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1999
Fall 1999, Reserving Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Memo from the Chairperson of the CAS Forum Table of Contents Reserving Call Papers Reserving for Loss Sensitive Premium Items Brian Z. Brown, FCAS, MAAA, and Michael C. Schmitz, FCAS, MAAA
1999
Summer 1999, Including the Dynamic Financial Analysis Discussion Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Cover Letter from the Chairperson of the CAS Forum Table of Contents Download Entire Volume Dynamic Financial Analysis Discussion Papers
1999
1999 Spring, Reinsurance Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Capital Allocation for Property-Liability Insurers: A Catastrophe Reinsurance Application Robert P. Butsic, ASA, MAAA ROE, Utility and the Pricing of Risk Leigh J. Halliwell, FCAS, MAAA
1999
This article presents a valuation model of futures contracts and derivatives on such contracts, when the underlying delivery value is an insurance index, which follows a stochastic process containing jumps of random claim sizes at random time points of accident occurrence.
1999
The last 15 years have seen a revolution in the way financial economists understand the world around us. We once thought that stock and bond returns were essentially unpredictable. Now we recognize that stock and bond returns have substantial predictable component at long horizons.
1999
In this chapter we discuss the relation between the market value of insurance company owners‘ equity and various components that contribute to that value. The effect of firm insolvency risk on each component of value is discussed in turn. One natural consequence of this analysis if ia conceptual framework for estimating the value of insurance liabilitites.
1999
It has been suggested that systematic risk arises not because of correlation between a company‘s cash flow and the market return but primarily because of common variation in expected returns. If true, this hypothesis has important implications for capital budgeting, particularly at high-technology companies that have long duration, idiosyncratic investment projects.
1999
This paper discusses the PCS Catastrophe Insurance Option Contracts, pro- viding empirical support on the level of correspondence between real quotes and standard financial theory. The highest possible precision is incorpo- rated since the real quotes are perfectly synchronized and the bid-ask spread is always considered. A static setting is assumed and the main topics of arbitrage, hedging, and portfolio choice are involved in the analysis.
1999
We propose a new framework for pricing assets, derived in part from the traditional consumption-based approach, but which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect risky choice. Consistent with prospect theory, the investor in our model derives utility not only from consumption levels but also from changes in the value of his financial wealth.
1999
In a competitive insurance market, insurers have limited influence on the premium charged for an insurance contract. They must decide whether or not to compete at the market price. This paper deals with one factor in this decision - risk. From policyholder‘s standpoint, the only risk that matters is insurer insolvency. For the insurer to stay in business, it has to have sufficient capital to keep this risk below an acceptable level.
1999
This paper examines the problem of risk mitigation in virtual organizations (VOs). We begin by discussing risk propensity in virtual organizations, and draw on a variety of research to suggest processes important in obtaining high levels of reliable performance in VOs. From this research we identify four processes we think are important: organizational structuring and design, communication, culture, and trust.
1999
This paper develops a theory of capital allocation in opaque financial intermediaries. The model endogenizes risk management and capital structure decisions, and it provides a simple setting within which to address questions relating to capital budgeting, performance measurement, and employee compensation. It provides a theoretical foundation for understanding the appropriate use, and misuse, of the widely-employed RAROC methodology.
1999
When applying the collective risk model to an analysis of insurer capital needs, it is crucial to consider the effect of correlation between lines of insurance. Recent work sponsored by the Committee on the Theory of Risk has sparked the development of methods that include correlation in the collective risk model.
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
This study examines the distribution of daily returns on five popular stock price indices, with a special emphasis on the difference between returns over weekends and returns over adjacent intraweek trading days. We revisit the "weekend effect" in common stock returns, focusing on two characteristics of differential returns over intraweek trading days and over weekends: the "drift" and the "volatility".
1999
Actuaries, economists, underwriters, and regulators are rightly convinced that the task of pricing insurance should depend on the uncertainty of the amount and the timing of the insured losses, as well as on the correlation of those losses with those already insured. The most common approach to pricing is to allocate equity to the insurance transaction and to achieve a certain expected return on that equity.
1999
Is it possible that the insurance and reinsurance industries cannot handle a major catastrophe? Ten years ago, the notion that the overall cost of a single catastrophic event might exceed 10 billion was unthinkable. With ever increasing property-casualty risks and unabated growth in hazard-prone areas, insurers and reinsurers now envision the possibility of disaster losses of 50 to 100 billion in the United States.
