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2015
When related parties enter into cross border intercompany reinsurance, most countries require that the intercompany pricing be consistent with an “arm’s-length standard”. An arm’s-length standard is an internationally accepted concept that the price of a transaction needs to be reasonably consistent with what would have been negotiated between unrelated parties.
2015
CAS E-Forum, Summer 2015 Featuring a Ratemaking Call Paper, a Report of the CAS Low Interest Rate Working Party and Special Report Prepared for the CAS Committee on Health Care Issues
2015
A fundamental function of reinsurance is to provide financial recovery from natural catastrophes. A well-functioning insurance market can enable rebuilding efforts that would overwhelm the resources of individual households and communities.
By its nature, catastrophe risk is often not diversifiable on a local or even regional scale. Instead, insurers usually look to the global reinsurance markets for catastrophe risk protection.
2015
Effects of the sharing and layering of losses by means of an excess of loss reinsurance contract are examined. In particular, the covariance of loss at any given position across the layers of an excess of loss reinsurance contract as a function of the first and second moments of the frequency and individual layer loss distributions is derived.
2015
A reinsurer's internal database can be a valuable source of data that has the potential of providing a competitive advantage. This data can be used to refine pricing, business steering, contract design, new product development, planning, reserving, capital utilization and much more. To maximize the value of this internal database, it is important that the data be aligned, complete, and as granular as possible.
2015
A commutation is an agreement between the cedent and the reinsurer. In exchange for a onetime payout to the cedent, the commutation completely releases the reinsurer from an identified set of reserves that fall under the reinsurance contract. Reinsurers and cedents agree to commute claim obligations for a variety of reasons. Foremost on this list is reinsurer or cedent insolvency.
2015
For decades the lognormal random variable has been widely used by actuaries to analyze heavy-tailed insurance losses. More recently, especially since ERM and Solvency II, actuaries have had to solve problems involving the interworking of many heavy-tailed risks. Solutions to some of these problems may involve the relatively unknown extension of the lognormal into the multivariate realm.
2015
Effects of the sharing and layering of losses by means of an excess of loss reinsurance contract are examined. In particular, the covariance of loss at any given position across the layers of an excess of loss reinsurance contract as a function of the first and second moments of the frequency and individual layer loss severity distributions is derived.
2015
CAS E-Forum, Spring 2015 Featuring the Reinsurance Call Papers and Independent Research
2015
This research report on regulatory risk in the North American insurance company environment was first contemplated through a discussion among members of the North American Actuarial Council’s (NAAC’s) Collaborative Research Group. NAAC is a voluntary group of actuarial organizations located in the United States, Canada and Mexico.
2015
This paper compares the results of measuring reserve risk factors (RRFs) (a) from the standard formula approach described in DCWP report 7 against (b) three types of individual company reserve risk assessments, Mack, stochastic loss development and the newer Correlated Chain Ladder method.
For 10-year Schedule P lines of business (LOBs) that we analyzed, we find that:
2015
