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1993
A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to the results of some parametric methods using a numerical example.
Keywords: Claims reserving; chain ladder; standard error.
1993
The Insurance Bureau of Canada (IBC) issued its report “Discounting of Loss Reserves in the Property and Casualty Insurance Industry” on September 14, 1990. This report made several recommendations concerning further work required. The IBC formed a sub-committee to follow-up on these recommendations.
1993
Management has not been a prevalent theme in actuarial literature. Technical issues predominate, as they likely should in such a technically-oriented organization. However, many of us work as managers of actuaries. Several of us are in positions that require us to direct actuaries who are located in remote offices.
1993
Loss reserving techniques generally have the implied assumption that perfect data exists. In practice, this assumption is rarely accurate. This session addresses the identification of problems and possible adjustments from both a company actuary’s and a consultant’s viewpoints. The varied roles and responsibilities of the actuary and the auditor will also be explored.
1993
Recent developments in the medical professional liability insurance marketplace would suggest that the crisis in this line of insurance is over. Many carriers indicate that loss trends have slowed considerably over the last few years. Several companies have reduced rates and have made coverage more available. New writers of the coverage have entered the market.
1993
Monetary loss as a result of hail damage to crops is a major hazard facing farmers in many areas of the United States. Crop-hail insurance provides a means for the farmer to protect his income from the consequences of this hazard.
The authors presume that knowledge of crop-hail ratemaking procedures is not widespread among casualty actuaries.
1993
The meaning of consistency of increased limit factors (ILF) is reconsidered and a new test of the consistency condition is proposed. It is shown that the three major measures of risk satisfy the new consistency test with no restrictions.
1993
In 1992 the NAIC adopted the concept of the appointed actuary with respect to loss reserve opinion. Now this concept is evolving into that of the evaluation actuary with the potential for broad responsibilities for opining on assets and surplus, as well as, insurer liabilities.
1993
This paper identifies five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors, related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors.
1993
With Andrew, Iniki and the LA riots all occurring in 1992, the subject of catastrophe insurance and reinsurance has been getting quite a bit of attention. This session will address reserving issues particularly difficult for catastrophes. While the
“tail” on such reserves would appear short, why then are reinsures still carrying reserves for Hurricane Alicia (1983) for example?
1993
A model of oil tanker casualties is presented which permits an expected casualty rate for each tanker to be calculated based on its age and casualty history. These expected rates are shown to be good predictors of both the actual casualty experience and the probability of total loss.
1993
It is well known that actual future losses for most lines of business will certainly not equal their estimated value. In order to provide a measure of the precision of loss reserve estimates a diversity of procedures for quantifying loss reserve variability are currently in use.
1993
Data Management Profession (general or introductory)
1993
It is well known that re-investment risk can be greatly reduced to the assets which are assigned to support liabilities are “matched. ” In particular matching two properties of the asset and liability cash flows, the dollar duration (DDl) and dollar convexity (DD2). can provide a significant reduction in re-investment risk. This paper provides a rigorous mathematical treatment of the asset/liability matching problem.
1993
Asset share pricing models are used extensively in life and health insurance premium determination. Property-Casualty rate making procedures consider only a single period of coverage.
1993
This panel will discuss the relative merits of various approaches to support and to strengthen solvency regulation of property-casualty insurers. The approaches considered will include risk-based capital requirements, actuarial reports on surplus adequacy, and cash flow testing. Although the approaches discussed may addresses several categories of risk, the panel will focus much of the discussion on the risk of adverse loss reserve development.
1993
The primary reserve problem for an insurance company is the determination of an overall reserve estimate. However, it is often necessary that reserve estimates developed at a corporate level be allocated to sub-units of the company. Some common allocation situation involve the distribution of reserve to profit center, to state, or to agent.
1993
In recent year, allocated loss adjustment expense (ALAE) reserves have grown significantly relative to loss reserves for many lines of business.
1993
Many reinsurance contracts have adjustable premium and loss limiting features that complicate the reserving practice. This session addresses such factors as swing rating, loss-ratio caps, profit commissions, aggregate deductibles, and pre-set commutation terms.
1993
Private Passenger Automobile Bodily Injury (BI) Liability Insurance, the largest subline of property-casualty insurance in the United States, has experienced during the 1980's rapidly increasing claim costs well in excess of the rate of overall inflation. The re-emergence of BI as a problem area has spotlighted traditional tort, no fault and choice systems as competing vehicles for cost containment.
1993
This paper attempts to give an overview of the pricing of risks in a pure exchange economy, where trade takes place at time zero and where uncertainty is revealed at time one. An economic equilibrium model under uncertainty is formulated, where conditions characterizing a Pareto optimal exchange equilibrium are derived.
