Browse Research
Viewing 4676 to 4700 of 7690 results
1993
This paper develops a semiautoregression approach to estimate factors of the arbitrage pricing theory (APT) which describes asset returns slightly better than the CAPM, although there is still some mispricing in the APT model.
1993
Yet another fine paper by Glenn Meyers will appear in PCAS 1991. In it Glenn derives a formula for risk loadings per (expected) occurrence; the risk loading R is proportional to the (partial) derivitative of the Variance with respect to the number of occurrences "n".
Reinsurance Research - Risk Loads/Profitability
1993
While there have been a number of actions taken in the last several years to establish professional standards and to provide some form of discipline regarding these matters, there remains much more to do in the development of actuaries who act ethically. Our focus will be on actuaries and actuarial managers though much of what we discuss can be applied to personal ethical issues and to ethical issues arising in other professions.
1993
The 1992 Casualty Actuarial Society Yearbook has nineteen members who list their employer as brokers. This paper will discuss some of the many roles that a casualty actuary plays in an insurance brokerage firm, beginning with the role of the actuary with medium and large size accounts and examining the differences in the roles.
1993
Various types of data are used in determining statewide rate level indications ("RLI") for private passenger automobile insurance. Some major types of data used in RLI's are the base data, loss development data, trend data, and data used to measure investment income. In this paper, the impacts of several hypothetical law changes on these various types of ratemaking data are analyzed.
1993
Keywords: Premium Analysis, Classifications, Regulation
1993
Extended warranty contracts are generally quite difficult to evaluate because the factors affecting ultimate loss emergence tend to change quite considerably over time.
1993
Reinsurance Research - Loss Distributions, Size of
1993
Traditional actuarial pricing procedures rely on historical experience to match future premiums with expected losses and expenses. The pricing methods give little emphasis to marketplace competition, expected returns, marketing strategy, or consumer desires.
Competitive strategy places new tasks upon the actuary:
-Successful pricing does not proceed from the bottom up: the compilation of experience data to generate indicated rate revisions.
1993
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.
1993
When losses are reported excess of a fixed amount, the effect of inflation on the trended values is to eliminate information from the lower end of the data for the older years. Consequently, the corresponding low end of the recent years is not used in analyses. A simple maximum likelihood solution is proposed which uses all the data.
1993
We consider the problem of forecasting the total cost of claims in excess-of-loss reinsurance. The number of claims reported to the direct insurer is assumed to follow a Poisson law, and the claim severities are modelled by a Pareto distribution. The Poisson frequency as well as the Pareto parameter will be considered as random parameters in a Bayesian setting.
1993
Reinsurance Research - Loss Distributions, Size of
1993
In 1991, the most recent year for which we have data, the residual market accounted for a quarter of total premium, and the burden of supporting it was 18 cents on every premium dollar. In other words, in a typical state, insurers were assessed 18 cents for ever dollar of premium they received from the voluntary market in that state.
General/LOB-Workers Comp
1993
It is the contention of this paper that the renewal retention ratio can be used in an ad hoc method to adjust indications to reflect the degree of stability. If an insurer has a stable book of business, as reflected by a high constant renewal retention ratio, the years used in the indication should be given similar weight. Unstable or low renewal retention ratios will cause older years to have less weight.
1993
Profit Factor/Rate of Return/Risk
1993
Stephen Ludwig's paper provides numerous improvements to the exposure rating procedure first introduced by Ruth Salzmann. In particular, he
*provides up-to-date size-of-loss distributions, *considered damages besides property losses, *considers perils in addition to fire, and *constructs size-of-loss distributions for commercial property risks.
1993
Actuaries use development techniques to estimate future losses. Unfortunately, real data is subject to both random fluctuations and systematic distortions; only in textbooks can we expect smooth, stable development patterns. To correct for this, developed losses are often weighted with a prior estimate to stabilize the results.
This paper describes a method that applies credibility directly to the loss development process.
1993
Manual ratemaking for Workers‘ Compensation insurance policies is a complex and continually evolving process. The transition to a loss costs environment in many jurisdictions compels company actuaries to be familiar with all ratemaking procedures. This reading goes through the standard ratemaking procedures step-by-step, notes alternative methods, and discusses the issues with which company actuaries must deal.
1993
In this paper, we use a pure premium approach to price a new vehicle extended warranty.
Coverage provided by a new vehicle extended warranty begins where the manufacturer's factory warranty ends. New vehicle extended warranty coverage is triggered and limited by both time and mileage. Since factory coverage is constantly being enhanced, extended warranty coverage rarely remains the same long enough for comparable statistics to develop.
1993
Determining insurance prices certainly has actuarial implications, but it's too important to be left solely to actuaries. Insurers which successfully manage the pricing decision process all recognize pricing as an integral part of the annual operational planning process.
1993
“The California Table L” is as pertinent today as it was when it was published almost twenty years ago. It is well-constructed, rigorous and easy to follow. The subject, Table L, provides great simplicity in calculating retrospectively rated plans with a prescribed individual accident limit. It enables a built-in correction for the overlap of the charge for the per-accident limit and the aggregate loss limit.
