Browse Research
Viewing 3926 to 3950 of 7690 results
1998
The goal of this paper is the derivation and application of a direct characterization of the inverse of the covariance matrix central to portfolio analysis. in order to provide the basis for new and illuminating expressions for key concepts as the optimal holding of a given risky asset and the slope of the risk-return efficiency frontier faced by the individual investor.
1998
After surveying various instruments used to finance catastrophe insurance, this paper demonstrates a method for analyzing the cost of financing catastrophe insurance with the following instruments: (1) insurer capital; (2) reinsurance; and (3) catastrophe options. The procedure first quantifies the cost of financing in terms of the cost of those instruments. The method then permits searching for a mix of instruments that minimizes the cost.
1998
In this paper we discuss the estimation of the parameters of this truncated generalized Poisson distribution using a Bayesian method.
Keywords: Bayesian; bivariate: generalized Poisson; Langrangian Poisson; truncated; Markov chain Monte Carlo.
1998
A number of more or less well-known, but quite complex, characterizations of stop-loss order are reviewed and proved m an elementary way. Two recent proofs of the stop-loss order preserving property for the distortion pricing principle are invalidated through a simple counterexample A new proof is presented.
1998
In this paper we investigate multivariate risk portfolios, where the risks are dependent. By proving some natural models for risk portfolios with the same marginal distributions we are able to compare two portfolios with different dependence structure with respect to their stop-loss premiums.
1998
Total enterprise risk management involves a systematic approach for evaluating/controlling risks within a large firm such as a property-casualty insurance company. The basic idea is to coordinate planning throughout the organization, from traders and underwriters to the CFO, in order to maximize the company's economic surplus at the desired level of enterprise risk.
1998
Largest claims reinsurance covers are reconsidered. Allowing the original claims sizes to be not necessarily independent, a new, upper premium bound is derived and explored.
1998
Results demonstrate that bankruptcy risk is not rewarded by higher returns. Surprisingly, firms with high bankruptcy risk earn lower than average returns since 1980.
1998
The NAIC has recently approved its codification of Statutory Accounting Principles.
Statement of Statutory Accounting Principles (SSAP) No. 55, “Unpaid Claims, Losses, and Loss Adjustment Expenses,” states that recording a liability for unpaid claims, losses, and loss adjustment expenses shall be based on management’s best estimate, with exceptions if no one point in a range is better than another. The authors discuss SSAP No.
1998
LOB – Health
1998
Dr. Wang has provided a good case for the use of the mean of the PH-transform of a loss distribution as the risk-loaded premium. I would like to comment on several issues: 1) the need for consistency of the adjustment among contracts; 2) alternative transforms; 3) calibration; 4) the need for arbitrage free methods; 5) links to other premium loading methods; 6) minimum rates on line; and 7) connecting to Yaari and Schmeidler.
1998
This article introduces a relatively new method for calculating risk load in insurance ratemaking: the use of proportional hazards (PH) transforms. This method is easy to understand, simple to use, and supported by theoretical properties as well as economic justification.
1998
This (mostly) expository paper describes the importance of hedging to the pricing of modern financial products and how hedging may be achieved even when the traditional Black-Scholes assumptions are absent. Keywords: derivatives; hedging; option-pricing, superhedging; volatility
1998
LOB – Workers’ Comp
1998
Perkins and Teng have provided us with a new and remarkably intuitive procedure for estimating the accrued retrospective premium asset: the PDLD (premium development to loss development) approach. This reserve is often significant—amounting to half a billion dollars or more for some of the major workers compensation carriers—and it has been difficult to accurately estimate with traditional procedures.
1998
This paper describes a dynamic financial analysis model that General Re developed for the State of Connecticut to estimate its cost of the run-off loss and expense liabilities of the Connecticut Second Injury Fund (SIF), a statutorily-created entity that covers specified types of worker’s compensation claims of injured workers.
1998
As insurers move to direct distribution and database marketing, new approaches to the business, integrating the marketing, underwriting and pricing activity will be increasingly important. Many insurers today are adopting increasingly sophisticated approaches to direct marketing, especially for automobile insurance.
1998
Suppose the ICAPM governs asset prices and there is a total of S state variables that might be of hedging concern to investors. Can we determine which state variables are, in fact, of hedging concern? What does it mean to say that these state variables are priced, that is, that they give rise to special risk premiums in expected returns? The goal of this paper is to formulate this problem clearly and show when it can and cannot be solved.
1998
This paper provides bonus-malus systems which rest on different types of claims. Consistent estimators are given for some moments of the mixing distribution of a multi equation Poisson model with random effects. Bonus-malus coefficients are then obtained with the expected value principle, and from linear credibility predictors.
1998
Default, loss severity, and average loss rates for a large sample of privately placed bonds are presented and compared with loss experience for publicly issued bonds. Results show ex ante riskier classes of private debt perform better on average than public debt.
