Browse Research
Viewing 4451 to 4475 of 7690 results
1995
This paper is a commentary on the previously published paper "Partial Loss Development Based on Expected Losses For Workers’ Compensation Class Ratemaking", Casualty Actuarial Society Forum, Special Edition, 1993 Ratemaking Call Papers. This paper shows that expected loss development is equivalent to adjusting the full credibility standard and applying credibility by policy period.
1995
The set of efficient portfolios in an asset liability model is discussed in detail. The occurrence of liabilities leads to a parallel shift of the efficient set. Under an appropriate assumption, the shift vector can be decomposed m different components. For the special case, where the investor is a pension fund, it is shown how shortfall constraints can be reconciled with efficiency.
1995
The purpose of the report is to discuss and provide guidance on the important issues and considerations that confront actuaries when designing, building, or selecting dynamic financial models of property/casualty risks. It has been prepared by the Subcommittee on Dynamic Financial Models of the CAS Valuation and Financial Analysis Committee.
1995
This paper discusses the allocation of risk and investment resources when information is dispersed
1995
In this paper we compare rum functions for two risk processes with respect to stochastic ordering, stop-loss ordering and ordering of adjustment coefficients. The risk processes are as follows, in the Markov-modulated environment and the associated averaged compound Poisson model.
1995
This paper examines the long-run relationship between nominal interest rates and inflation, emphasizing the hypothesis that in the long run, nominal interest rates reflect expected inflation one-for-one.
1995
Data Quality (general or introductory)
1995
This paper is called credibility for Hiawatha because it is about expected value ratemaking. Like Hiawatha. and unlike users of
"classical" credibility. we are concerned today with making good estimates, that is, minimum variance unbiased estimates of the
expected value of the outcome of a stochastic process. Our first point is that Bayesian credibility is always better than classical credibility if the goal is to estimate future loss costs.
1995
Some practical applications of Sundt's (1992) generalized class of counting distributions are discussed The numerical stabilities of some recursive formulas in Sundt's class are investigated.
Keywords: Compound distributions; recursive method, stability
1995
Several countries have made community rating mandatory for certain lines of insurance, particularly health insurance. This paper offers a theoretical solution to the problem of designing equalization schemes to support community rating in a market where different insurers are selling different benefit plans.
1995
Stochastic models for claim payment triangles usually suffer from the defect that they hold no description for the discrete probability of no payments in any given cell. To remedy this defect, we have investigated a Poisson-exponential collective risk model – notable for its mathematical convenience – with parametric forms for mean paid claim count and mean paid claim size in each accident-year/payment-year cell.
1995
Reinsurance Research - General/NOC
1995
In 1994, the Committee on Property and Liability Financial Reporting of the American Academy of Actuaries (COPLFR) surveyed actuaries representing 26 property-casualty insurance companies to determine what factors contributed to adverse reserve development in individual companies’ total loss and loss adjustment expense reserves.
1995
In formulating efficient risk sharing arrangements, it is desirable to minimize both transaction costs and the risk load required by the participating insurers. A simple yet realistic model that explicitly incorporates both transaction costs and risk load is put forth in this paper It is shown that, under very general conditions, the optimal risk sharing arrangement which results is constructed in layers.
1995
Fall 1995 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(10MB) Report of the Travel Time Working Group The Travel Time Working Group Report of the CAS Long-Range Planning Committee The CAS Long Range Planning Committee
1995
A study presents a jump-diffusion valuation framework using the no-arbitrage martingale approach. Equilibrium conditions needed to support a jump-diffusion pricing standard process are derived. The results are a generalized jump-diffusion security market line and its corresponding equilibrium valuation relation that prices both jump and diffusion risk.
1995
I have been following with great interest this discussion "thread" in the Proceedings [I, 2. 31, along with the recent papers of Rodney Kreps [4] (with Daniel Gogol‘s reply [5]) and Glenn Meyers [6] (with Ira Robbin‘s reply [7] and Meyers‘s response [S]).
1995
We are in the midst of a revolution in the world of financial derivatives, and questions abound. What is the value of an option? Should an investor buy r write them? What is the logic behind investing or financing with options? What strategies should be used with derivatives? This issue of Quants attempts to address these questions.
1995
Thirty years already and not a wrinkle. The beta is still here and certainly here. A concept of both academic and practical interest, sometimes contested, it serves nevertheless as a reference in finance. The beta and the theory associated with it (CAPM or Capital Asset Pricing Model) certainly merit an issue of Quants. We judged it useful to recall the theoretical basis of the concept and to show its ruitfulness.
1995
A study examines whether the behavior of stock prices, in relation to size and book-to-market-equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME.
