Browse Research
Viewing 3626 to 3650 of 7690 results
1999
This is the fourth in a series of interviews on the history of ideas published by the NAAJ in commemoration of the fiftieth anniversary of the Society of Actuaries. This contribution to the series covers developments in financial reporting for life insurance companies and for the sponsors of long-term employee benefits.
1999
Term structure models based on dynamic asset-pricing theory are discussed by taking a perspective from the long rate. This paper partially answers two questions about the asymptotic behavior of yields on default-free zero-coupon bonds: in frictionless markets having no arbitrage, what should the behavior be; and, in known term structure models, what can the behavior be.
1999
In contrast to alternative measures of risk, value at risk (VaR) has important virtues—intelligibility, comparability, and practicality—that make it a potentially valuable tool for strategic decision making and capital management in a wide variety of industries.
1999
In this paper I consider the properties for a coherent risk measure, outlined by Artzner et al. (1996), and relate these requirements to a well-known measure, value at risk (VaR), which attempts to evaluate economic risk. I show how the usual method of calculating VaR does not adhere to the coherency requirements and discuss the implications of such a result. As well, I discuss the use of the mean excess loss function to help solve this problem.
1999
This paper describes a financial model currently being used by a major U.S. multiline property-casualty insurer.
1999
The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only just available. An increasing complexity of financial instruments calls for sophisticated risk management tools. The securitization of risk and alternative risk transfer highlight the convergence of finance and insurance at the product level.
1999
It is important to include both risk and return in finding the optimal balance of assets and liabilities for financial institutions. Insurance companies, with their range of sophisticated assets and liabilities, are perhaps the best example of the value of such an approach. Examples in the paper refer to the insurance industry, but parallels to other types of financial institutions are easily drawn.
1999
Upper and lower bounds of ruin probabilities for the S. Andersen model with large claims are proposed. The bounds are stated in terms of the corresponding ladder height distribution and have a reasonable accuracy, which is illustrated by numerical examples. Comparison with other known bounds is given.
1999
Risk measurements go hand in hand with setting of capital minima by companies as well as by regulators. We review the properties of coherent risk measures and examine their implications for capital requirement in insurance. We also comment on the specific risk-based capital computations.
1999
In Canada, appointed actuaries are required to opine on the adequacy of the policy liabilities for property-casualty insurers. Policy liabilities include both claims and premium liabilities. Several papers have been written and actuarial techniques have been developed to estimate claims liabilities.
1999
Certain not yet published, elementary loss reserving methods are presented. The basic approach consists in some sense in combining link-ratio with cluster-analysis techniques.
1999
This paper suggests a method to calculate insurance liability as market value to be applied in the situation where management concern arises. Each building block is explained to calculate the market value of the insurance liability. Some key issues are specified.
1999
In this paper we study the methods of risk measurement. Fist, we introduce a conditional risk measure and prove that it is a coherent risk measure. Then using Bayesian statistics idea a subjective risk measure is defined. In some special cases, closed form solutions can be obtained. The credibility idea can be fitted to our model too.
1999
This paper sets out to accomplish the following:
i. Based on set assumptions, we vectorially define the number of policyholders per merit class by year of enrollment and number of years elapsed. Thus calculating the distribution of class sizes for a year in which the system has reached a steady state.
ii. We calculate the class-size distribution for each risk level by introducing multiple risk levels for policyholders.
1999
The non-life insurance industry has experienced record catastrophe claims over the past decades all over the world. Traditionally, insurers purchased reinsurance to manage their catastrophe exposure.
1999
The paper describes characteristics, properties and advantages of a Strategic Reinsurance Program (SRP) and illustrates in a numerical example the functioning of a simple and very practical SRP. The unconventional, prefinancing features of an SRP and their significance are pointed out.
1999
This paper describes a stochastic investment model, designed for use as a tool in the asset and liability management of UK pension finds. A full description of the model is given, including the equations and parameters. Rates of return are not modelled directly, but are transformed into forces of return. Modelling forces makes the relationships between the variables additive rather than multiplicative.
1999
In this paper, we aim at
1. giving formulas of prices and replicating-strategies of defaultable securities(e.g., bonds, swaps, derivatives) in incomplete market, and
2. giving “solvable” examples of quantile hedging strategies in incomplete market.
1999
We present an overview of Japan’s earthquake insurance system for the household sector, with a particular emphasis on the structure of the system and methods used for setting risk premium rates.
1999
The paper analyses the question: Should an insurance customer carry an occurred loss himself; or should he make a claim to the insurance company? This question is important within bonus-malus contracts with individual experience adjustments of the premium. The analysis model includes a bonus hunger strategy where the customers prefer the most profitable financial alternative, that is, the alternative which represents the lowest rate of interest.
1999
The paper analyses the questions: Should - or should not - an individual customer buy insurance? And if so, what insurance coverage should he or she prefer? Unlike classical studies of optimal insurance coverage, this paper analyses these questions from a bonus-malus point of view, that is, for insurance contracts with individual bonus-malus (experience rating or no-claim) adjustments.
1999
Historical development of the logic of statistical reasoning is reviewed briefly and the informational view is discussed. The role of “true distribution” in the conventional statistics is explained and the necessity of considering alternative models is pointed out.
1999
Integrated covers, such as multi-lines, often assume independency among the covered risks. In practice, however, some of these risks may exhibit mutual dependency. The degree of dependency can, in turn, affect the expected loss burden of the integrated cover. In this paper, we introduce dependency through the frequency of covered lines and provide a rating approach that utilizes this to calculate the expected loss burden of a multi-line cover.
1999
We propose a new framework for evaluating and analyzing the complex risks embedded in a life insurance company’s balance sheet, both on the asset and liability side. To this purpose, we apply an actuarial method not only to the insurance liabilities, but also to the corporate bonds and stocks as in the same manner as already developed in Kijima and Muromachi (1998a).
1999
This paper generalized the concept of stop-loss transforms to the nth stop-loss transforms. Some useful properties of the nth stop-loss transforms were discovered and a recursion formula for the nth stop-loss transforms was established. Also, the maintenance properties of the nth stop-loss order under convolution and compound operations were proved.
