Browse Research
Viewing 3826 to 3850 of 7690 results
1998
Two well known methods for calculating risk load - Marginal Surplus and Marginal Variance - are applied to output from catastrophe modeling software. Risk loads for these marginal methods are calculated for sample new and renewal pricing are examined. For new situations, both current methods allocate the full marginal impact of the addition of a new account to that new account.
1998
This paper presents an alternative method of calculating excess ratios for workers compensation insurance. While the method shares many similarities with that presented by Gillam, there are important differences in approach. The (adjusted) data is relied upon directly for lower limits. For higher limits this is supplemented by a mixed Pareto-exponential distribution fitted to the (adjusted) data.
1998
Reinsurance pricing is usually described as market-driven. In order to have a more theoretical (and practical) basis for pricing, some description of the economic origin of reinsurance risk load should be given. A special-case algorithm is presented here that allows any investment criteria concerning return and risk to be applied to a combination of reinsurance contract terms and financial techniques.
1998
Insurance obligations (estimated as reserves for liabilities) held by a risk bearer are most often extinguished by a final claim and expense payment at the maturity of the case, be it a settlement or a court mandated verdict. Sometimes the risk bearer commutes a claim or a portfolio of claims (e.g. reinsurer to insurer) early at a discounted value.
1998
This paper uses a contingent claims framework to develop a financial pricing model of insurance that overcomes one of the main shortcomings of previous models -- the inability to price insurance by line in a multiple line insurer subject to default risk. The model predicts prices will vary across firms depending upon firm default risk, but within a given insurer prices should not vary after controlling for line-specific liability growth rates.
1998
The theory of credibility is a cornerstone of actuarial science. Actuaries commonly use it, and with some pride regard it as their own invention, something which surpasses statistical theory and sets actuaries apart from statisticians.
1998
DFA makes possible a greater integration of asset management with underwriting management. This paper looks at how investment risk and reinsurance can affect the overall risk to the company, and how the two can be managed simultaneously.
1998
Statutory Statement of Accounting Principles 55 of the NAIC states that “management shall record its best estimate of its liability for unpaid claims, unpaid losses and loss/claim adjustment expenses”. One of the considerations in analyzing the reasonability of these estimates will be the amount of variability in the estimates.
1998
Actuarial analysis has been described as a blending of science and art. Mathematical modeling involving probability, statistics, regression, and basic arithmetic form the scientific component. Business knowledge, insight, and experience regarding the influence of internal and external conditions and events on insurance data provide the art, also known as judgment.
1998
This paper presents two major refinements to common practices in estimating the variability of loss reserves. The first is specification of a closed form density function that very closely approximates the aggregate loss distribution resulting from the convolution of the typical frequency and severity distributions—even at the extreme tails.
1998
The loss process model and simulation procedures proposed by James M. Stanard in 1985 are extended in numerous ways, including provision for serial autocorrelation of parameters, mixtures of claim types, conditional selection of sample points, and a much greater variety of reserving methods.
1998
In recent years a number of authors (Brosius, 1992; Mack, 1993, 1994; and Murphy, 1994) have shown that link ratio techniques for loss reserving can be regarded as weighted regressions of a certain kind. We extend these regression models to handle different exposure bases and modelling of trends in the incremental data, and develop a variety of diagnostic tools for testing the assumptions these techniques carry with them.
1998
This Study Note provides a simple model for addressing the issue of allocating these different types of expenses. Two specific variations of the model are presented to the actuarial student. These variations are known as 1) the Expense Fee Method and 2) the Workers’ Comp Method. Used in the proper context, these techniques can help satisfy the requirements set forth in Principle 3.
