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1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 5
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 3
1999
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing
Chapter 8
1999
Preface
by Oakley E. Van Slyke
1. The Legal Perspective: Appropriate Profit Margins in Property & Casualty Insurance Rates
Judith Mintel
2. Fundamental Building Blocks of Insurance Profitability Measurement
Russell E. Bingham
3. Introduction to the Discounted Cash Flow Approach
Stephen P. D'Arcy, FCAS
1999
Special Topics (narrow topic or advanced); For many years actuaries have recognized the importance of location as a major determinant of risk. Recently, new methodologies have been developed to better utilize geographic information systems (GIS) for territorial ratemaking. These new models generally require data assigned to a unit of geography (e.g., zip code, county, or latitude/longitude.
1999
This is partially a conceptual paper about the reasons why an insurance company should address risk and capital issues in a methodical manner and about the problems encountered doing so. But it also offers some mathematical methods for dealing with some of the problems. We do not offer the reader the final answer, since we certainly don't have it. But we do offer some ideas and some procedures for obtaining useful measurements.
1999
In Mack (1993), a formula for the standard error or chain ladder reserve estimates has been derived. In the present communication, a very intuitive and easily programmable recursive way of calculating the formula is given. Moreover, this recursive way shows how a tail factor can be implemented in the calculation of the standard error.
KEYWORDS Chain Ladder, Standard Error, Recursive Calculation, Tail Factor
1999
Dr. Bender has made the results obtained in Mr. Bingham’s paper more accessible by focusing on the essential elements that influence measurement of return, and by providing a variety of detailed examples. In addition, Dr. Bender has extended the work in several directions. Several of the results obtained in Dr. Bender’s discussion paper are fundamental to the study of surplus and return on equity (ROE). In particular, Dr.
1999
Some procedures that are used to calculate aggregate loss distributions and claim count distributions assume the claim count distribution is a negative binomial distribution. The parameters for the negative binomial distribution are often based on data from a small number of loss periods, and the estimates may have considerable error.
1999
It is standard practice to use log-linear and log-log regression models in the analysis of workers compensation claim costs. While useful for the investigation of proportional cost relationships, those transformed models are not well suited for predicting individual or even average claim costs.
1999
The three annual 2.25% interest coupons of the Winterthur Insurance convertible bond (face value CHF 4700) will only be paid out if during their corresponding observation periods no major storm or hail storm on one single day damages more than 6000 motor vehicles insured with Winterthur Insurance. Data for events, where storm or hail damaged more than 1000 insured vehicles, are available for the last ten years.
1999
This article analyzes the accuracy of the principal models used by US insurance regulators to predict insolvencies in the property-liability insurance industry and compares these models with a relatively new solvency testing approach - cash flow simulation.
1999
The authors estimate the internal rates of return earned by nonfinancial firms. The return on value is an estimate of the overall corporate cost of capital.
1999
There is much discussion today on the topic of rate of return, without a clear definition of its parameters. This monograph carefully defines the return and the investment, numerator and denominator of the rate. The author debunks certain common misuses of accounting terms. There can be no investment income on a loss reserve. Return on capital is not the same thing as return on surplus, which is close to meaningless.
1999
In this paper, it is shown how to approximate theoretical premium calculation principles in order to make them useful in practice. The method relies on stochastic extrema in moment spaces and is illustrated with the aid of the exponential principle.
KEYWORDS Premium Calculation Principles, Moment Spaces, S-Convex Orderings, Stochastic Extrema.
1999
This paper describes the development of the 1999 Workers Compensation Table of Insurance Charges (Table M), filed in NCCI states to be effective November 1, 1998. It presumes the reader knows what Table M is, and how it is used in retrospective rating. Familiarity with the NCCI Retrospective Rating Plan (the Plan) is helpful.
1999
This paper presents two approaches to estimating free tail coverage unearned premium reserves. The first approach starts with an existing deterministic model and outlines several enhancements that can be added if there is sufficient data on the insured population.
1999
Many actuaries use a Bornhuetter-Ferguson ("BF") loss reserving method based on paid loss data. What may be overlooked is that IBNR estimated with the paid BF method depends on both paid losses and case reserves, a situation the actuary may wish to avoid when case reserves are volatile or unreliable. This paper explores the dependence of IBNR estimates on case reserves when IBNR is derived from a paid loss Bornhuetter-Ferguson method.
1999
This paper presents and evaluates a capital allocation method that represents a significant part of a more complete modeling process required to fully allocate and release capital for application to pricing or profitability analysis. The complete process is also described at a more general level, including discussion of additional requirements for application to reinsurance.
1999
In January 1997, Winterthur Insurance, together with Credit Suisse First Boston (CSFB), issued the first listed CAT bond. The annual "WINCAT" coupons of this three-year convertible bond are knocked out if any single storm event damages more than 6.000 vehicles insured by Winterthur Insurance m Switzerland.
1999
Stochastic scenario generators for assets and liabilities are critica1 components of a robust DFA model. Vital to any stochastic scenario generation system is the selection of the underlying parameters. The process of parameter estimation is second only to model structure in the quest for generating reasonable results. If the model is simple, we can use standard statistical methods such as maximum likelihood to estimate parameters.
1999
Several approaches have been used to estimate premium liabilities. The emphasis of these approaches has been on unearned premium and deferred policy acquisition expenses (DPAE), as such items represent the largest components of premium liabilities. The purpose of this paper is to provide a framework for the evaluation of premium liabilities and to augment he actuarial literature.
1999
We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random variables. We also give examples that relates the theory of coherent risk measures to game theory and to distorted probability measures.
1999
A Financial Approach for Determining Capital Adequacy and Allocating Capital for Insurance Companies
There are several methods companies use to determine the appropriate amount of capital required to support their insurance operations. In general these models focus on the downside risk arising from the existing book of liabilities, such as the l-in-100 or l-in-500 underwriting loss.
