Browse Research
Viewing 4076 to 4100 of 7690 results
1997
This paper surveys the main concepts and techniques of recent developments in the modeling of the term structure of interest rates that are used in the risk management and valuation of interest-rate-dependent cash flows. These developments extend the concepts of immunization
and matching to a stochastic interest rate environment.
1997
This paper uses fuzzy set theory (FST) to solve a problem in actuarial science, the financial pricing of property-liability insurance contracts. The fundamental concept of FST is the alternative formalization of membership in a set to include the degree or strength of membership. FST provides consistent mathematical rules for incorporating vague, subjective, or judgmental information into complex decision processes.
1997
Most exchanges in a decentralized economy are mediated by agents who make markets. This paper applies the elementary theory of such mechanisms to equity markets. Based on stylized institutional and behavioral facts and exploiting the methods of nonlinear dynamics, it explains salient properties of stock market dynamics.
1997
Object-oriented design has evolved as a means for dealing with very complex software systems. This paper outlines some of the fundamental concepts of the object-oriented approach and applies them to the design of a dynamic simulation model of a financial institution.
1997
This paper describes the initial version of a DFA model for U.S. property-liability insurers that will be made available to all interested parties. Those wanting to test the model will be able to obtain a copy of the program on disk or access the model over the internet. The long-term goal of this research is to develop a usable, understandable model that meets the basic needs of the industry.
1997
Firm sizes and book-to-market ratios are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that the association between these characteristics and returns arise because the characteristics are proxies for nondiversifiable factor risk.
1997
The history of any profession relates to the history of the division of labor in society. This is generally true and can also be attributed to expertise in the financial world -- a world which generates with increasing complexity growing numbers of specialists offering know-how and expertise.
1997
The Black-Scholes option pricing formula from finance theory is consistent with the assumption that the market price of the underlying asset at any future date is lognormally distributed with time-dependent parameters and can be shown to be a special case of both a more general option model and a familiar actuarial function used in excess of loss applications.
1997
Financial pricing models are replacing traditional ratemaking techniques for property-liability insurers. This paper provides an introduction to the target total rate of return approach, the capital asset pricing model, the discounted cash flow technique, and the option pricing model, all in an insurance context. Examples of each method, along with discussions of their advantages and weaknesses, are provided.
1997
Keyword: Workers Compensation
1997
The calculation of plan parameters and rating values, which is described in Sections 5 and 6 of the original paper, has been significantly improved. The calculation of expected loss rates (ELRs) has been improved by breaking down published rates into (partial) pure premium components before adjusting for trend, development, and amendment factors that vary by component.
1997
This paper uses cross-sectional time series techniques in an econometric framework to model workers compensation frequency, severity, and loss ratios over the course of the business cycle. Empirical evidence from 37 states over the 1979-1993 period strongly suggests that frequency is strongly pro-cyclical tending to increase during periods of economic expansion and fall during periods of economic decline or sluggishness.
1997
Data Quality (general or introductory); The CAS Committee on Management Data and Information is pleased to present this White Paper on Data Quality.
1997
Econometric Modeling, LOB – Hospitals
1997
If the purpose of policyholder surplus is to provide a cushion against possible errors in the estimation of balance sheet assets and liabilities for an insurance company, then surplus is required wherever estimation errors might exist, regardless of their source. In particular, the balance sheet contains estimates of liabilities due to the runoff of previously written policies as well as due to current business.
1997
Data Collection & Statistical Reporting (general or introductory); This paper reviews the genesis for statistical plans in the property/casualty insurance business and the two basic types of statistical plans that are being used today. Most importantly, the author explains the key data elements collected in the statistical plans as they relate to the insurance product. Other keywords: data collection, statistical reporting, reserving.
1997
Keyword: Workers Compensation
1997
This standard of practice establishes conditions that should be met before appointing an actuary and the information that should be sought by an appointed actuary. A discussion of the appropriate disclosures to company management, the board of directors, and to readers of financial statements is also included.
1997
When people speak of parameterizing a model, whether it be for dynamic financial analysis or otherwise, they typically discuss the ranges of values that key model elements can assume. In our paper we have broadened the concept of parameterization to include the functionality a model needs to contain in order to perform the required task.
1997
We consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense.
