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1997
The purpose of the 1996 Geo-Coding Survey was to assess the current usage of geo-coded data in the casualty actuarial profession, and to foster development of new actuarial techniques using such data. A total of 152 CAS members returned a completed survey. The following are the key findings of the Geo-Coding Survey:
1997
Winter 1997, Ratemaking 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
1997
Summer 1997, Volume 2, 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 (12.6MB)
1997
Summer 1997, Volume 2, 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 (12.6MB)
1997
Spring 1997, Reinsurance 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 (14.6MB)
1997
Fama and French (1992) document a significant relation between firm size, book-to-market ratios, and security returns for nonfinancial firms. Because of their initial interest in leverage as an explanatory variable for security returns, Fama and French exclude from their analysis financial firms, thus creating a natural holdout sample on which to test the robustness of their results.
1997
Russell Bingham advocates such a decomposition of balance sheet surplus and income statement flows into the contributing accident years. Because a given exposure period frequently impacts many annual statements, this decomposition results in the formation of historical supporting surplus triangles that are analogous to the loss development triangles used in the analysis of reserve level adequacy. Two refinements to the model are then introduced.
1997
This paper discusses the role of surplus in an insurance company and alternative measurements of rate of return on surplus. The multi-year dimension of surplus and its linkage to liabilities over time is explained, and the concept of a calendar period balance sheet as the sum of underlying accident period balance sheets is introduced.
1997
Banks must be able to measure risk and allocate sufficient capital to meet it. The world of finance is changing so quickly and becoming so complex that most practitioners - including professionals - take a cautious view of investment strategies relying on sophisticated instruments. Furthermore, as a result of deregulation and desegmentation, banks are becoming increasingly involved in the capital markets.
1997
The number and severity of natural catastrophes has increased dramatically over the last decade. As a result, there is now a shortage of capacity in the property catastrophe insurance industry in the U.S. This article discusses how insurance derivatives, particularly the Chicago Board of Trade's catastrophe options contracts, represent a possible solution to this problem.
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
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
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
Estimates of the cost of equity for industries are imprecise. Standard errors of more than 3.0% per year are typical for both a CAPM and a 3-factor model. These large standard errors are the result of uncertainty about true factor risk premiums, and imprecise estimates of the loadings of industries on the risk factors. Estimates of the cost of equity for firms and projects are surely even less precise.
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 authors adjust estimates of systematic risk, betas, for cross-auto-correlations in security returns. They show that substantial positive adjustments to beta are necessary for small firms. Traditional estimates of beta are unrelated to future returns over the 1931 through 1994 time period, whereas adjusted estimates are positively correlated with future returns.
1997
The process of estimating an industry cost of capital is complicated by the fact that many firms operate in multiple industries. Conglomerates are typically excluded from a pure-play industry analysis since their operations span more than one line of business. We argue that excluding these firms introduces and upward bias into industry beta estimates.
