Browse Research
Viewing 4526 to 4550 of 7690 results
1994
Weighted mortality rates are commonly used in actuarial work, but the inter-relationship between the weights used and the underlying mortality rates seems not to have been widely investigated.
1994
This paper addresses the issue of biases in the loss reserving process, some of which may be intentional. Using an empirical analysis of data from 169 companies over a seventeen year period, it is observed that the level of loss reserves exhibits cyclical behavior, is different for companies of different sizes and is different for reinsurers than for direct insurers.
1994
This paper will suggest an easy, straightforward way to complement the basic methods currently used by most actuaries to estimate ultimate losses. Most actuaries use some variation of standard loss development or Bornheutter-Ferguson methods. These methods can be applied to a variety of data, e.g., paid, incurred, claim counts or average severities.
1994
Data Administration Including Warehousing & Design (narrow focus or advanced)
1994
The paper gives details of a case study on the premium rating of a Householders Contents insurance portfolio. The rating is performed by the fitting of bivariate spline functions to a version of operating ratio described in Section 3. The use of bivariate splines requires a small amount of mathematical equipment, which is developed in Section 4.
1994
Casualty Actuarial Society literature is inconclusive regarding whether the loss development technique is biased or unbiased, or which of the traditional methods of estimating link ratios is best. This paper presents a mathematical framework to answer those questions for the class of linear link ratio estimators used in practice. A more accurate method of calculating link ratios is derived based on classical regression theory.
1994
Casualty Actuarial Society Literature is inconclusive regarding whether the loss development technique is biased or unbiased, or which of the traditional methods of estimating link ratios is best. This paper frames the development process in a least squares regression model so that those questions can be answered for link ratio estimators commonly used in practice, and for two new average development factor formulas.
1994
A basic feature of the loss reserve estimation process is the analysis of historical loss development data in order to project future loss payments and case reserves for incomplete accident/policy/report periods. A recently developed approach to forecasting reserves is to use regression techniques to estimate loss development factors, accident or calendar period trends and future loss payments.
1994
The first method, essentially due to GOOVAERTS and DE VYLDER, uses the connection between the probability of ruin and the maximal aggregate loss random variable, and the fact that the latter has a compound geometric distribution. For the second method, the claim amount distribution is supposed to be a combination of exponential or translated exponential distributions.
1994
Data Administration Including Warehousing & Design (general or introductory)
1994
A practical method is developed for coputing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process. Keywords: ARIMA (p,d,q)-processes; stochastic interest rates; moments of insurance functions
1994
A practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.
KEYWORDS ARIMA (p, d, q)-processes; stochastic interest rates; moments of insurance functions.
1994
This paper considers the application of loglinear models to claims reserving. The models encompass the chain ladder technique and extend the range of the possible analyses. By bringing the methods within a statistical framework, a coherent strategy for testing goodness of fit and for forecasting outstanding claims is produced. Improvements to the basic chain ladder technique are given which use Bayesian methods.
1994
Most actuarial methods for reserving in property and casualty insurance utilize aggregate data. Yet a wealth of information at the individual claim level is available at most large companies and is generally ignored when estimating reserves.
In this session, statistical models for estimating the reserves for individual claims will be presented. The application of artificial intelligence and neural networking techniques will be covered.
1994
We show how ruin probabilities for the classical continuous time compound Poisson model can be approximated by ruin probabilities for a compound binomial model. We also discuss ruin related results for a compound binomial model with geometric claim amounts.
1994
This paper presents a new perspective on three basic financial quantities: assets, liabilities and surplus. The new perspective is developed through a re-examination of the fundamental concepts inherent in these quantities. This re-examination clarifies the difference between the concept and the various rules commonly used to establish their numerical value.
1994
At this session, two senior reinsurance actuaries responsible for corporate loss reserving and a prominent consultant will outline issues of particular importance in establishing reinsurance reserves. This topics are: the inherent historical uncertainty in reinsurance loss reserves, asbestos and environmental liability, declaratory judgments, tail factors, workers compensation and loss reserve discounting, and ceded reinsurance reserving.
1994
Credibility theory is closely related to Kalman filtering. As a consequence, methods proposed for robustifying the Kalman filter can often be specialized to obtain robust credibility rating procedures. The application of one such method to several classical credibility models is shown in this paper.
1994
This panel will present practical methods of presenting and disclosing risk margins in property/casualty loss reserves given that loss reserves are discounted for future investment income. The panelist will discuss the risks to be included in a risk margin, alternative accounting methods to reflect the risk margin, and the implications for various reporting schedules and financial measures (e.g., IRIS ratios).
1994
The theory of risk exchange is applied on the allocation of financial risk In capital markets. It is shown how the shape of individual payoff functions depends on risk tolerance and cautiousness.
1994
Keyword: Workers Compensation
1994
The purpose of this paper is to cover some techniques in statistics that are important for testing the appropriateness of a fitted regression equation. These techniques, which are often used by statisticians, are not completely covered in the Proceedings. Specifically, the areas discussed are: Elimination of the Constant in the Regression Equation, Regression Diagnostics, Analysis of Residuals
1994
Workers’ compensation presents many difficulties to reserve analysts. In addition to being an inherently long-tailed line of business, workers compensation has recently undergone some significant changes (such as reform legislation, increased use of commutations, etc.) which can affect reserving methods. The panel will discuss these changes and how they should be taken into account.
1994
Risk and return do not have the clear cut negative relationship that we assume in our textbook treatment. Industry level studies in different countries have shown that risk and return are positively related above industry median (rate of return) but negatively related below industry median (rate of return). These findings contradict any model along the line of capital asset pricing model. It also is inconsistent with arbitrage pricing model.
