Browse Research
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1994
Consider a group of n independent lives age x where each life puts § 1 in a fund at time 0. The fund earns interest at rate t, and at the end of t years the accumulated value of the fund is divided equally among the survivors. The traditional approach to calculating the expected lump sum benefit per survivor from the initial group of n lives is based on the concept of a deterministic survivorship group.
1994
Shows that usual immunization assumptions are not valid in real world, and exposure to interest rate shifts cannot be eliminated through standard methods.
1994
This article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann-Morgenstern utility theory is applied to the portfolio problem.
1994
An overview of the potential of Generalized Linear Models as a means of modeling the salient features of the claims process in the presence of rating factors is presented. Specific attention is focused on the rich variety of modeling distributions which can be implemented in this context.
KEYWORDS Claims Process; Rating Factors; Generalized Linear Models; Quasi-Likelihood; Extended Quasi-Likelihood.
1994
Mortgage insurance indemnifies a mortgage lender against loss on default by the borrower. The sequence of events leading to a claim under this type of insurance is relatively complex, depending not only on the credit worthiness of the borrower but also on a number of external economic factors.
1994
Studies by Willie (1984, 1986, 1987) and Carter (1991), among others, have proposed models of equity returns for actuarial work. In particular, Carter proposes a random walk model for Australian equity returns. The aim of this paper is to examine the use of a simple ARCH model for equity returns and to compare the performance of such a model with a model that is commonly used by actuaries! the random walk model of returns.
1994
The variability of chain ladder reserve estimates is quantified without assuming any specific claims amount distribution function. This is done by establishing a formula for the so-called standard error which is an estimate for the standard deviation of the outstanding claims reserve. The information necessary for this purpose is extracted only from the usual chain ladder formulae.
1994
This paper discusses methods and data that can be used to quantify insurers’ potential liabilities arising from pollution (as specifically defined). It provides background information on the genesis of the liabilities and then discusses why traditional actuarial techniques fail in analyzing the problem and why analyses that rely on analogies to asbestos are weak.
1994
The model presented herein provides a formalized approach to projecting an insurer’s or reinsurer’s potential asbestos bodily injury (BI) liabilities through an analysis of exposed policy limits. The model projects the ground-up aggregate liabilities of individual insureds, allocates those liabilities to policy years and carves out the portion of the liabilities falling in the layers of coverage written by the insurer or reinsurer.
1994
This paper is motivated by the attempt to answer the following question: For an investor with an extremely long time horizon, what is the optimum portfolio, and can one improve upon the traditional answer of "100% in equities"?
1994
At the twenty-eighth Actuarial Research Conference of the Society of Actuarial, WILLMOT and LIN (1993) presented a paper whose central result IS a bound on the tail probability of a random sum. In the subsequent discussion, Professor Buhlmann raised the question, if this bound could be derived by martingale methods. The purpose of this note is to show how it can be
done.
1994
The method of Esscher transforms is a tool for valuing options on a stock, if the logarithm of the stock price is governed by a stochastic process with stationary and independent increments. The price of a derivative security is calculated as the expectation, with respect to the risk-neutral Esscher measure, of the discounted payoffs.
1994
The value of insurance companies to the shareholders can be expressed in book values in the annual accounts, but it can also be assessed by evaluating the future expected cash flows to the owners of the firm. The paradoxical situation occurs that the shareholders' value approach guides many articles in modern insurance theory, but that dividend policy is not an issue which is addressed.
1994
The categories of losses and related expenses, the processing of claims, and the reporting of losses and loss adjustment expenses are outlined. The processing of claims is also traced, involving confirmation of coverage, completion of worksheets, statistical coding, grouping of similar transactions for all claims, accounting for losses paid, and a follow-up review of current reserves and paid information.
1994
Often the loss reserve analyst is required to estimate unpaid claim liabilities with less than optimal data. Small or start-up insurance companies may have only limited loss and exposure information or data processing support. Therefore, it may be necessary to supplement the company’s historical data with data from external sources in evaluating reserve requirements.
1994
Significant changes in the scope and wording for loss reserve opinions have been adapted by the NAIC for 1991, 1992, and 1993.
1994
Loss distributions are currently used by loss reserve analysis in special situations to estimate loss reserves, or to estimate the variability of loss reserve estimates.
1994
A sound reserving approach for long-tailed lines of business typically requires the application of several accepted actuaries techniques to a significant amount of data.
1994
This paper suggests an investment strategy to formulate a long-term stock portfolio. It allows the investor to specify the desired return on investment to be equal to the expected rate of inflation plus a certain premium rate. The model then helps the investor select those stocks that will provide the greatest chance of meeting that specified long-term investment goal.
1994
An approximation of the distribution of the present value of the benefits of a portfolio of temporary insurance contracts is suggested for the case where the size of the portfolio tends to infinity. The model used Is the one presented in PARKER (1922b) and involves random interest rates and future lifetimes. Some justifications of the approximation are given.
1994
This is an introduction and summary of papers from a prize paper program on how to measure the variability of loss reserves. The papers fall into three categories: Methods based on variance of link ratios; methods based on the collective risk model; and methods based on parametric models of development.
1994
The Paper “Risk and Uncertainty: A Fallacy of Large Numbers” by Paul A. Samuelson, was published in Scientia in April-May, 1963. It was later reprinted in the Collected Scientific Papers of Paul A. Samuelson, Volume 1, pp- 153-8, MIT Press, 1966 _ It had a very distinguished influence on the ideas of risk and portfolio for investment applications.
