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1997
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 accounts. Differences between new and renewal pricing are examined. For new situations, both current methods allocate the full marginal impact of addition of a new account lo that new account.
1997
This paper describes the dynamic financial analysis model currently being used by a property catastrophe reinsurer to manage its business, The model is an integral part of the day-to-day operations at the Company, and is used as a decision making tool in the underwriting, investment, and capital management processes. The paper begins by describing the framework that the Company uses for risk management.
1997
We develop a semi-parametric predictor of the IBNR reserve in a macro-model when the claim amount for a certain accident and development year can be expressed in a loglinear form composed of a deterministic part and a random error. We need to make assumptions only on the first two moments of the error, without any specified parametric assumption on its distribution.
1997
This paper describes a new approach for determining a reserve for claim expenses. While the discussion focuses on workers compensation claims, the methodology is equally applicable to other lines of business. The approach also can be applied to the calculation of the reserve for all claims (including IBNR claims) and the reserve for claims reported to date excluding IBNR claims).
1997
This paper offers practical guidance to actuaries who are seeking ways to evaluate and manage the output from the stochastic cash-flow-testing process. A commonly expressed opinion about the stochastic approach is that almost all the results are successes, whereas the adverse scenarios are arguably the ones of major interest.
1997
Recent improvements in computer technology and easy access to large quantities of data have eliminated some traditional limitations on insurance ratemaking. The emergence of catastrophe simulation using computer modeling has helped actuaries develop new methods and illustrates the features and benefits of computer modeling for catastrophe ratemaking.
1997
This Study Note outlines the structure of the Insurance Expense Exhibit. It then describes in detail the procedure to allocate investment income to lines of business as well as the process for completing part II of the Insurance Expense Exhibit. This study note also illustrates the investment income allocation procedure by the use of a sample problem and solution.
1997
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1997
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1997
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1997
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1997
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1997
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1997
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1997
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1997
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1997
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1997
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