2001
In this paper, we investigate actuarial, financial, economic and commercial aspects of the pricing of an excess of loss treaty. The flexible model we propose allows the calculation of premium rates for all kinds of excess of loss treaties, even with specific clauses. We give a description of the methodology and we illustrate it with various numerical examples.
2001
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded.
2001
Patterns and changing trends among several excess-type layers on the same business tend to be closely related. The changes in trend often occur at the same time in each layer. Therefore a good model for the changing trends in the ground-up data will often be a good model for the various layers. As might be expected, after adjusting for the trends, the corresponding values in each layer are still generally correlated.
2001
We consider in the classical surplus process the number of claims occurring up to ruin, by a different method present by Stanford & Stroiñski. We consider the computation of Laplace transforms which can allow the computation of the probability function.
2001
The chain ladder (CL) is known to provide unbiased estimates of loss reserve under certain conditions. However, these conditions may not always be realistic. For example, they do not include the case in which all cells of a run-off triangle are stochastically independent. It is shown that, under this condition, the CL estimate tends to estimate the median loss reserve, and to be downward biased relative to the mean.
2001
This paper is a summary of the Arch models publicity since 1982 and their application on the Value at Risk of Portfolio, with an analysis of the impact of the bad news on the "market humors" and as a result on the assets volatility. It try to explain the different tests used on the selection of the best model for the estimation of the volatility.
2001
The study of age at marriage and differential age at marriage between men and women is important for social security researchers and actuaries involved in the design of second-to-die life insurance policies and last survivor annuities, or in the pricing of healthcare policies such as nursing home and long-term care. Marriage patterns vary within and across regions; they have changed significantly across time and across countries.
