Browse Research
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1998
This paper explores the important effects on credibility of three phenomena: shifting risk parameters, risk heterogeneity, and parameter uncertainty. When any of these phenomena are significant, the Buhlmann credibility formula no longer applies. Covariance structures corresponding to these phenomena both separately and in combination are shown. Linear equations for the corresponding credibilities are derived.
1998
In this paper we compare, from the point of view of reinsurance, the several risk adjusted premium calculation principles considered in Wang. We conclude that, with the exception of the proportional hazard (PH) premium calculation principle, all the others behave in a way similar to the expected value principle.
1998
This paper analyzes "non-traditional" methods of reducing and/or transferring cat risk: "traditional" reinsurance mechanisms are also examined. None of the reinsurance concepts are new. However, they may not have been viewed in light of cat mitigation in the past. With the property reinsurance market the softest in five years, it is essential to consider these traditional products whenever we evaluate any of the alternatives.
1998
Actuarial analysis is, by its nature, a science in which uncertainty is always a factor. Without uncertainty there is no need for an actuary. Actuarial analysis is, nonetheless, based on rigorous, scientific methods and techniques. A primary goal, as with all science, is to provide the best possible understanding of the truth, in spite of those uncertainties.
Actuarial science is an applied science.
1998
Until recently, insurance companies were forced to evaluate business decisions at the functional level. With the advancement in computing power and understanding of advanced financial mathematics, company's are now able to integrate all of the various operational functions into a total company model, and evaluate the impact of various business decisions on the total company's risk/reward profile.
1998
Dynamic Financial Analysis can be viewed as the process of studying profitability and solvency of an insurance firm under a realistic and integrated model of key input random variables such as loss frequency and severity, expenses, reinsurance, interest and inflation rates, and asset defaults. Traditional models of input variables have generally fitted parameters for a predetermined family of probability distribution.
1998
Abstract This paper estimates the cost of equity capital for Property/Casualty insurers by applying three alternative asset pricing models: the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and a unified CAPM/APT model (Wei (1988).
1998
This paper presents a set of tools for modeling and combining correlated risks. Various correlation structures are generated using copula, common mixture, component, and distortion models. These correlation structures are specified in terms of (i) the joint cumulative distribution function or (ii) the joint characteristic function and lend themselves to efficient methods of aggregation by using Monte Carlo simulation or fast Fourier transform.
1998
The hurricane peril is currently a very hot topic at Casualty Actuarial Society meetings and seminars. The advent of this interest occurred in the aftermath of Hurricane Andrew, which made landfall in Homestead, Florida on august 24, 1992. Hurricane Andrew damaged or destroyed thousands of buildings and caused an estimated $16 billion in insured losses.
1998
1998 Winter Forum These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume (10MB) The Balancing of Ratemaking Assumptions and Annual Financial Planning Assumptions Scott C. Anderson, FCAS
1998
The Casualty Actuarial Society ForumFall 1998 EditionIncluding the Reserving Call Papers To CAS Members:This is the Fall 1998 Edition of the Casualty Actuarial Society Forum, containing eleven Reserving Call Papers.
1998
Summer 1998, DFA 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 Download Entire Volume
