Browse Research
Viewing 351 to 375 of 7690 results
2015
The infinite product of the age-to-age development factors in Sherman’s inverse power curve model is proven to converge to a finite number when the power parameter is less than ?1, and alternatively to diverge to infinity when the power parameter is ?1 or greater.
2015
Recently, Parsa and Klugman (2011) proposed a generalization of ordinary least squares regression, which they called copula regression. Though theoretically appealing, implementation, especially calibration, of copula regression is generally more involved than for generalized linear models. In this paper a linear approximation to copula regression, for which implementation is similar to that for least squares regression, will be introduced.
2015
Selecting a useful list of variables for consideration in a predictive model is a critical step in the modeling process and can result in better models. Sifting through and selecting from a long list of candidate variables can be onerous and ineffective, particularly with the increasingly wide variety of external factors now available from third-party providers.
2015
One of the most critical problems in property/casualty insurance is to determine an appropriate reserve for incurred but unpaid losses. These provisions generally comprise most of the liabilities of a non-life insurance company. The global provisions are often determined under an assumption of independence between the lines of business.
2015
This monograph contains a brief exposition of the standard probability distributions—and their fundamental applications—commonly encountered by property/casualty actuaries. Specifically, it includes the basic distributional topics that I had occasion to use during the 25 years I provided actuarial support to the excess and surplus lines underwriting departments at the St. Paul Companies (now Travelers).
2015
CAS E-Forum, Winter 2015 Featuring the CAS RBC Dependencies and Calibration Working Party Report
2015
This paper discusses how credibility can be applied to pricing loss ratios and loss costs. A method is also presented that can perform a credibility weighted allocation of losses without changing the overall average, which often occurs when applying credibility. Finally, it is shown how Generalized Linear Mixed Models can be used to credibility weight loss ratios while taking multiple dimensions into account.
2015
Until now the Gauss-Markov theorem has been the handmaid of least squares; it has served as a proof that the least-squares method produces the Best Linear Unbiased Estimator (BLUE). This theoretical paper shows that it can be, and should be, reformulated as the solution to the problem of the minimization of a quadratic form subject to a linear constraint.
2015
Under European and Swiss solvency directives, general insurance companies have to calculate a market value margin (aka risk margin or MVM) for the prediction uncertainty of reserves over each accounting year and until the end of the runoff. The prediction uncertainty is generally split into a process error and an estimation error.
2015
Consistent with the requirements of Actuarial Standards of Practice (ASOPs) 36 and 41 (paragraphs 4.5 and 3.5, respectively), this paper derives simple but mathematically sound formulas for explaining differences in estimates of ultimate from one period to the next. Specifically, the change in ultimate is decomposed into the movement due to loss experience relative to the movement due to changes in assumptions or methods.
2015
Motivation: Reserving actuaries are constantly faced with forming estimates that inherently reflect consideration of data and information that spans from initial expectations to actual claims experience.
2015
This paper will provide practical guidance for the actuary evaluating premium deficiency reserves for mortgage insurers. The paper includes a brief discussion of the premium deficiency accounting considerations for mortgage insurance, and introduces a practical deterministic approach for evaluating whether a premium deficiency reserve is necessary for mortgage insurers.
Keywords: Mortgage insurance; premium deficiency reserve; PDR
2015
This paper is being written for the benefit of company actuaries to help them prepare for their statutory financial examination and for consulting actuaries who assist state regulators with the examination of actuarial areas.
States have recently changed the way they perform statutory examinations.
2015
While traditional actuarial reserving methods assume that development patterns are stable over time, changes are often observed in practice. This paper explores the reasons for these changes and surveys the most relevant literature on methods that address the changes in development patterns. Finally, the paper suggests possible research for further improvements in reserving techniques.
Keywords: Loss Reserving, Interaction Terms
2015
Actuaries are consistently faced with the decision of how to interpolate loss development factors. Methods vary from linear to more
theoretical. This paper explores how various methods hold up to actual data and each other by estimating errors in reserve prediction when using paid loss development, incurred loss development and Bornhuetter Ferguson methods. It also lays out a variety of methods for actuaries to use.
2015
CAS E-Forum, Fall 2015 Featuring the Non-Technical Reserves Call Papers and Independent Research The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum.
2015
Capital allocation is used widely within the insurance industry for purposes of pricing and performance measurement. The practice, however, inspires controversy on several levels. Some question its necessity Phillips, Cummins, and Allen, 1998; Sherris, 2006). Others argue that it leads to economically suboptimal decisions (Venter, 2002; Grundl and Schmeiser, 2007).
2015
The rise of the sharing economy (including firms such as Uber, Airbnb and TaskRabbit) has created new insurance challenges as assets traditionally insured under personal lines policies are being used by micropreneurs to generate income on a part-time, and often full-time, basis. The peer-to-peer nature of these unique risks is unprecedented as they have only recently been enabled by advances in mobile technology.
2015
In this paper, we discuss various credibility and modeling strategies for loss development factors. We present several improvements to the popular inverse power curve to help it better fit to the data. Using a basic approach to credibility weighting curves often produces results that do not lie in between the original curve and the overall average, as would be expected. We show a technique to deal with this issue.
2015
The Low Interest Rate Environment Working Party explored issues related to the current environment of historically low levels of interest rates with the purpose of uncovering and communicating
potential problems before they occur.
2015
Section 111 of the Medicare, Medicaid, and SCHIP Extension Act of 2007 (MMSEA) requires property-casualty insurers and self-insureds to report to the Centers for Medicare and Medicare Services (CMS) certain information on medical treatments received by Medicare beneficiaries.
2015
This article explores the differences between the various studies published by the RAA over the years. In comparing the reporting patterns for the different lines of business in the RAA study, I attempt to determine what factors can have an effect on the reporting patterns.
2015
Motivation. An important consideration in a risk transfer analysis is the potential variability of loss timing.
