Browse Research
Viewing 4001 to 4025 of 7690 results
1997
This paper intends to evaluate the present value of IBNR reserve, when future interest rates are unknown. The authors first derive a result for the Laplace transform of the present value, when it is assumed that the interest rates are stochastic and can be modelled by means of a stochastic process which is similar to the model of Cox et al.
1997
In this paper, a practical and flexible model involving simple Markov chains is developed that incorporates the phenomenon of shifting risk parameters.
1997
Thus paper shows how credibility theory can be encompassed within the theory of Hierarchical Genezahzed Linear Models. It is shown that credibility estimates are obtained by including random effects in the model. The framework of Hierarchical Generalized Linear Models allows a more extensive range of models to be used than straightforward credibility theory.
1997
Myopic loss aversion is the combination of a greater sensitivity to losses than to gains and a tendency to evaluate outcomes frequently. Two implications of myopic loss aversion are tested experimentally. 1. Investors who display myopic loss aversion will be more willing to accept risks if they evaluate their investments less often. 2. If all payoffs are increased enough to eliminate losses, investors will accept more risk.
1997
Provides an introduction to the field of financial econometrics, focusing on U.S. domestic asset markets.
1997
Two core meanings of “utility” are distinguished. “Decision utility” is the weight of an outcome in a decision. “Experienced utility” is hedonic quality, as in Bentham's usage. Experienced utility can be reported in real time (instant utility), or in retrospective evaluations of past episodes (remembered utility).
1997
Catastrophe insurance derivatives (Futures and options) were introduced in December 1992 by the Chicago Board of Trade in order to offer insurers new ways of hedging their underwriting risk. Only CAT options and combinations of options such as call spreads are traded today, and the ISO index has been replaced by the PCS index.
1997
The chain ladder method is one of the most common methods for reserving, and various attempts have been made to justify it in a stochastic model.
1997
Consider an excess-of-loss reinsurance arranged in a number of layers. A loss reserve is required for each layers. There are two major reasons why the independent application of some conventional loss reserving technique to each layer is inappropriate.
1997
The workers compensation residual market has been shrinking in size. Now that rate adequacy has improved, insurance carriers are willing to voluntarily write some of the risks which in previous years would have had to seek coverage in the residual market.
1997
In lognormal linear models for loss reserve estimation, losses are assumed to be lognormally distributed, where the expectations of the logarithms of losses are assumed linear in explanatory variables. A parameter variance term appears in the exponent of the estimator for expected losses. There is disagreement regarding the sign of the term.
1997
The basic concept of a “scorecard system” has been part of the actuarial literature for many years. This concept measures the accuracy of previously estimated losses against the most current estimates. Retrospective or “after the fact” tests are other names which convey the concept.
1997
A new two-parameter family of analytical functions would be introduced for the modeling of loss distributions and exposure curves The curve family contains the Maxwell-Boltzmann, the Bose-Einstein and the Fermi-Dirac distributions, which are well known in statistical mechanics. The functions can be used for the modeling of loss distributions on the finite Interval ---- as well as on the interval ----.
1997
In today's market of increased competition, more complex reinsurance contracts and tightening (or should we say frightening) profit margins, actuaries are increasingly being called upon to improve their pricing and reserving practices concerning individual accounts as well as aggregate books of business. Increased understanding of that business is critical to continued success for both reinsurers and their clients.
1997
Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve and actuaries use various ad hoc methods to derive a range for the indicated reserve.
1997
This paper finds payoff frequency distributions for valuing European and American fixed strike average options on a discrete time, recombining multiplicative binomial asset price process.
1997
The purpose of this paper is to introduce healthcare capitation and healthcare provider excess insurance to those property and casualty actuaries who are unfamiliar with the subject. This paper provides both a historical overview of managed care as well as a discussion of one of managed care’s most prominent tools, capitation.
1997
Several reasons are suggested for the current slow emergence of a market for the securitization and derivatization of insurance risk. The rincipal focus of the paper is the financial engineering of securities and derivatives instruments that convey insurance risk directly to investors in the capital markets. It is shown how a special purpose reinsurer forms a bridge between conventional reinsurance and catastrophe-linked bonds.
1997
Credibility theory provides important tools to help the actuary deal with the randomness inherent in the data that he or she analyzes. Actuaries use past data to predict what can be expected in the future, but the data usually arises from a random process. In insurance, the loss process that generates claims is random. Both the number of claims and the size of individual claims can be expected to vary from one time period to another.
1997
In my talk, I will try to reinforce and expand on the ideas Gary Dean presented in his talk.
I will start off my talk by using the following set of graphs taken from my "Student's Guide to Buhlmann Credibility and Bayesian Analysis" to illustrate some simple credibility ideas in terms of experience rating or individual risk rating.
