Browse Research
Viewing 4376 to 4400 of 7690 results
1995
Distributions like Poisson, binomial, negative binomial or logarithmic behave well as claim number distribution in collective models. besides, using these claim number distributions, the total claim probabilities can easily be evaluated recursively with the so-called Panjer recursion.
1995
In the past thirty years six hurricanes have caused over $1 billion of insured losses in the United States. The impact of these events on the insurance industry has been staggering. These major events along with those of a more moderate nature have been particularly devastating to insurers with concentrations of exposure in coastal areas.
1995
Catastrophes provide a principal justification for insurance. Traditional conceptions of catastrophes miss three critical elements. (1) Many catastrophes—the liability revolution in the United States, for example—are not bolts from the blue. Rather, they develop over many years and result from human activity.
1995
This article compares the market value of highly leveraged transactions (HLTs) to the discounted value of their corresponding cash flow forecasts. For our sample of 51 HLTs completed between 1983 and 1989, the valuations of discounted cash flow forecasts are within 10 percent, on average, of the market values of the completed transactions. Our valuations perform at least as well as valuation methods using comparable companies and transactions.
1995
It is a generally accepted principle of financial theory that an assumption of risk entitles the assuming party to a higher expected return on investment. This is paralleled in property/casualty insurance by the concept of a risk/contingency loading, or underwriting profit margin, which varies directly with the riskiness of the business written.
1995
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 complements 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.
1995
This paper is devoted to the study of the initial reserve, as a function of the retention limit needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty To assess the probability of ruin, the normal and the normal power approximation are used.
1995
The present paper considers the present value, Z(t), of a series of cashflows up to some time t. More specifically, the cashflows and the interest rate process will often be stochastic and not necessarily independent of one another or through time. We discuss under what circumstances Z(t) will converge almost surely to some finite value as t - infinity.
1995
Reinsurance Research - General/NOC
1995
Dr. Venezian's paper provides a simple yet powerful result: the traditional actuarial pricing method produces an expected underwriting profit margin that is lower than the target margin. This will not be avoided by an unbiased projection of losses; as long as there is uncertainty in that projection, the results follow.
This uncertainty in the projection of loss costs is parameter risk.
1995
This paper is intended to help managers of property/casualty insurance companies understand the importance of evaluating the asset allocation decision making process within the context of the entire insurance company operations. It addresses the important steps and considerations that go into this process while avoiding technical discussions about the details of the models that make up the process.
1995
In the classical Bayesian approach to credibility the claims are conditionally independent and identically distributed random variables, with common density.
1995
This discussion of James Stanard's paper "A Simulation Test of Prediction Errors of Loss Reserve Estimation Techniques" will use his simulation technique to test three loss reserving methods. Two of these methods are discussed in Stanard's paper, and one is relatively new having been presented in the Proceedings last year by Daniel Murphy [6]. The three methods are shown to be special cases of a general weighted average approach.
1995
Reinsurance Research
1995
The estimation of outstanding claims is one of the important aspects in the management of the insurance business. Various methods have been widely dealt with in the actuarial literature. Exploration of the inaccuracies involved is traditionally based on a post-facto comparison of the estimates against the actual outcomes of the settled claims.
1995
Sooner or later a casualty actuary is confronted by the question, "Given a history of paid loss amounts by calendar year, what should reserves be?" Often, it is not possible to accurately gather and analyze additional data within the time constraints for the reserving decision. The algebraic reserving method presented in this paper offers one approach to rapidly addressing this problem.
1995
The paper outlines the approach that has evolved at the authors’ employer (a major multi-line writer) through ten years of cash flow testing. Methodologies and approaches to parameterization are discussed for major invested asset categories, reflecting both default and repayment risk. Modeling of runoff cash flows for a base scenario (and, for some of these assets, shocked scenarios) is also discussed for major non-invested asset categories.
1995
I wrote this discussion to question the level of certainty conveyed in Feldblum's initial paper and to keep the topic open. Although Philbrick's comments help in this regard, he does not go far enough. I am concerned that inexperienced actuaries will see betas published in the Proceedings and will feel justified in rushing off to use these in setting profit loads, despite Feldblum's warning that his calculations were for illustration only.
1995
This paper addresses the process of estimating loss reserves for a company or syndicate writing in the London Market. Particular emphasis is placed on insurers maximizing the value of the process, and ensuring that the process is not simply a series of mathematical calculations. The use of sophisticated mathematical techniques should not distract from the importance of understanding the business and ensuring that the data are correct.
