Browse Research
Viewing 4201 to 4225 of 7690 results
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
A study finds reliable evidence that both book-to-market (B/M) and dividend yield track time-series variation in expected real stock returns over the period 1926-1991 and the subperiod 1941-1991. A Bayesian bootstrap procedure implies that an investor with prior belief 0.5 that expected returns on the equal-weighted index are never negative comes away from the full-period B/M evidence with posterior probability 0.08 for the hypothesis.
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
Probabilistic insurance is an insurance policy involving a small probability that the consumer will not be reimbursed. Survey data suggest that people dislike probabilistic insurance and demand more than a 20% reduction in the premium to compensate for a 1% default risk. While these preferences are intuitively appealing they are difficult to reconcile with expected utility theory.
1997
Thirty-three papers, most previously published, examine economic and financial research on insurance markets. Papers focus on utility, risk, and risk aversion; the demand for insurance; insurance and resource allocation; moral hazard; adverse selection; market structure and organization form; insurance pricing; and insurance regulation. Dionne is at the University of Montreal. Harrington is at the University of South Carolina. No index.
1996
This paper introduces the readers of the Proceedings to an important class of computer based simulation techniques known as Markov chain Monte Carlo (MCMC) methods. General properties characterizing these methods will be discussed, but the main emphasis will be placed on one MCMC method known as the Gibbs sampler.
1996
Insurance Catastrophe Futures Contracts began trading on December 11, 1992 on the Chicago Board of Trade (CBOT).
1996
The process presented provides an approach to estimate a reinsurer’s potential liabilities for asbestos and environmental losses. It can also be used for any other latent losses which cannot be accurately portrayed by history due to uncertainty surrounding coverage, size of loss and trigger issues. It is designed for reinsurers who are dependent on the claim information received from their ceding companies.
1996
19th Annual Lecture of the Geneva Association
If the insured can tilt losses towards catastrophes, or if his efforts will do the most to reduce catastrophes, either by reducing probabilities or reducing magnitudes, then traditional lessons about the form of optimal insurance are likely to be wrong.35 Even if the insurance company is risk neutral and has infinite resources, it should keep the insured at some risk when losses are high.
1996
This paper explains the most commonly used complements of credibility and offers a comparison of the effectiveness of the various methods. It includes numerous examples. It covers credibility components used in excess ratemaking as well as those used in first dollar ratemaking. It also offers six criteria for judging the effectiveness of various credibility complements.
1996
Mr. Meyers has laid out a framework within the context of his previous contribution, the Competitive Market Equilibrium risk load formula, that reasonably accounts for the increase in the variance of expected losses due to the effects of geographic concentration of an insurer's portfolio. The key idea that the author expresses may seem apparent to most actuaries, but the author's use of statistical notation to establish his point is impressive.
1996
Keyword: Workers Compensation
1996
This paper examines the variation of betas and market risk premium over time. the authors include the return on human capital when measuring the return on aggregate wealth.
1996
Data Administration Including Warehousing & Design (narrow topic or advanced)
1996
This paper discusses the inaccuracies in workers compensation retrospective rating that resulted from the former method of separately calculating insurance charges from Table M and excess loss factors for loss limitations. These ideas have been previously presented by Glenn Meyers and Ira Robbin. However, this paper presents the ideas in a coherent fashion using Lee diagrams.
1996
This monograph reports the results of a study of the relative performance of different risk assessment methods and risk adjustment systems.
1996
The Government Accounting Standards Board Statement No. IO (GASBIO) establishes accounting and financial reporting standards for risk financing and insurance related activities of governmental entities. It raises several issues that are not clearly defined for the actuary. At the current time the American Academy of Actuaries’ Actuarial Standards Board is not contemplating a Compliance Standard for GASB 10.
1996
The purpose of this note is, to draw attention to a semimartingale method which can be applied to very general types of risk models to obtain local martingales or martingales, which can then be used m the now classical way to evaluate ruin probabilities. Relations to the theory of exponential families of stochastic processes are also pointed out and utilized.
1996
Two methods for approximating the limiting distribution of the present value of the benefits of a portfolio of identical endowment insurance contracts are suggested. The model used assumes that both future lifetimes and interest rates me random. The first method is similar to the one presented m PARKER (1994b). The second method is based on the relationship between temporary and endowment insurance contracts.
