Browse Research
Viewing 3226 to 3250 of 7690 results
2001
Various approaches have been taken to pricing insurance risk. Recently, a number of authors have written on relationships between insurance pricing and pricing in financial markets. A common central quantity in both insurance and finance is return on equity (ROE).
2001
Sundt's (1999) multivariate Panjer recursion is used to calculate the covariances in results from excess of loss layers protecting the same underlying risk when this is modelled by a compound distribution. The method developed handles the case where the covers of the layers are reduced with aggregate limits and deductibles and the layer premiums are regulated by reinstatement premiums.
2001
In this paper, we use the bootstrap technique to obtain prediction errors for different claim reserving methods, namely methods based on the chain ladder technique and on generalised linear models.
2001
This paper deals with Enhanced Pensions, i.e. Long Term Care (LTC) insurance covers for the elderly, providing a straight life annuity uplifted in case the insured becomes disabled (according to a given definition of LTC disability). The risks borne by the provider of the benefit, either an insurer, a pension scheme or a sickness fund, are focused.
2001
In this paper we study the effect of different dependence structures on the distribution of total losses when the reinsurer undertakes excess of loss for two or more dependent portfolios.
2001
This paper compares several long-term reinsurance buying strategies for a catastrophe XL programme. The pricing of the programme layers vary over the years depending on the loss experience to the programme. The reinsurance strategies can be described as ‘Constant Cover’ and ‘Constant Spend’ strategies. The modelling is done using ReMetrica II - a visual component based DFA tool developed by Benfield Greig.
2001
In most countries, females live several years longer than males. Many biological and behavioral reasons have been presented in the scientific literature to explain this “female advantage”. A cross-sectional regression study, using 50 explanatory variables and data collected from 169 countries, provides support to the behavioral hypothesis.
2001
The conditions of absence and existence of cedant's optimal excess of loss reinsurance strategy has been formulated in this paper for some individual risk model under premium principle based on mean of claim amount.
Keywords: optimal excess of loss reinsurance, optimal retention limit.
2001
Note 1: On a Combination of the Excess-of-Loss and Largest Claims Reinsurance treaties
The largest claims reinsurance treaty is combined with an excess-of-loss cover. An exact premium formula and a premium bound are given for the combined treaty under general conditions. Both are also specialized to more special, ideal model assumptions.
Keywords: Largest claims reinsurance, excess-of-loss, premium theory.
2001
The paper describes fundamentals of statistical methods of estimation of natural risks relying on the theory of binary type systems with equivalence relation and statistical analysis of trains of insurance actions in insurance against natural risks.
2001
How it is simple and natural to apply NHSMRP to actuarial science is showed in the paper. Two models useful to solve Permanent Health Insurance (PHI) problems are proposed. The second one is a generalization of the first and permit to take in account not only the insured age, as is usually done in the literature, but also to follow the time evolution.
2001
A combination of excess-loss and stop-loss reinsurance is considered. It belongs to an extended class of so-called perfectly hedged experience rating contracts studied in insurance and finance by the author. To price this contract, a CAPM fair principle is proposed. A concrete implementation requires knowledge about the covariance between the excess-loss and stop-loss reinsurance components.
2001
The adjustment of the discount function for risk has led actuaries and other financial decision-makers into a labyrinth, some of whose branches are risk-adjusted returns, capital allocation, and piecemeal risk loads. This paper will define a stochastic cash flow, and will prove that to free the pricing of such a cash flow from arbitrage one must
adjust its probability measure, not the discount function.
2001
We analyse, in a probabilistic setting, Newcombe's (1981) life table method of estimating rates of onset of high-penetrance single-gene disorders, and extend this to a counting process model for individual life histories, including movement between risk groups arising from genetic testing and onset in relatives.
2001
Iw2 focuses on issues associated with managing the total risk within an enterprise including the risks (insurable, financial and investment) associated with large losses using the modern science of complexity.
Keywords : simulation, complexity, insurance, reinsurance, strategy
2001
This paper deals with pure death risk insurance, based on a natural premium system. Due to the underwriting procedure the underlying death risk for an insured person will differ from the mortality of another insured person of the same age, if their policies have been issued at different points of time - the phenomenon of select mortality among insured lives. Despite this, it will be necessary to base the tariff on an aggregated rating system.
2001
A subject often recurring in financial papers, is the pricing of stocks and securities when the rate of return is stochastic. In most cases, the stocks considered are assumed not to pay out any dividend.
2001
This paper outlines the main principles of supervision of general insurance companies in the United Kingdom, and of Lloyd's of London, with particular emphasis on prudential regulation and the role of actuaries.
2001
We study the insurer’s adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson (1957) model.
2001
Chapter headings:
Introduction
Classical Credibility
Least Squares Credibility
Bayesian Analysis
Conjugate Priors
Practical Issues
References
Appendices
Solutions
2001
This white paper was undertaken by the CAS Task Force on Fair Value Liabilities in reaction to recent developments by the Financial Accounting Standards Board (FASB) and the International Accounting Standards Committee (IASC). it is meant to be an objective discussion of the issues surrounding the fair valuing of property/casualty insurance liabilities, particularly in the United States.
2001
Until recently, the importance of skewness in the rate of return distribution has been largely unrecognized in financial journals. The re-emergence of skewness in financial literature is particularly relevant to catastrophe insurance products where some of the most extremely skewed distributions occur. This paper presents an argument for including a provision in the equilibrium premium to cover the cost of skewness.
2001
While data quality problems are widespread, it is rare for an event to take place that provides a high-profile example of how questionable information quality can have a worldwide business effect. The 2000 US Presidential election and the subsequent confusion around the Florida recount highlights the business need for high quality data. The 2000 election illustrated at least three types of potential data quality issues.
2001
This paper examines an insurance or risk premium calculation method called the mean-value-distortion pricing principle in the general framework of anticipated utility theory. Then the relationship between comonotonicity and independence is explored. Two types of risk aversion and optimal reinsurance contracts are also discussed in the context of the pricing principle.
