Browse Research
Viewing 4601 to 4625 of 7690 results
1994
This session will be the mirror image of the Asset Management Session, and it is strongly urged that both sessions be attended for maximum benefit. Various issues related to interest rate risk management will be discussed such as duration, convexity, and cash flow testing in connection with liabilities.
1994
An introduction to Bayesian estimation and the original Buhlmann model Z=N/(N+K) for N equal sized exposures.
1994
Valuation requires an understanding of an insurance company’s assets. The purpose of this session is to give a basic introduction to the stock and bond markets. The accompanying session on Liability Management will introduce the liability side of asset/liability management. It is strongly urged that both of these sessions be attended for maximum benefit.
1994
In-house and consulting actuaries must be able to communicate their findings to both internal and external auditors, including actuaries who are functioning as part of the audit team.
1994
Data Collection & Statistical Reporting (general or introductory)
1994
The authors investigate the cross-sectional relation between industry-sorted stock returns and expected inflation, and find that this relation is linked to cyclical movements in industry output.
1994
The incidence of risk under a credit insurance policy depends on the original term of the policy and the policy duration at which the incidence of risk is considered. Section 3 of the paper describes the procedure used to fit a bivariate function to this incidence. Section 4 gives the numerical detail of this model. Section 5 makes a comparison of the model with the data from which it was developed.
1994
In an earlier note the present author deduced bounds for the approximation error of stop loss premiums when the aggregate claims distribution is calculated by a method introduced by Bertram. From the error bounds of the stop loss premiums we deduced bounds for the approximation error of the cumulative distribution and the discrete density of the aggregate claims.
1994
Now that the NAIC has approved a Risk Based Capital formula, companies are preparing themselves for its impact on their operations. NAIC will begin making calculations effective with the 1994 Annual Statement. This session will address the formula and its potential impacts, with particular attention to the significant issues of loss reserve discounting and company financial and operating strategies.
1994
In this paper, we develop models for known claims, when the data are grouped into the usual triangle and the goal is to predict IBNR claims. We assume that the payment for a certain accident and development year is composed of a deterministic part and a multiplicative random error. We use a loglinear location-scale regression model for the amount of claims.
1994
The first half of this paper is meant to be a descriptive compendium of those considerations which for one particular line go into the selection of a trend number once the mechanics of the formulas have been mastered. One sees too often in rate indication analyses the correct formulas used without the requisite thought as to the issues affecting their correct application.
1994
This paper reviews the Homeowners insurance process, concentrating on the forces that influence changes in loss exposures, Coverage A limits of liability, and insurance-to-value levels of individual exposures at renewal and books of business in the aggregate. These forces, or "influence," are categorized and discussed in terms of their implications on ratemaking methodology, particularly on premium trend.
1994
HOLTAN (1994) suggests to replace traditional bonus-malus systems by a high deductible financed by a short-term loan. Practical consequences of this proposal are investigated here. Simulation is used to evaluate the efficiency of the Taiwanese Bonus-malus system and the variability of premiums of an average policyholder. Holtan's high deductible system is analyzed under a compound Poisson assumption, with truncated exponential claims.
1994
It is widely acknowledged that there has been a major breakthrough in the mathematical theory of option trading. This breakthrough, which is usually summarized by the Black-Scholes formula, has generated a lot of excitement and a certain mystique.
1994
The identification and quantification of environmental liability exposures is becoming increasingly more important to U.S. property/casualty insurers. This article discusses new tools available to assist in the evaluation of Environmental Impairment Liability (EIL) exposures, and how EIL reserving might be handled in "the Perfect World of the Future."
Keywords: Pollution, Superfund, CERCLA
1994
In this paper we derive formulae for finite time survival probabilities when the aggregate claims process is a Gamma process. We illustrate how a compound Poisson process can be approximated by a Gamma process and by a process defined as a translated Gamma process.
1994
The recursive algorithm of HESSELAGER (1994) is extended to a more general class of counting distributions, which includes SUNDT'S (1992) class as well as all the mixed Poisson distributions discussed by WILLMOT (1993).
KEYWORDS Compound distributions; recursions; mixed Poissons; Sichel; Beta; Generalized
Pareto; Inverse Gamma.
1994
The self-insured workers' compensation market has grown dramatically over the past five years. An employer faces costs and benefits when evaluating the decision to retain or self-insure part of its workers' compensation.
This paper outlines several methods that can be used to establish funding levels for an entity which retains its workers' compensation exposure.
1994
Mass action losses often emerge differently than other losses for a line of business. Using asbestos as an example, general liability development began to show some unexpected late development in the late 1970’s and early 1980’s. After some investigation it was concluded that much of this development could be attributed to asbestos related claims.
1994
Automobile extended service contracts (ESC’s) have been in existence for many years. Due to the nature of the coverage, an insurer may not know the actual results for a particular book for some time after the book has been in place. This paper discusses this coverage and unique characteristics of ESC’s that should be recognized when analyzing experience for an ESC program.
1994
For the infinite time ruin probability in the classical risk process, efficient estimators are proposed in cases in which the claim amount distribution is unknown. Confidence intervals are computed which are based on normal approximations or on the bootstrap method. The procedures are checked in a Monte-Carlo study.
KEYWORDS Infinite time rum probabilities; nonparametric estimators; confidence intervals, bootstrap method.
1994
The potential liability associated with inactive hazardous waste sites can be large for both policyholders and insurance companies. Our paper outlines several methods that can be used to estimate and monitor insurance company and/or policyholder liabilities associated with inactive hazardous waste sites. We have outlined several publicly available data elements which can be helpful in evaluating environmental liabilities.
1994
Introduction to the process of estimating liabilities for loss and loss adjustment expenses. A background to loss reserving is provided, including a description of its purpose, structure, nomenclature, and principles. An outline of the process undertaken by a loss reserve analysis is also provided.
1994
The annual costs of workers compensation for many businesses are small compared to rotai payroll or formal costs of production. As a result, many such entities do not maintain data in accident or injury year at all, nor reserve for open claims, and maintain records only for paid loss amounts on a calendar year basis without regard to injury year.
