Browse Research
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1999
The objective of this book is to provide comprehensive coverage of all aspects of the investment management process for insurers. There is coverage of the economic framework for managing an insurer‘s funds, the products (cash market and derivatives) in which an insurer may invest, the economic valuation of an insurer and individual assets and liabilities, risk measurement and control, and performance measurement.
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 1
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 2
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 4
1999
In most practical cases, it is impossible to find an explicit, expression for the distribution function of the present, value of a sequence of cash flows that are discounted using a stochastic return process. In this paper, we present an easy computable approximation for this distribution function. The approximation is a distribution function which is, in the sense of convex order, an upper bound for the original distribution function.
1999
It is shown that the (over-dispersed) Poisson model is not the same as the distribution-free chain ladder model of Mack (1993) although both reproduce the historical chain ladder estimator for the claims reserve. For example, the true expected claims reserves, ignoring estimation issues, described by the two models are different.
1999
Financial time series data are typically found to possess leptokurtic frequency distributions, time varying volatilities, others and correlation structures inconsistent with linear generating processes, nonlinear dependence, and dependencies between series that are not stable over time.
1999
The minimum bias method is a natural tool to use in parameterizing classification ratemaking plans. Such plans build rates for a large, heterogeneous group of insureds using arithmetic operations to combine a small set of parameters in many different ways. Since the arithmetic structure of a class plan is usually not wholly appropriate, rates for some individual classification cells may be biased.
1999
Leading actuarial companies employ stochastic simulation models to evaluate the viability of pension plans and insurance companies over a set of projected scenarios. A critical element involves generating future scenarios. We show that the problem of calibrating a stochastic scenario system can be posed as a special optimization model, and illustrate the process by means of the Towers Perrin - Tillinghast CAP: Link system.
1999
This paper discusses some methods that can be used to calculate classification relativities and reduce the error that would otherwise occur by using one-way analysis. Section 2 will discuss the problem of risk classification analysis from a mathematical and statistical viewpoint and show some of the implied solutions from these approaches.
1999
Data Mining & Neutral Networks (narrow topic or advanced); We present a general methodology for fitting feed-forward neural networks when both right censoring and covariate information (claim attributes) exist. Right censoring occurs when only intermediate, but not final values of a time-dependent variable (such as claim duration) are known for some data points, and final values of the variable are known for all other observations.
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 10
1999
The purpose of this paper is to provide an overview of Dynamic Financial Analysis (DFA) and its usage in a property-casualty insurance context. It highlights the evolution of financial modeling from static financial planning to dynamic financial analysis, presents some potential uses for DFA models and provides a few cautions about the use of such models.
1999
I argue that the mainstream approach to capital budgeting focuses excessively on the special case where diversifiable risks do not affect the contribution of the project to the value of the firm. This approach ignores the impact of a new project on a firm‘s total risk and therefore often leads to an inappropriate assessment of the value of the project.
1999
The organizational structures and financing techniques used to provide health care are continually evolving. These provider relationships and payment techniques respond to pressure from regulators, legislators, competitors, public perception and providers. This session will examine features of the current managed care marketplace and take a look at what the managed care landscape may look like in the future.
1999
We indicate a simple solution to the evaluation of solvency margins and equalization reserves in a non-life insurance portfolio. One of our provision models is based on a combination of ruin and credibility theory. It takes characteristics such as variance of claims, correlation of claims and volume of portfolio into account.
Keywords: Solvency margins; Equalization reserves; Non-life insurance portfolio
1999
Starting from a basic IBNR model, for which variations in the three dimensions of the problem are considered such as e.g. given in Doray, 1996 (Insurance: Mathematics and Economics 18 (1), 43--58) the random fluctuations in the direction of the calendar years is modelized, taking into account the apparatus of financial mathematics.
1999
A compound Poisson model of IBNR claims is considered and methods of statistical inference under this model using the techniques well known from the analysis of survival time data are investigated.
1999
We consider an appropriate residual definition for use in a bootstrap exercise to provide a computationally simple method of obtaining reserve prediction errors for a generalized linear model which reproduces the reserve estimates of the chain ladder technique (under certain restrictions which are specified in the paper).
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 11
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 9
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 7
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 6
