Browse Research
Viewing 4726 to 4750 of 7690 results
1993
Simulation models have a long history of use in the actuarial profession for estimating confidence intervals for loss reserves and pricing estimates. More recently, models have been developed which can be used to derive probability levels for insurance company surplus.
In this session we will describe procedures for modeling loss reserve uncertainty using simulation models.
1993
The CAPM assumes a positively sloped linear relation between a security's expected rate of return and its relative risk (beta). This paper indicates that inferences about the risk-return relation are sensitive to the choice of the return measurement interval.
1993
One distinguishing feature of experience rating plans is the limitation placed on individual loss. This paper gives a rigorous examination of this feature and shows that it can indeed improve predictive accuracy.
1993
For workers’ compensation we hope and pray that the future will not be like the past. Needed reforms and improvements in operations are changing workers’ compensation settlement patterns. These dynamics call for increased actuarial skill, care, and insight in estimating reserves and interpreting their financial implications. The panelists will describe recent changes in workers’ compensation and their efforts on reserves.
1993
Various mechanisms have been devised, frequently by regulatory bodies, to provide insurance capacity when insurers decline to voluntarily write coverage. These mechanisms and their insured populations are often referred to collectively as the involuntary market.
This panel will explore issues associated with involuntary markets in the automobile, workers’ compensation, and medical professional liability lines of insurance.
1993
One of the components of the proposed Property & Casualty Risk-Based Capital formula is reserve and underwriting risk factors. The American Academy of Actuaries Property & Casualty Risk-Based Capital Task Force has prepared the following report on these risk factors and recommended them to the NAIC P&C Risk-Based Capital Working Group.
1993
The Actuarial Advisory Committee to the NAIC Property/Casualty Risk-Based Capital Working Group has developed a recommended method for treating covariance. Our technique combines the separately-determined RBC amounts for all of the risk elements, assuming that everything bad doesn't occur at once. The proposal is based on data analysis as much as possible and, we believe, sound judgment otherwise.
1993
This session extends the discussions of Reinsurance Reserving I. It will address approaches for facultative vs. treaty business and special considerations for financial reinsurance and retrocessions. In addition to offering other reserving techniques, the panelists will review pitfalls that are unique to reinsurance such as aggregate deductibles, commutations, and insolvent cedents.
1993
This session provides a basic understanding of loss reserving principles, considerations and techniques as applied to reinsurance assumed. While reinsurance reserving principles are generally similar to direct reserving, their sound application to reinsurance is difficult.
1993
Actuaries are required in their Loss Reserve Opinions to comment on the collectibility of reinsurance.
1993
A basic feature of the loss reserve estimate process is the analysis of historical data in order to project future loss payments and case reserves for incomplete accident/policy/report periods.
1993
LOB-Auto Liability/LOB-Workers Comp/Profit Factor/Rate of Return/Risk
1993
This paper discusses rate of return from the policyholder, company, and shareholder perspectives. Both net present value (NPV) and internal rate of return (IRR) variations of discounted cash flow models are used to demonstrate two important considerations: The relationship between policyholder liabilities and surplus, and the release of income and return of surplus to the shareholder.
1993
"This standard of practice applies to members [of the Canadian Institute of Actuaries] who are valuing the policy liabilities of a property/casualty insurance company operating in Canada, domestic or foreign.” The standard outlines the determination of a risk margin for policy liabilities. The risk margin is dependent on the variation of claims development, reinsurance recoveries and the interest rate.
1993
The American actuarial societies emphasize professional and ethical conduct of their members, by promulgating a code of professional conduct, instituting disciplinary procedures for ethical infractions, and requiring a course on professionalism for new members. Yet the ethical ideals espoused by the societies may at times conflict with the practices that corporations expect of their personnel.
1993
Reinsurance Research - Pricing/Contract Design
1993
Based on a representation of the aggregate claims random variable as linear combination of counting random variables, a linear multivariate Bayesian model of risk theory is defined. In case of the classical risk theoretical assumptions, that is conditional Poisson likelihood counting variates and Gamma structural density, the model is shown to identify with a Bayesian version of the collective model of risk theory.
1993
A fully time-continuous approach is taken to the problem of predicting the total liability of a non-life insurance company. Claims are assumed to be generated by a non-homogeneous marked Poisson process, the marks representing the developments of the individual claims. A first basic result is that the total claim amount follows a generalized Poisson distribution.
1993
Two samples of administrative records from state workers’ compensation programs are used to investigate factors explaining the probability of a permanent partial disability conditional on a compensation claim and the size of the award conditional on a permanent partial disability.
1993
The standard multiplicative loss development factors applied to reported losses by class serve to amplify instability in partial loss data. A method of assigning loss development based on expected losses is described and tested using four years of actual class data for Oregon. The method uses payroll and "pure premium present on rate level" to estimate expected losses.
1993
Mr. Gillam’s paper provides an excellent explanation of the detailed actuarial study that led the National Council on Compensation Insurance (NCCI) to revise the Experience Rating Plan for Workers' Compensation. This actuarial study is an example of a practical application of credibility theory to the situation where parameter uncertainty and risk heterogeneity are important.
1993
This review examines the practical implications for insurance companies and Pennsylvania car owners of converting most automobile insurance coverages from year to mile class rates. The purpose is to provide a framework for evaluating legislation mandating this conversion from one-part to two-part pricing: from time rates only to a system using both distance rates and time rates.
1993
The primary concern in pricing is normally the overall adequacy of rates companywide, by state, and by territory. The primary concern of this paper, however, is the RELATIVE adequacy of rates by parts of a territory:
1. Is the rating plan for a given line or coverage in a particular territory equally "correct" in its various parts (counties, zip code groups, etc.)?
2.
