Browse Research
Viewing 4101 to 4125 of 7690 results
1997
The operation of a bonus-malus system, superimposed on a premium system involving a number of other rating variables, is considered. To the extent that good risks are rewarded in their base premiums, through the other rating variables, the size of the bonus they require for equity is reduced. The issue is discussed quantitatively, and a numerical example is given.
Keywords: Bonus-malus, experience rating.
1997
Actuaries analyzing reserves for excess insurance layers are confronted with circumstances distinctly different from those faced in primary layer reserving. Although many excess reserving techniques are similar to primary techniques, the low-frequency /high-severity nature of excess exposures creates some difficulties not typically experienced in primary analyses.
1997
The problem of determining optimal retention levels for a non-life portfolio consisting of a number of independent sub-portfolios was first discussed by de Finetti. He considered retention levels as optimal if they minimized the variance of the insurer's profit from the portfolio subject to the constraint of a fixed level of expected profit.
1997
Excess of Loss reinsurance contracts commonly include an aggregate limit which specifies the maximum amount the reinsurer will pay under the contract. This paper discusses pricing implications of an aggregate limit which applies over multiple years. Monte Carlo simulations are used to test the sensitivity of the pricing to relationships between the average ground-up loss, the per-claim limit and the aggregate limit under the contract.
1997
This presents the rationale for reflecting reinsurance costs explicitly in Homeowners indications. Catastrophe reinsurance has become relatively expensive and it should be reflected in rates to ensure rate adequacy. The basic concepts to adjust historical losses for the benefits of reinsurance and to reflect the reinsurance premium will be addressed.
1997
Practices employed in issuing statements of actuarial opinion on loss and loss expense reserves in compliance with the P&C Annual Statement Instructions for 1997 are discussed. The NAIC Annual Statement Instruction language is presented first, followed by advice and examples interpreting each particular section of instructions.
1997
Catastrophe hazard modeling has become an important tool for ratemaking in lines of business subject to low frequency, high severity type losses. Natural hazard events such as hurricanes, tornadoes, and earthquakes rarely occur, but their devastation can be overwhelming when they do. Few insurance companies have enough historical loss data to sufficiently price for these events.
1997
The authors examine the loss exposures due to extra-contractual obligations and excess of policy limit third party actions. They discuss how these components of clash cover reinsurance can be priced. Extra-contractual obligations and excess of policy limit third party actions. They discuss how these components of clash cover reinsurance can be priced.
1997
Traditional actuarial pricing procedures have focused on pre-accident driver attributes, vehicle characteristics, and garaging location in an effort to explain personal automobile loss cost "drivers." Although these traditional factors are important for statewide ratemaking in a static environment, they account for only part of the influences on auto insurance loss costs.
This paper draws on the industry research of the past 15 years to present
1997
The modeling of parameter uncertainty due to sample size in normal and lognormal distributions with diffuse Bayesian priors is solved exactly and compared to the large-sample approximation. Large-scale simulation results are presented. The results suggest that (1) the large- sample approximation is not very good in this case; and (2) estimates of reserve uncertainty may be considerably understated.
1997
Data Quality (narrow topic or advanced); Actuaries need good data to perform their jobs, yet find that it is often inaccessible and inaccurate within their companies. Advances in computer technology can help eliminate these data access obstacles, but initiation of the change requires activism on the part of the profession. Other keywords: reserving, credibility, claim systems, data warehouse, data management, data collection, data quality.
1997
This article develops a robust regression estimator to analyze the risk premia on size and book-to-market.
1997
We investigate the multiplications of a dual approach to the graduation of the force of mortality based on the modeling of the exposures as gamma random variables, as opposed to the modeling of the numbers of deaths as Poisson random variables.
1997
This paper deals with the bivariate generalized Poisson distribution. The distribution is fitted to the aggregate amount of claims for a compound class of policies submitted to clarets of two kinds whose yearly frequencies are a priori dependent.
1997
In the present paper we discuss error bounds for approximations to aggregate claims distributions. We consider approximations to convolutions by approximitating each of the distributions and taking the convolution of these approximations. For compound distributions we consider two classes of approximations.
1997
Different approximation methods to find a full credibility level in limited fluctuation credibility are studied, and it is concluded that, in most cases, there is no significant difference between the various results. Since Venter [9] presented an opposite conclusion, it is emphasized that his approach to the problem is different and that the formula he derives should be used only in his given
context.
1997
This paper is concerned with two methods to estimate the parameters of the Poisson-Goncharov distribution introduced recently by Lef6vre and Picard (1996). These methods are applied to fit, inter alia, the six observed claims distributions, from automobile insurance third party liability portfolios, studied by Gossiaux and Lemaire (1981) and analyzed afterwards by several authors.
1997
Fluctuations in short term and long term interest rates can have significant impact on insurer financial results. Hence projecting the probabilities of these possible fluctuations is an important step towards a credible dynamic financial analysis. Changes in the level of interest rates as well as shifts in the shape of the yield curve both need to be modeled.
1997
Mortgage insurance indemnifies a mortgage lender against loss on default by the borrower. The sequence of events leading to a claim under this type of insurance is relatively complex, depending not only on the credit worthiness of the borrower but also on a number of external economic factors.
1997
This paper presents a model for projecting an insurer's or reinsurer's potential asbestos bodily injury (BI) liabilities through an analysis of exposed policy limits. The model projects the ground-up aggregate liabilities of individual insureds, allocates those liabilities to policy years, and carves out the portion of the liabilities falling in the layers of coverage written by the insurer or reinsurer.
