Browse Research
Viewing 3651 to 3675 of 7690 results
1999
This paper analyzes how the longevity risk affects sickness insurance. In particular, the problem of funding medical expenses covers for the elderly is studied. Different premium systems are considered and the relevant riskiness is evaluated. The evaluation of the riskiness is performed using a deterministic projected survival function as well as considering the randomness inherent in any projection procedure.
1999
In the classical credibility model the conditional independence of the claims amounts is given up and replaced by a more general assumption. A formula for the credibility estimator is given and a practical parameter estimation procedure proposed.
Keywords: Credibility, Bühlmann model, Regression model
1999
The background to this paper is that what are called "pension funds” in some Member States of the European Union (EU) are in effect specialised life insurance companies who write individual pension policies anyone who wishes to subscribe to such a contract.
1999
Abstract: Using data from the medical literature on age-specific and family-history specific incidence rates, we develop double-decrement models to evaluate the actuarial impact of a family history of breast cancer or ovarian cancer, and the impact of a positive test for the BRCA gene mutation. Increased forces of mortality are derived.
1999
The following is a brief outline of some stochastic actuarial and financial models that can be used for a quantitative analysis of the economic rationale for reinsurance. Such a careful quantification of the microeconomics of reinsurance and the tangible value created for the client lies at the very heart of Swiss Re’s value proposition for reinsurance. This technical note is written for practitioners with a mathematical background.
1999
This paper first introduces briefly the disasters resulting from major earthquakes and analyze the risk function by examining its variables. It shows that, for earthquake risk, the future is more hazardous than the present and the past The paper then offers a comprehensive list of counter-measures against earthquake risk, from the simple ones dealing with the variables to insurance, reinsurance, financial incentive and insurance derivatives.
1999
The purpose of this research is to understand the relation among the cost of capital, the cost of equity, the cost of debt, and the credit risk premium by using Leland model (1996). And empirical test is performed about how a bankruptcy risk premium should be shown in the actual Japanese market. It is assumed that there are no taxes throughout this paper.
1999
Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (non-time-dependent) case and emphasizes the copula representation of dependence for a random vector.
1999
In this paper we extend the continuous-time dynamic programming approach for Asset/Liability Management from Boulier et al. (1995). It is an extension in the sense that we consider objective functions for pension fund management that are different from the standard quadratic loss functions.
1999
In the present paper we compare De Pril’s algorithm for recursive evaluation of the n-fold convolution of an arithmetic distribution with more traditional methods and evaluation by De Pril transforms. The comparison is performed by counting the number of elementary algebraic operations.
Keywords: n-fold convolutions.
1999
In the present paper we compare four methods for evaluating the convolution of two compound Ri distributions by counting the numbers of elementary algebraic operations required. Two of the methods are applicable in general whereas the remaining two are restricted to the case when the two compound distributions have the same severity distribution. This case is discussed separately.
1999
On this common ASTIN-AFIR day, I should like to address a topic of equal importance in insurance and finance
Performance measurement
Performance prediction
Performance is measured by appropriate ratios
Insurance: Loss ratios (with or without costs)
Finance: Return rates (on investment, on equity etc.)
Log return rates
Both loss ratios and return rates are used routinely.
1999
In this paper we study Bonus systems in an open portfolio, i.e. we consider that a policyholder can transfer his policy from our to another insurance company and vice-versa. We make use of non-homogeneous Markov chains to model the system and show, under quite fair assumptions, that the stationary distribution is independent of the market shares, and is very easily calculated.
1999
In order to determine the importance of different factors to explain the risk of private cars, classical method of multiple regressions has been used.
The analysis has allowed to obtain a classification method of any private cars based on the insurance cost price.
1999
The paper shows a practical way to assess the underwriting risk of an insurance company. This is done by deriving the distribution of the annual underwriting result and describing the implications as to the management’s decision on the risk to be taken.
Keywords: Risk, underwriting risk, log-normal distribution, total loss distribution, monte-carlo-simulation, probability of ruin.
1999
This paper considers a multiperiod economic equilibrium model to derive the economic premium principle of Bühlmann (1980, 1983). To do this, we construct a consumption/portfolio model in which each agent characterized by his/her utility function and endowments can invest his/her wealth into insurance market as well as financial market to maximize the expected, discounted total utility from consumption.
1999
For estimating the shape parameter of Paretian excess claims, certain Bayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature. It turns out that these estimators may have a poor performance - just as the Hill estimator - if a certain location parameter is unequal to zero in the Paretian modeling. In an alternative formulation this means that a scale parameter is unequal to 1.
1999
The constant elasticity of variance (CEV) diffusion process can be used to model heteroscedasticity in returns to common stocks. In this diffusion process, the volatility is a function of the stock price and involves two parameters. Similar to the Black-Scholes analysis, the equilibrium price of a call option can be obtained for the CEV model. The purpose of this paper is to propose a new estimation procedure for the CEV model.
1999
The last 15 years have seen a revolution in the way financial economists understand the investment world. We once thought that stock and bond returns were essentially unpredictable. Now we recognize that stock and bond returns have a substantial predictable component at long horizons.
1999
The distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. The performance of stock prices during breaks in trading has received considerable attention in recent years, especially since the advent of "circuit breakers" designed to create stability when markets are chaotic.
1999
Index-based catastrophe derivatives are an important development in insurance risk securitization because they provide a means of standardizing risk. This is critically important in generating the liquidity investors want and the capacity hedgers need. However, insurers are concerned that their unique loss experience may not correlate highly enough with existing catastrophe indices and that unexpected variation in hedge performance, i.e.
1999
From a viewpoint of a financial engineering paradigm, we develop an argument on recent movements in finance and insurance in Japan. Our argument is made in view of risk and functional finance for the efficiency of capital. Among others, we foresee a convergence of finance and insurance to “finansurance” in near future, in which households and firms optimize their overall risk positions in life-cycle and business.
1999
Via excerpts from the classification section of the filing for 8/l/99 Massachusetts Workers’ Compensation rates, this paper presents a practical application of the credibility ideas in “Credibility With Shifting Risk Parameters, Risk Heterogeneity and Parameter Uncertainty,” PCAS 1998.
1999
Insurance futures and options have been trading on the Chicago Board of Trade since December, 1992.
